Search Results
JEL Code: C13

789,212 Total downloads

Viewing: 51 - 100 of 3,739 papers

51.

Modeling Electricity Prices: International Evidence

Number of pages: 32 Posted: 06 Feb 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,832
52.

Volatility of Aggregate Volatility and Hedge Fund Returns

Journal of Financial Economics, Vol. 125, No. 3, 491-510, 2017
Number of pages: 64 Posted: 29 Sep 2014 Last Revised: 09 Aug 2019
Accepted Paper Series
Georgia State University, NEOMA Business School and London Business School - Institute of Finance and Accounting
Downloads 1,830
53.

Using Stocks or Portfolios in Tests of Factor Models

AFA 2009 San Francisco Meetings Paper, Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 65 Posted: 17 Mar 2008 Last Revised: 11 Aug 2020
Working Paper Series
BlackRock, Inc, University of California, San Diego (UCSD) - Rady School of Management and Board of Governors of the Federal Reserve System
Downloads 1,825
54.

Comparing Possible Proxies of Corporate Bond Liquidity

Journal of Banking and Finance, Vol. 29, No. 6, pp. 1331-1358, 2005, EFA 2003 Annual Conference Paper No. 298
Number of pages: 39 Posted: 01 Aug 2003
Accepted Paper Series
Robeco Investment Research, AEGON Group - AEGON Asset Management and VU University Amsterdam - Department of Finance and Financial Sector Management
Downloads 1,820
55.

Corporate Credit Risk Modeling: Quantitative Rating System and Probability of Default Estimation

Number of pages: 70 Posted: 17 May 2005
Working Paper Series
Banco BPI
Downloads 1,800
56.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,787
57.

Natural Resources: Curse or Blessing?

CESifo Working Paper Series No. 3125
Number of pages: 70 Posted: 17 Jul 2010
Working Paper Series
University of Oxford
Downloads 1,722
58.

Least Squares Percentage Regression

Journal of Modern Applied Statistical Methods, 2009
Number of pages: 12 Posted: 22 May 2009
Working Paper Series
University of Hertfordshire Business School
Downloads 1,690
59.

Many Risks, One (Optimal) Portfolio

Number of pages: 217 Posted: 30 Jul 2014
Working Paper Series
Independent
Downloads 1,678
60.

Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market

Forthcoming in Management Science, FIRN Research Paper No. 2695145
Number of pages: 61 Posted: 24 Nov 2015 Last Revised: 05 Jun 2019
Accepted Paper Series
University of New South Wales (UNSW), University of Melbourne, National University of Singapore (NUS) - Department of Finance, University of Melbourne - Department of Finance and Australian National University (ANU) - Research School of Finance, Actuarial Studies and Applied Statistics
Downloads 1,661
61.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,651
62.

Maxing Out: Stocks as Lotteries and the Cross-Section of Expected Returns

Number of pages: 49 Posted: 03 Sep 2008 Last Revised: 27 Feb 2012
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Fordham University and New York University

Multiple version iconThere are 3 versions of this paper

Downloads 1,640
63.

Transforming Volatility - Multi Curve Cap and Swaption Volatilities

Number of pages: 22 Posted: 22 Jan 2013 Last Revised: 27 Mar 2013
Working Paper Series
University of Wuppertal - Applied Mathematics
Downloads 1,631
64.

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Journal of Banking and Finance, Vol. 33, No. 11, pp. 2036–2049, November 2009, BIS Working Paper No. 281, PBCSF-NIFR Research Paper No. 08-01
Number of pages: 44 Posted: 01 Feb 2009 Last Revised: 31 Aug 2016
Accepted Paper Series
Board of Governors of the Federal Reserve System, SUSTech Business School and Bank for International Settlements (BIS)

Multiple version iconThere are 3 versions of this paper

Downloads 1,615
65.

General Diagnostic Tests for Cross Section Dependence in Panels

Number of pages: 41 Posted: 04 Aug 2004
Working Paper Series
University of Southern California - Department of Economics
Downloads 1,598
66.

Profitability and Royalty Rates Across Industries: Some Preliminary Evidence

KPMG Global Valuation Institute, November, 2012
Number of pages: 24 Posted: 10 Mar 2009 Last Revised: 20 Feb 2013
Accepted Paper Series
Independent and Intellectual Property Market Advisory Partners(IPMAP), LLC
Downloads 1,597
67.

Robust and Practical Estimation for Measures of Tail Risk

Number of pages: 50 Posted: 02 Jun 2014
Working Paper Series
Independent
Downloads 1,576
68.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
Working Paper Series
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 1,561
69.

Estimation of Default Probabilities - Part 4: Default Probabilities Through the Business Cycle: Credit Portfolio View

RiskNEWS, November 2002
Number of pages: 20 Posted: 20 Mar 2003
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 1,535
70.

Neural Networks Applied to Chain-Ladder Reserving

Number of pages: 26 Posted: 10 May 2017 Last Revised: 19 Jul 2018
Working Paper Series
RiskLab, ETH Zurich
Downloads 1,529
71.

A Bridge from Monty Hall to the Hot Hand: Restricted Choice, Selection Bias, and Empirical Practice

IGIER Working Paper
Number of pages: 33 Posted: 02 Jan 2016 Last Revised: 29 Oct 2017
Working Paper Series
University of Melbourne - Department of Economics and Universidad de Alicante - Fundamentos del Análisis Económico (FAE)
Downloads 1,524
72.

Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

RiskNEWS, 2002
Number of pages: 9 Posted: 20 Mar 2003
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 1,519
73.

The Joint Cross Section of Stocks and Options

AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Number of pages: 58 Posted: 08 Jan 2010 Last Revised: 27 Feb 2012
Working Paper Series
BlackRock, Inc, Georgetown University - Robert Emmett McDonough School of Business and Fordham University

Multiple version iconThere are 4 versions of this paper

Downloads 1,502
74.

Deeply Learning Derivatives

Number of pages: 14 Posted: 09 Oct 2018 Last Revised: 20 Oct 2018
Working Paper Series
Riskfuel and Scotiabank
Downloads 1,495
75.

Probabilities of Default for Impairment Under IFRS 9

Number of pages: 6 Posted: 02 Nov 2015
Working Paper Series
Natixis
Downloads 1,487
76.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Accepted Paper Series
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 1,480
77.

Insights from Inside Neural Networks

Number of pages: 64 Posted: 19 Aug 2018 Last Revised: 24 Apr 2020
Working Paper Series
Dep. Management, Technology, and Economics ETH Zurich, PartnerRe Ltd - PartnerRe Holdings Europe Limited and RiskLab, ETH Zurich
Downloads 1,471
78.

Comparing Sharpe Ratios: So Where are the P-Values?

Journal of Asset Management, Vol. 8, No. 5, pp. 308-336
Number of pages: 30 Posted: 03 Mar 2006 Last Revised: 19 Mar 2008
Accepted Paper Series
DataMineit, LLC; Allstate
Downloads 1,467
79.

An Artificial Neural Network Representation of the SABR Stochastic Volatility Model

Number of pages: 24 Posted: 14 Dec 2018
Working Paper Series
NatWest Markets
Downloads 1,461
80.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Working Paper Series
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,454
81.

Total Factor Productivity Estimation: A Practical Review

LICOS Discussion Paper No. 182/2007
Number of pages: 45 Posted: 02 Aug 2007 Last Revised: 16 Feb 2009
Working Paper Series
De Nederlandsche Bank

Multiple version iconThere are 2 versions of this paper

Downloads 1,449
82.

Efficient Estimation of Volatility Using High Frequency Data

Number of pages: 22 Posted: 16 Apr 2002
Working Paper Series
Edgelab, University of Pisa - Department of Economics and Independent
Downloads 1,447
83.

Approximations for the Value-at-Risk Approach to Risk-Return Analysis

Number of pages: 22 Posted: 12 May 2001
Working Paper Series
Swiss Financial Market Supervisory Authority (FINMA) and University of Turin - Department of Management
Downloads 1,424
84.

Balance Sheet Information and Future Stock Returns

Number of pages: 17 Posted: 23 Jul 2006
Working Paper Series
AQR Capital Management, LLC, University of Southern California - Leventhal School of Accounting and London Business School
Downloads 1,420
85.

Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices

Federal Reserve Bank of Atlanta Working Paper 97-10
Number of pages: 23 Posted: 13 May 1998
Working Paper Series
Federal Reserve Bank of Atlanta
Downloads 1,395
86.

A New Look at Hedging with Derivatives: Will Firms Reduce Market Risk Exposure?

Number of pages: 40 Posted: 11 Oct 2006
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, The College of New Jersey - School of Business and City University of New York (CUNY) - Baruch College - Zicklin School of Business
Downloads 1,394
87.

Tail Risk Protection in Asset Management

Number of pages: 42 Posted: 16 Nov 2014
Working Paper Series
Independent
Downloads 1,385
88.

Testing Mean Reversion in Stock Market Volatility

Journal of Futures Markets, Vol. 28, No. 1, pp. 1-33, 2008
Number of pages: 36 Posted: 17 Oct 2006 Last Revised: 27 Feb 2012
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 1,380
89.

Does PSM Really Eliminate the Big N Audit Quality Effect?

Marshall School of Business Working Paper No. ACC 02.14
Number of pages: 48 Posted: 27 Jul 2014 Last Revised: 10 Mar 2016
Working Paper Series
University of Southern California - Leventhal School of Accounting, Georgetown University - Robert Emmett McDonough School of Business and The University of Texas at Dallas
Downloads 1,379
90.

Mid-Price Prediction in a Limit Order Book

Number of pages: 9 Posted: 02 Jan 2015
Working Paper Series
Purdue University - School of Electrical and Computer Engineering and Purdue University
Downloads 1,370
91.

Common Risk Factors in the Cross-Section of Corporate Bond Returns

Journal of Financial Economics, Forthcoming, HKUST Finance Symposium 2016: Active Investing and Arbitrage Capital
Number of pages: 75 Posted: 03 Oct 2016 Last Revised: 12 Feb 2018
Accepted Paper Series
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 1,361
92.

Dynamic Conditional Beta is Alive and Well in the Cross-Section of Daily Stock Returns

Number of pages: 55 Posted: 23 Jun 2012 Last Revised: 15 Apr 2016
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Department of Finance and Fordham University - Gabelli School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,359
93.

Dynamic Conditional Correlation: On Properties and Estimation

Number of pages: 28 Posted: 18 Nov 2009 Last Revised: 14 Jul 2011
Working Paper Series
Independent
Downloads 1,359
94.

Idiosyncratic Volatility and the Cross-Section of Expected Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 41 Posted: 08 Aug 2006
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Fordham University

Multiple version iconThere are 2 versions of this paper

Downloads 1,340
95.

Risk, Uncertainty, and Expected Returns

AFA 2013 San Diego Meetings Paper
Number of pages: 79 Posted: 24 Nov 2012 Last Revised: 29 Aug 2014
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and SUSTech Business School

Multiple version iconThere are 3 versions of this paper

Downloads 1,337
96.

Estimation of Default Probabilities - Part 2: Market Factor Based Techniques

RiskNEWS, July 2002
Number of pages: 15 Posted: 20 Mar 2003
Accepted Paper Series
Wehrspohn GmbH & Co. KG
Downloads 1,332
97.

Extremal Quantiles and Value-at-Risk

MIT Department of Economics Working Paper No. 07-01
Number of pages: 19 Posted: 12 Jan 2007
Working Paper Series
Massachusetts Institute of Technology (MIT) - Department of Economics and Massachusetts Institute of Technology (MIT) - Department of Economics
Downloads 1,326
98.

Is Economic Uncertainty Priced in the Cross-Section of Stock Returns?

Georgetown McDonough School of Business Research Paper No. 2812967, Gabelli School of Business, Fordham University Research Paper No. 2812967
Number of pages: 51 Posted: 09 Dec 2016 Last Revised: 10 Dec 2016
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, New York University (NYU) - Leonard N. Stern School of Business and Fordham University - Gabelli School of Business
Downloads 1,325
99.

Análisis de regresión básica con Excel (Basic Regression Analysis with Excel)

Number of pages: 34 Posted: 23 Feb 2006 Last Revised: 01 Jul 2012
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 1,311
100.

Handling the Global Financial Crisis: Chinese Strategy and Policy Response

Number of pages: 44 Posted: 14 Apr 2009 Last Revised: 04 May 2009
Working Paper Series
Durham University - Durham Business School, East China Normal University (ECNU) and Durham University - Durham Business School
Downloads 1,304