Search Results
JEL Code: C58

375,216 Total downloads

Viewing: 51 - 100 of 1,839 papers

51.

Principal Component Analysis of High Frequency Data

Chicago Booth Research Paper No. 15-39
Number of pages: 64 Posted: 19 Aug 2015 Last Revised: 22 Aug 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,115
52.

Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance

International Review of Financial Analysis, Vol. 59, pp. 105-116, University of St.Gallen, School of Finance Research Paper No. 2018/14, QMS Research Paper 2018/01
Number of pages: 29 Posted: 22 Mar 2018 Last Revised: 24 Nov 2020
Accepted Paper Series
Queen's University Belfast - Queen's Management School, Humboldt University of Berlin and Utrecht University - School of Economics
Downloads 1,101
53.

Forecasting Government Bond Risk Premia Using Technical Indicators

25th Australasian Finance and Banking Conference 2012, Asian Finance Association (AsFA) 2013 Conference
Number of pages: 50 Posted: 22 Aug 2011 Last Revised: 13 Nov 2013
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business, Central University of Finance and Economics (CUFE), Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,074
54.

Pricing Cryptocurrency Options: The Case of Bitcoin and CRIX

Number of pages: 46 Posted: 27 Apr 2018 Last Revised: 13 Jul 2019
Working Paper Series
Stockholm University, affiliation not provided to SSRN, University of Glasgow, Adam Smith Business School and Blockchain Research Center
Downloads 1,054
55.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,051
56.

An Empirical Assessment of Empirical Corporate Finance

Number of pages: 111 Posted: 18 Mar 2011 Last Revised: 09 Jun 2019
Working Paper Series
University of Utah - Department of Finance and University of Western Ontario - Ivey School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,046
57.

Factors That Fit the Time Series and Cross-Section of Stock Returns

Number of pages: 61 Posted: 01 Aug 2018 Last Revised: 30 Jan 2020
Working Paper Series
University of California - Haas School of Business and Stanford University - Department of Management Science & Engineering

Multiple version iconThere are 3 versions of this paper

Downloads 1,035
58.

Higher Order Comoments of Multifactor Models and Asset Allocation

Finance Research Letters, 13, 225-233, 2014
Number of pages: 13 Posted: 18 Mar 2014 Last Revised: 21 Nov 2017
Accepted Paper Series
Ghent University, Southwestern University of Finance and Economics (SWUFE) and Finvex Group
Downloads 1,029
59.

Disentangling Rebalancing Return

The Journal of Asset Management 2014, Vol. 15, 5, pp.301–316
Number of pages: 31 Posted: 05 Feb 2014 Last Revised: 10 Dec 2016
Accepted Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 1,024
60.

Investing with Cryptocurrencies - A Liquidity Constrained Investment Approach

Published version: Trimborn, S., Li, M. and W. K. Härdle (2019) "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach" Journal of Financial Econometrics, doi.org/10.1093/jjfinec/nbz016
Number of pages: 37 Posted: 19 Jul 2017 Last Revised: 12 Jul 2019
Accepted Paper Series
City University of Hong Kong (CityUHK) - Department of Management Sciences, Xiamen University - Wang Yanan Institute for Studies in Economics (WISE) and Blockchain Research Center
Downloads 990
61.

Excess Volatility as an Impediment for a Digital Currency

Number of pages: 40 Posted: 11 Apr 2017 Last Revised: 04 May 2018
Working Paper Series
University of Western Australia - Business School and University of Tübingen - Department of Statistics and Econometrics
Downloads 984
62.

Forecasting Exchange Rates: An Investor Perspective

CESifo Working Paper Series No. 4238
Number of pages: 40 Posted: 22 May 2013
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management, BlackRock, Inc and BlackRock, Inc
Downloads 976
63.

Minimax: Portfolio Choice Based on Pessimistic Decision Making

Number of pages: 25 Posted: 06 Jun 2012
Working Paper Series
University of Konstanz - Department of Economics and University of Konstanz - Faculty of Economics and Statistics
Downloads 975
64.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

Review of Financial Studies (RFS), Vol. 30, No. 4, pp. 1339-1381, 2017
Number of pages: 70 Posted: 10 Aug 2013 Last Revised: 05 Jun 2017
Accepted Paper Series
American University in Dubai, Moody's Analytics and Temple University - Department of Finance
Downloads 969
65.

Pairs Trading to the Commodities Futures Market Using Cointegration Method

International Journal of Commerce and Finance, Vol. 1, Issue 1, 2015, 25-38
Number of pages: 14 Posted: 15 Jan 2017
Accepted Paper Series
Istanbul Commerce University, Students
Downloads 969
66.

The Best of Both Worlds: Forecasting US Equity Market Returns using a Hybrid Machine Learning – Time Series Approach

Number of pages: 28 Posted: 11 Dec 2019
Working Paper Series
The Vanguard Group, Inc., The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group
Downloads 964
67.

An Empirical Analysis of the Ross Recovery Theorem

Number of pages: 39 Posted: 06 May 2014 Last Revised: 01 Mar 2015
Working Paper Series
University of St. Gallen, University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Downloads 946
68.

Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets

Swiss Finance Institute Research Paper No. 13-40
Number of pages: 75 Posted: 26 Jul 2013 Last Revised: 22 Dec 2016
Working Paper Series
University of Zurich - Department of Banking and Finance, ESSEC Business School and University of Zurich - Department of Banking and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 944
69.

Factors vs. Sectors in Asset Allocation: Stronger Together?

Number of pages: 24 Posted: 10 May 2017 Last Revised: 27 May 2018
Working Paper Series
Amundi Asset Management and Université Libre de Bruxelles (ULB), Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) & CERMi
Downloads 942
70.

Multivariate Rotated ARCH Models

Number of pages: 36 Posted: 19 Feb 2012 Last Revised: 19 Nov 2013
Working Paper Series
University of Oxford - Department of Economics, Harvard University and University of Oxford - Department of Economics
Downloads 942
71.

Simply Better Market Betas

Number of pages: 30 Posted: 06 May 2019 Last Revised: 17 Dec 2020
Working Paper Series
University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 941
72.

Credit Spread Interdependencies of European States and Banks During the Financial Crisis

Number of pages: 38 Posted: 17 May 2011 Last Revised: 16 Jan 2012
Working Paper Series
International Monetary Fund and Deutsche Bundesbank
Downloads 938
73.

Pockets of Predictability

Number of pages: 80 Posted: 29 Mar 2018 Last Revised: 19 Apr 2019
Working Paper Series
University of Virginia, MIT Sloan School of Management and UCSD

Multiple version iconThere are 2 versions of this paper

Downloads 934
74.

Trade Duration, Volatility and Market Impact

Number of pages: 33 Posted: 08 Apr 2019 Last Revised: 17 Apr 2019
Working Paper Series
Imperial College London and University of Oxford
Downloads 924
75.

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

University of Zurich, Department of Economics, Working Paper No. 137
Number of pages: 70 Posted: 24 Jan 2014 Last Revised: 09 Feb 2017
Working Paper Series
University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 896
76.

Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 168
Number of pages: 63 Posted: 15 Oct 2011 Last Revised: 18 Nov 2013
Accepted Paper Series
Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 888
77.

Simple and Effective Market Timing with Tactical Asset Allocation Part 2 - Choices

Number of pages: 12 Posted: 05 Mar 2018 Last Revised: 27 Apr 2018
Working Paper Series
Independent
Downloads 869
78.

Modeling Systemic Risk with Markov Switching Graphical SUR Models

WBS Finance Group Research Paper No. 227
Number of pages: 49 Posted: 14 Dec 2014 Last Revised: 26 Dec 2019
Working Paper Series
School of Economics and Finance, Queen Mary University of London, Ca Foscari University of Venice - Dipartimento di Economia, University Ca' Foscari of Venice - Department of Economics and Bocconi University - Department of Finance
Downloads 856
79.

Risk and Risk Premia: A Cross Asset Class Analysis

Number of pages: 32 Posted: 07 Jan 2016 Last Revised: 02 May 2016
Working Paper Series
Quoniam Asset Management
Downloads 853
80.

Equity Premium Predictions with Adaptive Macro Indexes

FRB of New York Staff Report No. 475
Number of pages: 47 Posted: 16 Oct 2010
Working Paper Series
Georgetown University - Department of Finance
Downloads 844
81.

The Intraday Performance of Market Timing Strategies and Trading Systems Based on Japanese Candlesticks

Quantitative Finance, vol. 13 (7), 2013
Number of pages: 27 Posted: 08 Aug 2012 Last Revised: 23 Jan 2016
Accepted Paper Series
National Bank of Belgium, IESEG School of Management and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 844
82.

Managing Sovereign Credit Risk in Bond Portfolios

Number of pages: 27 Posted: 09 Nov 2011 Last Revised: 23 Feb 2012
Working Paper Series
Lyxor Asset Management, affiliation not provided to SSRN and Amundi Asset Management
Downloads 842
83.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 830
84.

Why Bitcoin Dominates

Number of pages: 20 Posted: 11 Jul 2019 Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads 825
85.

Modeling Analysts’ Recommendations via Bayesian Machine Learning

Number of pages: 30 Posted: 13 Nov 2018 Last Revised: 04 Oct 2019
Working Paper Series
Man AHL, Duke University - Fuqua School of Business, Man AHL, quantPORT and Realindex Investments
Downloads 822
86.

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Number of pages: 39 Posted: 22 Apr 2019 Last Revised: 15 Jan 2021
Working Paper Series
University of Oxford and 2Xideas
Downloads 815
87.

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

Number of pages: 50 Posted: 13 Feb 2013
Working Paper Series
Duke University, Duke University - Department of Economics and University of Oxford - Department of Economics
Downloads 812
88.

Exploring Return Dynamics via Corridor Implied Volatility

Review of Financial Studies, Vol. 28 (10), pp. 2902-2945, 2015
Number of pages: 37 Posted: 21 Mar 2011 Last Revised: 10 Oct 2015
Accepted Paper Series
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance and Bank of Spain
Downloads 808
89.

Network Capital: Value of Currency Protocols Bitcoin & SolarCoin Cases in Context

Columbia Business School Research Paper No. 19-2
Number of pages: 13 Posted: 03 Dec 2018
Working Paper Series
Carbon Finance Labs and Columbia Business School
Downloads 807
90.

Downside Risk Evaluation with the R Package GAS

R Journal, Vol. 10, Issue 2, pp. 410-421, 2018
Number of pages: 12 Posted: 17 Nov 2016 Last Revised: 27 Feb 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 803
91.

Tail Risk Hedging and Regime Switching

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 17 Oct 2011 Last Revised: 05 Aug 2016
Working Paper Series
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
Downloads 775
92.

Hawkes Process: Fast Calibration, Application to Trade Clustering and Diffusive Limit

Number of pages: 42 Posted: 15 Jul 2013 Last Revised: 05 Aug 2013
Working Paper Series
Auckland University of Technology - Faculty of Business & Law and Ecole Centrale Paris
Downloads 757
93.

Understanding Systematic Risk: A High-Frequency Approach

Journal of Finance, Forthcoming
Number of pages: 55 Posted: 24 Aug 2015 Last Revised: 23 Mar 2020
Accepted Paper Series
Stanford University - Department of Management Science & Engineering
Downloads 743
94.

Forecasting the Equity Risk Premium: The Importance of Regime-Dependent Evaluation

Journal of Financial Markets, Volume 38, March 2018, Pages 83-102
Number of pages: 49 Posted: 19 Jan 2016 Last Revised: 22 Sep 2020
Accepted Paper Series
Imperial College Business School and Bocconi University
Downloads 739
95.

Using and Interpreting Fixed Effects Models

Number of pages: 40 Posted: 16 Oct 2020 Last Revised: 30 Mar 2021
Working Paper Series
University of Washington - Michael G. Foster School of Business
Downloads 738
96.

Machine Learning for Realised Volatility Forecasting

Number of pages: 51 Posted: 12 Oct 2020
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 726
97.

Sparse Signals in the Cross-Section of Returns

Number of pages: 50 Posted: 16 May 2015 Last Revised: 17 Feb 2017
Working Paper Series
University of Chicago - Booth School of Business, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign

Multiple version iconThere are 2 versions of this paper

Downloads 722
98.

A new financial stress indicator: properties and conditional asset price behavior

Number of pages: 41 Posted: 28 Aug 2013 Last Revised: 13 May 2014
Working Paper Series
SMILE Investment Solutions, Homa Capital and ESCP Europe
Downloads 720
99.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
Working Paper Series
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 707
100.

Stata, Fast and Slow: Why Running Many Small Regressions in a Large Dataset Takes So Long; and What to Do About It

Number of pages: 19 Posted: 12 Apr 2014
Working Paper Series
University of Auckland - Department of Accounting and Finance
Downloads 707