Search Results
JEL Code: C58

375,596 Total downloads

Viewing: 101 - 150 of 1,839 papers

101.

A Compound Duration Model for High-Frequency Asset Returns

Number of pages: 42 Posted: 17 Aug 2014 Last Revised: 08 Nov 2016
Working Paper Series
University of California, Santa Cruz, University of California, Santa Cruz and Yale University
Downloads 703
102.

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Review of Finance, Vol. 19, pp. 1-54, 2015
Number of pages: 43 Posted: 12 Jul 2013 Last Revised: 06 Apr 2015
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 693
103.

Investment in Microfinance Equity: Risk, Return, and Diversification Benefits

Number of pages: 42 Posted: 07 Mar 2011 Last Revised: 06 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 685
104.

Long-Term Bank Balance Sheet Management: Estimation and Simulation of Risk-Factors

Number of pages: 18 Posted: 22 Jun 2012 Last Revised: 01 Aug 2012
Working Paper Series
University of Chicago - Booth School of Business and Montepio Bank
Downloads 685
105.

Ultra-Simple Shiller's CAPE: How One Year's Data Can Predict Equity Market Returns Better Than Ten (Presentation Slides)

Number of pages: 37 Posted: 03 Sep 2019 Last Revised: 04 Nov 2019
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering and New York University (NYU)
Downloads 682
106.

Factor Risk Parity with Portfolio Weight Constraints

Number of pages: 61 Posted: 08 Jun 2015 Last Revised: 08 Jan 2016
Working Paper Series
BUW - Schumpeter School of Business and Economics and BUW - Schumpeter School of Business and Economics
Downloads 677
107.

Investing with Cryptocurrencies – evaluating their potential for portfolio allocation strategies

Number of pages: 64 Posted: 07 Nov 2018 Last Revised: 24 Oct 2020
Working Paper Series
Humboldt University of Berlin - Institute for Statistics and Econometrics, City University of Hong Kong (CityUHK) - Department of Management Sciences, Blockchain Research Center and Austrian Blockchain Center (ABC Research)
Downloads 674
108.

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Swiss Finance Institute Research Paper No. 11-36
Number of pages: 45 Posted: 15 Feb 2009 Last Revised: 06 Mar 2015
Working Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva GSEM and GFRI and University of Zurich
Downloads 673
109.

Using Principal Component Analysis to Estimate a High Dimensional Factor Model with High-Frequency Data

Chicago Booth Research Paper No. 15-43
Number of pages: 43 Posted: 07 Oct 2015 Last Revised: 11 Oct 2016
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 670
110.

Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH-MIDAS Models

Journal of Applied Econometrics, Forthcoming
Number of pages: 68 Posted: 21 Mar 2016 Last Revised: 21 Aug 2019
Working Paper Series
Heidelberg University - Alfred Weber Institute for Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 664
111.

Express Measurement of Market Volatility Using Ergodicity Concept

Number of pages: 14 Posted: 21 Jul 2016 Last Revised: 10 Jun 2018
Working Paper Series
Algostox Trading
Downloads 640
112.

Reconstructing the Yield Curve

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 28 Nov 2018 Last Revised: 30 Dec 2020
Accepted Paper Series
Purdue University and University of Notre Dame - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 636
113.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Working Paper Series
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Verona - Department of Economics
Downloads 591
114.

The Equity Risk Premium: A Review of Models

Economic Policy Review, Issue 2, pp. 39-57, 2015
Number of pages: 19 Posted: 16 Dec 2016 Last Revised: 27 Oct 2017
Accepted Paper Series
Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 590
115.

Deep Hedging under Rough Volatility

Number of pages: 25 Posted: 18 Feb 2021
Working Paper Series
ETH Zürich - Department of Mathematics, ETH Zurich and Imperial College London - Department of Mathematics
Downloads 587
116.

The Fundamental-to-Market Ratio and the Value Premium Decline

Kenan Institute of Private Enterprise Research Paper
Number of pages: 50 Posted: 13 Apr 2020 Last Revised: 12 Feb 2021
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Finance Area and University of North Carolina at Chapel Hill
Downloads 586
117.

Equity Premium Prediction with Bagged Machine Learning

AFA 2020, AsianFA 2019, AMES 2019, FMND 2019
Number of pages: 56 Posted: 08 Jan 2019 Last Revised: 05 Dec 2020
Working Paper Series
Tilburg University - TIAS School for Business and Society, Central University of Finance and Economics (CUFE) and Tilburg University - TIAS School for Business and Society
Downloads 566
118.

Forecasting Realized Volatility of Daily Futures Returns

Number of pages: 49 Posted: 01 Dec 2013 Last Revised: 24 Jun 2014
Working Paper Series
Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 563
119.

Efficient Sorting: A More Powerful Test for Cross-Sectional Anomalies

University of Zurich, Department of Economics, Working Paper No. 238, Revised version
Number of pages: 52 Posted: 08 Dec 2016 Last Revised: 27 May 2018
Working Paper Series
University of Zurich - Department of Economics, University of Zurich - Department of Economics and Huazhong University of Science and Technology - Department of Economics
Downloads 559
120.

Estimating Latent Asset-Pricing Factors

Number of pages: 45 Posted: 21 May 2018 Last Revised: 13 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 554
121.

Carry Trades and Tail Risk: Evidence from Commodity Markets

Number of pages: 48 Posted: 19 Sep 2017 Last Revised: 12 May 2018
Working Paper Series
School of Economics and Finance, Queen Mary University of London
Downloads 552
122.

Option Prices and the Probability of Success of Cash Mergers

Journal of Financial Econometrics, forthcoming, HEC Paris Research Paper No. FIN-2017-1213
Number of pages: 56 Posted: 20 Mar 2009 Last Revised: 12 Apr 2021
Accepted Paper Series
University of Chicago Graduate School of Business, Baruch College, City University of New York, Department of Economics and Finance and HEC Paris - Finance Department
Downloads 552
123.

Which Hedge Fund Styles Hedge Against Bad Times?

Number of pages: 55 Posted: 18 Aug 2013 Last Revised: 24 Feb 2015
Working Paper Series
Pennsylvania State University, Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 550
124.

Upper Bounds on Return Predictability

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 2, 2017
Number of pages: 46 Posted: 18 Apr 2014 Last Revised: 24 Apr 2017
Working Paper Series
Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 545
125.

Dynamic Copula Toolbox

Number of pages: 17 Posted: 24 Apr 2017
Working Paper Series
University of Macedonia - Department of Business Administration
Downloads 542
126.

A Universal Model for Pricing All Options

Number of pages: 83 Posted: 26 Jul 2017 Last Revised: 25 Sep 2017
Working Paper Series
Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 541
127.

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

Number of pages: 92 Posted: 03 Dec 2015 Last Revised: 12 Jul 2016
Working Paper Series
EDHEC Business School and Imperial College Business School
Downloads 541
128.

Bad Environments, Good Environments: A Non-Gaussian Asymmetric Volatility Model

Number of pages: 58 Posted: 23 Jul 2013 Last Revised: 08 Feb 2016
Working Paper Series
Columbia Business School - Finance and Economics, Board of Governors of the Federal Reserve System and Fordham University - Gabelli School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 537
129.

Lessons from the Asian Crisis: A Central Banker's Perspective

Levy Economics Institute Working Paper No. 276
Number of pages: 8 Posted: 11 Oct 1999
Working Paper Series
Government of the United States of America - Division of Research and Statistics
Downloads 531
130.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Accepted Paper Series
Princeton University - Bendheim Center for Finance, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 531
131.

Measuring Tail Risks at High Frequency

Number of pages: 61 Posted: 01 Apr 2015 Last Revised: 27 Oct 2018
Working Paper Series
Duke University - Department of Economics
Downloads 526
132.

Predictable Dynamics in Higher Order Risk-Neutral Moments: Evidence from the S&P 500 Options

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 49 Posted: 31 Dec 2010 Last Revised: 12 Mar 2012
Accepted Paper Series
Independent and Queen Mary, University of London, School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 525
133.

Arbitrage Opportunities in CDS Term Structure: Theory and Implications for OTC Derivatives

Number of pages: 37 Posted: 21 Nov 2018 Last Revised: 16 Dec 2018
Working Paper Series
University of Reims Champagne-Ardenne and Birkbeck, University of London
Downloads 524
134.

Using Link Mining for Investment Decisions: Extending the Black Litterman Model

Howe School Research Paper No. 2015-50
Number of pages: 17 Posted: 19 Jun 2013 Last Revised: 04 Apr 2015
Working Paper Series
Stevens Institute of Technology, School of Business
Downloads 524
135.

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling

Number of pages: 78 Posted: 03 Nov 2015 Last Revised: 10 Jul 2016
Working Paper Series
School of Economics and Finance, Queen Mary University of London and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 523
136.

Arbitrage-Free Call Option Surface Construction Using Regression Splines (Preprint)

Applied Stochastic Models in Business and Industry, Vol. 31, No. 4, 2015.
Number of pages: 27 Posted: 08 Nov 2011 Last Revised: 24 Oct 2015
Accepted Paper Series
affiliation not provided to SSRN
Downloads 522
137.

Large Dynamic Covariance Matrices

University of Zurich, Department of Economics, Working Paper No. 231, Revised version
Number of pages: 43 Posted: 28 Jul 2016 Last Revised: 20 Apr 2017
Working Paper Series
New York University (NYU) - Department of Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 520
138.

Risk Adjustment in Private Equity Returns

Number of pages: 34 Posted: 19 Dec 2018 Last Revised: 18 Sep 2019
Working Paper Series
University of Southern California - Marshall School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 518
139.

The Lasso and the Factor Zoo - Expected Returns in the Cross-Section

Number of pages: 61 Posted: 10 Mar 2017 Last Revised: 10 Aug 2020
Working Paper Series
University of St. Gallen and University of St. Gallen
Downloads 514
140.

Factor Investing: The Rocky Road from Long Only to Long Short

Number of pages: 29 Posted: 02 Feb 2017 Last Revised: 12 Apr 2017
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 511
141.

Sparse Macro Factors

Number of pages: 53 Posted: 25 Oct 2018 Last Revised: 01 Feb 2021
Working Paper Series
Saint Louis University and Washington University in St. Louis - John M. Olin Business School
Downloads 509
142.

Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News

Number of pages: 41 Posted: 12 Sep 2020
Working Paper Series
University of Manchester - Alliance Manchester Business School and Alliance Manchester Business School, University of Manchester
Downloads 506
143.

The Market Timing Skills of Long/Short Equity Hedge Fund Managers

Number of pages: 32 Posted: 21 Feb 2013 Last Revised: 01 Sep 2013
Working Paper Series
State University of New York (SUNY) at Albany - Department of Economics and State University of New York at Albany - School of Business and Center for Institutional Investment Management
Downloads 505
144.

A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: An Application to High-Frequency Covariance Dynamics

Number of pages: 31 Posted: 08 Feb 2017 Last Revised: 04 Mar 2020
Working Paper Series
University of Rome Tor Vergata, University of Bologna - Department of Mathematics, University of Pisa - Department of Economics and Università di Bologna
Downloads 489
145.

Futures Basis, Inventory and Commodity Price Volatility: An Empirical Analysis

Economic Modelling, Vol. 29, No. 6, 2012
Number of pages: 36 Posted: 25 Oct 2011 Last Revised: 02 Jan 2013
Accepted Paper Series
Essex Business School, University of Essex, Leibniz Universität Hannover - Faculty of Economics and Management, University of Reading - ICMA Centre and University of Reading - ICMA Centre
Downloads 489
146.

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

Chicago Booth Research Paper No. 16-06
Number of pages: 55 Posted: 07 Mar 2016 Last Revised: 21 Feb 2017
Working Paper Series
Princeton University - Department of Economics and University of Chicago - Booth School of Business
Downloads 484
147.

Stressing Correlations and Volatilities – A Consistent Modeling Approach

Number of pages: 29 Posted: 18 Sep 2011
Working Paper Series
University of Applied Sciences Darmstadt and Frankfurt School of Finance & Management
Downloads 480
148.

Modeling and Estimating Volatility of Options on Standard & Poor's 500 Index

PIER Working Paper No. 13-015
Number of pages: 21 Posted: 01 Apr 2013
Working Paper Series
Warsaw University of Life Sciences, Department of Econometrics and Statistics, Warsaw University of Life Sciences, Department of Econometrics and Statistics and City University of New York, CUNY City College of New York - Department of Economics
Downloads 478
149.

Realized Networks

Number of pages: 51 Posted: 09 Oct 2014 Last Revised: 03 Feb 2018
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Universitat Pompeu Fabra - Department of Economics and Business and Capital University of Economics and Business
Downloads 476
150.

Econometrics Meets Sentiment: An Overview of Methodology and Applications

Journal of Economic Surveys, Vol. 34, Issue 3, pp. 512-547, 2020
Number of pages: 39 Posted: 12 Jan 2016 Last Revised: 03 Feb 2021
Accepted Paper Series
Vrije Universiteit Brussel (VUB), HEC Montreal - Department of Decision Sciences, HEC Montreal - Department of Decision Sciences, Vrije Universiteit Brussel and Ghent University
Downloads 465