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JEL Code: C3

1,996,156 Total downloads

Viewing: 51 - 100 of 12,018 papers

51.

Arbitrage-Free Construction of the Swaption Cube

Number of pages: 13 Posted: 22 Jan 2009
Working Paper Series
Commerzbank Corporates & Markets and Commerzbank Corporates & Markets
Downloads 2,989
52.

The Joint Determination of Audit Fees, Non-Audit Fees, And Abnormal Accruals

Yale ICF Working Paper No. 02-21, Yale SOM Working Paper No. AC-15
Number of pages: 55 Posted: 07 Aug 2002
Working Paper Series
Yale School of Management, Temple University - Department of Accounting, Tulane University - Accounting & Taxation and University of New Mexico
Downloads 2,944
53.

Augmented Dickey Fuller Test

Number of pages: 19 Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 2,904
54.

Everything You Always Wanted to Know About Log Periodic Power Laws for Bubble Modelling But Were Afraid to Ask

European Journal of Finance, Forthcoming
Number of pages: 35 Posted: 01 Feb 2011
Accepted Paper Series
Moscow School of Economics, Moscow State University and National Research University Higher School of Economics
Downloads 2,854
55.

Factor Models of Asset Returns

ENCYCLOPEDIA OF QUANTITATIVE FINANCE, Rama Cont, ed., Chicester: Wiley, 2010.
Number of pages: 10 Posted: 26 Oct 2007 Last Revised: 17 Nov 2011
Accepted Paper Series
London School of Economics & Political Science (LSE) - Department of Accounting and Finance and Northwestern University
Downloads 2,813
56.

Forecasting Prices from Level-I Quotes in the Presence of Hidden Liquidity

Algorithmic Finance, Vol. 1, No. 1, 2011
Number of pages: 10 Posted: 14 Oct 2010 Last Revised: 11 Oct 2012
Accepted Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences, New York University (NYU) - Department of Information, Operations, and Management Sciences and Cornell Financial Engineering Manhattan
Downloads 2,784
57.

Pecking Order Versus Trade-Off: An Empirical Approach to the Small and Medium Enterprise Capital Structure

Number of pages: 36 Posted: 29 May 2003
Working Paper Series
Universidad CEU Cardenal Herrera - Department of Business and Economics and University of Valencia - Department of Accounting
Downloads 2,776
58.

Incrementality Bidding & Attribution

Number of pages: 40 Posted: 06 Mar 2018 Last Revised: 12 Mar 2018
Working Paper Series
Nanigans and Netflix
Downloads 2,703
59.

The Case of Gold and Silver: A New Algorithm for Pairs Trading

Number of pages: 7 Posted: 10 Apr 2013 Last Revised: 10 Apr 2013
Working Paper Series
B.K.School of Business Management, Gujarat University, Shri Chimanbhai Patel Institute of Management & Research and Shri Chimanbhai Patel Institute of Management & Research
Downloads 2,701
60.

Stock Market Fluctuations and the Business Cycle

Number of pages: 31 Posted: 24 Sep 2001
Working Paper Series
University of California Riverside

Multiple version iconThere are 2 versions of this paper

Downloads 2,682
61.

Analytical Formulas for Pricing CMS Products in the LIBOR Market Model with the Stochastic Volatility

Number of pages: 32 Posted: 10 Mar 2009
Working Paper Series
Danske Bank - Danske Markets and Numerix
Downloads 2,659
62.

An E-Arch Model for the Term Structure of Implied Volatility of FX Options

Number of pages: 25 Posted: 01 Apr 1997
Working Paper Series
New York University (NYU) - Courant Institute of Mathematical Sciences and Tsinghua University - School of Economics & Management
Downloads 2,624
63.

Tracking the Middle-Income Trap: What is it, Who is in it, and Why?

Levy Economics Institute, Working Paper No. 715
Number of pages: 60 Posted: 02 May 2012
Working Paper Series
Asian Development Bank, Asian Development Bank and Asian Development Bank
Downloads 2,605
64.

Algorithmic Trading of Co-Integrated Assets

International Journal of Theoretical and Applied Finance, Forthcoming
Number of pages: 17 Posted: 01 Aug 2015 Last Revised: 24 May 2016
Accepted Paper Series
University of Oxford and University of Toronto - Department of Statistics
Downloads 2,572
65.

Bond Risk Premia with Machine Learning

WBS Finance Group Research Paper No. 252
Number of pages: 86 Posted: 26 Aug 2018 Last Revised: 08 Apr 2020
Working Paper Series
School of Economics and Finance, Queen Mary University of London, University of Cambridge - Centre for Endowment Asset Management, Cambridge Judge Business School and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 2,545
66.

Dynamic Volatility Trading Strategies in the Currency Option Market Using Stochastic Volatility Forecasts

Number of pages: 33 Posted: 03 Jun 1999
Working Paper Series
Greenwich Capital Markets, Inc.
Downloads 2,523
67.

A Program for Fixed or Random Effects in Eviews

Number of pages: 2 Posted: 27 Feb 2005
Working Paper Series
University of Tehran and University of Tehran
Downloads 2,483
68.

Are the Gains from International Portfolio Diversification Exaggerated? The Influence of Downside Risk in Bear Markets

Number of pages: 26 Posted: 12 May 2000
Working Paper Series
Michigan State University and Illinois State University - Department of Finance, Insurance and Law
Downloads 2,469
69.

The Four Horsemen of Machine Learning in Finance

Number of pages: 24 Posted: 24 Sep 2019
Working Paper Series
Illinois Institute of Technology and Fidelity Investments, Inc.
Downloads 2,469
70.

Markovian Projection Onto a Heston Model

Number of pages: 31 Posted: 28 Jun 2007
Working Paper Series
Danske Bank - Danske Markets, Bloomberg LP and NatWest Markets
Downloads 2,397
71.

Assessing the Credit Risk of CDOs Backed by Structured Finance Securities: Rating Analysts' Challenges and Solutions

Number of pages: 26 Posted: 02 Sep 2007
Working Paper Series
Moody's Investors Service
Downloads 2,332
72.

NETS: Network Estimation for Time Series

Number of pages: 35 Posted: 14 Apr 2013 Last Revised: 19 Oct 2018
Working Paper Series
University of Bologna and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 2,321
73.

An Empirical Analysis of Search Engine Advertising: Sponsored Search in Electronic Markets

NET Institute Working Paper
Number of pages: 47 Posted: 25 Oct 2007 Last Revised: 19 Jun 2014
Working Paper Series
New York University (NYU) - Leonard N. Stern School of Business and University of Southern California - Marshall School of Business
Downloads 2,300
74.

A New Index of the Business Cycle

MIT Sloan Research Paper No. 5908-20
Number of pages: 20 Posted: 21 Jan 2020
Working Paper Series
State Street Global Markets, Windham Capital Management and State Street Associates
Downloads 2,281
75.

International Asset Allocation with Time-Varying Correlations

Number of pages: 80 Posted: 07 Apr 1999
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 2 versions of this paper

Downloads 2,253
76.

The Good News and the Bad News About Long-Run Stock Market Returns

Number of pages: 44 Posted: 05 Nov 1998
Working Paper Series
Birkbeck College, University of London and Cambridge University - Department of Economics
Downloads 2,216
77.

Algorithms Behind Term Structure Models of Interest Rates Ii: The Hull-White Trinomial Tree of Interest Rates

Hebrew University Working Paper No. int071899
Number of pages: 17 Posted: 30 Nov 2001
Working Paper Series
University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 2,175
78.

The Flash Crash: A New Deconstruction

Number of pages: 53 Posted: 26 Jan 2016 Last Revised: 10 May 2017
Working Paper Series
University of California, Santa Cruz, Stanford University Law School and Yale University
Downloads 2,126
79.

Why Does FDI Go Where it Goes? New Evidence from the Transition Economies

Number of pages: 34 Posted: 01 Aug 2003
Working Paper Series
International Monetary Fund (IMF) and University College London
Downloads 2,107
80.

Systemic Risk in Europe

Review of Finance (2015) 19(1), 145-190
Number of pages: 55 Posted: 22 Dec 2012 Last Revised: 09 Feb 2016
Accepted Paper Series
New York University (NYU) - Department of Finance, University of Lausanne - Faculty of Business and Economics (HEC Lausanne) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 2,104
81.

Political Risk, Institutions and Foreign Direct Investment

Number of pages: 28 Posted: 21 Apr 2005
Working Paper Series
Ruhr-University Bochum and HWWA Institute of International Economics
Downloads 2,089
82.

Simple and Effective Market Timing with Tactical Asset Allocation

Number of pages: 13 Posted: 17 May 2014
Working Paper Series
Independent
Downloads 2,044
83.

Realized Volatility

FRB of Chicago Working Paper No. 2008-14
Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 2,039
84.

The Real Effects of Financial Markets: The Impact of Prices on Takeovers

Journal of Finance 67(3), 933-971, June 2012
Number of pages: 58 Posted: 19 Mar 2008 Last Revised: 04 Jun 2014
Accepted Paper Series
London Business School - Institute of Finance and Accounting, University of Pennsylvania - The Wharton School - Finance Department and Columbia Business School - Finance and Economics
Downloads 2,029
85.

Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

Number of pages: 40 Posted: 22 Jul 2009 Last Revised: 09 Jul 2011
Working Paper Series
New York University - Stern School of Business, SUNY College at Plattsburgh and SUNY College at Plattsburgh - School of Business and Economics
Downloads 2,028
86.

Algorithmic Exposure and CVA for Exotic Derivatives

Number of pages: 31 Posted: 18 Nov 2011 Last Revised: 14 Apr 2012
Working Paper Series
Danske Bank - Danske Markets, Numerix and Numerix
Downloads 2,024
87.

Applying Relative Solvency to Working Capital Management - the Break-Even Approach

Number of pages: 21 Posted: 01 Aug 2005
Working Paper Series
Babcock University - School of Management Sciences
Downloads 1,988
88.

Alternative Indexing with the MSCI World Index

Number of pages: 9 Posted: 18 Mar 2008 Last Revised: 29 Apr 2008
Working Paper Series
HQ Trust GmbH
Downloads 1,945
89.

Predicting Hedge Fund Failure: A Comparison of Risk Measures

Number of pages: 46 Posted: 30 Apr 2007 Last Revised: 11 Sep 2009
Working Paper Series
University of Massachusetts Amherst - Department of Finance and Brooklyn College - CUNY
Downloads 1,932
90.

Panel Data Inference in Finance: Least-Squares vs Fama-Macbeth

Number of pages: 54 Posted: 25 Mar 2008 Last Revised: 20 Mar 2009
Working Paper Series
University of British Columbia (UBC) - Division of Finance
Downloads 1,921
91.

The Impact of Venture Capital on Firm Growth: An Empirical Investigation

ZEW Discussion Paper No. 02-02
Number of pages: 34 Posted: 08 Aug 2002
Working Paper Series
University of Applied Sciences Stralsund
Downloads 1,875
92.

Did Botswana Escape from the Resource Curse?

IMF Working Paper No. 06/138
Number of pages: 33 Posted: 21 Jun 2006
Working Paper Series
International Monetary Fund (IMF)
Downloads 1,867
93.

A Test for Superior Predictive Ability

Brown Univ. Dept. of Economics Working Paper No. 01-06
Number of pages: 43 Posted: 01 Mar 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 1,849
94.

Performance Analysis of Pairs Trading Strategy Utilizing High Frequency Data with an Application to KOSPI 100 Equities

Number of pages: 24 Posted: 21 Aug 2011
Working Paper Series
affiliation not provided to SSRN
Downloads 1,847
95.

Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology

Number of pages: 40 Posted: 06 Mar 1998
Working Paper Series
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Downloads 1,831
96.

Dynamic Copula Modelling for Value at Risk

Frontiers in Finance and Economics, Forthcoming
Number of pages: 30 Posted: 11 Nov 2006
Accepted Paper Series
Moscow School of Economics, Moscow State University

Multiple version iconThere are 2 versions of this paper

Downloads 1,827
97.

Interaction of European Carbon Trading and Energy Prices

FEEM Working Paper No. 63.2007
Number of pages: 23 Posted: 15 Jun 2007 Last Revised: 26 May 2014
Working Paper Series
London Business School and University of East Anglia (UEA) - School of Environmental Sciences
Downloads 1,811
98.

Macro Factors in the Term Structure of Credit Spreads

BIS Working Paper No. 203
Number of pages: 68 Posted: 20 Sep 2007
Working Paper Series
Goldman Sachs International and Square Macro
Downloads 1,800
99.

A Two-Sided, Empirical Model of Television Advertising and Viewing Markets

Number of pages: 46 Posted: 24 Feb 2020
Working Paper Series
University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,793
100.

The Dynamics of Capital Structure: An Empirical Analysis of a Partially Observable System

Duke University, Fuqua School of Business Working Paper
Number of pages: 53 Posted: 18 Apr 2002
Working Paper Series
The Wharton School - University of Pennsylvania; National Bureau of Economic Research (NBER)
Downloads 1,791