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JEL Code: C5

3,113,574 Total downloads

Viewing: 101 - 150 of 13,271 papers

101.

Instrumented Principal Component Analysis

Number of pages: 71 Posted: 09 Jun 2017 Last Revised: 28 Dec 2020
Working Paper Series
Yale SOM, Arizona State University (ASU) - Finance Department and Johns Hopkins University - Carey Business School
Downloads 2,847
102.

Exposed to the J-Curve: Understanding and Managing Private Equity Fund Investments (Discussion and Bibliography)

Number of pages: 26 Posted: 13 Jan 2005
Working Paper Series
European Investment Fund and QuantExperts
Downloads 2,826
103.

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 2,820
104.

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 2,819
105.

Gold Pricing in India: An Econometric Analysis

Journal of Economic Research, Vol. 16, No. 1
Number of pages: 27 Posted: 13 May 2005
Accepted Paper Series
Independent and Independent
Downloads 2,801
106.

ANANTA: A Systematic Quantitative FX Trading Strategy

Number of pages: 20 Posted: 02 Apr 2014 Last Revised: 29 May 2014
Working Paper Series
Independent
Downloads 2,740
107.

Model Selection Using Database Characteristics: Developing a Classification Tree for Longitudinal Incidence Data

Number of pages: 50 Posted: 18 Jun 2012 Last Revised: 11 Jul 2013
Working Paper Series
University of Michigan, Stephen M. Ross School of Business, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 2,725
108.

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 2,677
109.

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 2,666
110.

Re-Examining the Profitability of Technical Analysis with White's Reality Check and Hansen's Spa Test

Number of pages: 27 Posted: 08 Apr 2005
Working Paper Series
National Tsing Hua University - Department of Quantitative Finance and Department of Finance, National Taiwan University
Downloads 2,621
111.

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation

Number of pages: 43 Posted: 24 Jun 2005
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and New York University Finance and Risk Engineering
Downloads 2,619
112.

Can the VIX Signal Market's Direction? An Asymmetric Dynamic Strategy

Number of pages: 24 Posted: 27 Jun 2007
Working Paper Series
Deutsche Bank, Fixed Income Research and UBS Global Asset Management
Downloads 2,617
113.

Know Your System! – Turning Data Mining from Bias to Benefit Through System Parameter Permutation

2014 NAAIM Wagner Award Winner
Number of pages: 33 Posted: 30 Apr 2014
Working Paper Series
StatisTrade
Downloads 2,613
115.

Crossing in Soccer has a Strong Negative Impact on Scoring: Evidence from the English Premier League the German Bundesliga and the World Cup 2014

Number of pages: 24 Posted: 28 Feb 2013 Last Revised: 02 Mar 2016
Working Paper Series
Charles University in Prague - Faculty of Mathematics and Physics
Downloads 2,538
116.

The Yield Curve as a Predictor of U.S. Recessions

Current Issues in Economics and Finance, Vol. 2, No. 7, June 1996
Number of pages: 6 Posted: 21 Jul 2007
Working Paper Series
affiliation not provided to SSRN and Columbia Business School - Finance and Economics
Downloads 2,530
117.

The Term Structure of Variance Swaps and Risk Premia

Swiss Finance Institute Research Paper No. 18-37
Number of pages: 64 Posted: 27 Aug 2012 Last Revised: 14 May 2018
Working Paper Series
Princeton University - Department of Economics, University of Zurich - Swiss Banking Institute (ISB) and USI Lugano - Institute of Finance
Downloads 2,529
118.

The Delphi Method (El Metodo Delphi)

Number of pages: 17 Posted: 29 Jul 2003
Working Paper Series
Grupo Consultor CAV Capital Advisory & Valuation
Downloads 2,513
119.

Testing, Comparing, and Combining Value-at-Risk Measures

Number of pages: 27 Posted: 16 Nov 1999
Working Paper Series
University of Toronto - Rotman School of Management, affiliation not provided to SSRN and Southern Methodist University
Downloads 2,506
120.

The Financial Analyst Forecasting Literature: A Taxonomy with Suggestions for Further Research

International Journal of Forecasting, Vol. 24, No. 1, 2008
Number of pages: 42 Posted: 18 Feb 2008
Accepted Paper Series
University of Miami - Department of Accounting, University of Colorado at Boulder - Department of Accounting and College of William & Mary
Downloads 2,499
121.

Dynamic Programming and Optimal Lookahead Strategies in High Frequency Trading with Transaction Costs

Number of pages: 25 Posted: 03 Jan 2000
Working Paper Series
Bloomberg Financial Markets (BFM)
Downloads 2,465
122.

From Dissonance to Resonance: Cognitive Interdependence in Quantitative Finance

Number of pages: 59 Posted: 16 Oct 2008 Last Revised: 29 Jul 2011
Working Paper Series
Cass Business School and Columbia University
Downloads 2,426
123.

Volatility Forecasting

Number of pages: 114 Posted: 28 Feb 2005
Working Paper Series
Northwestern University - Kellogg School of Management, Duke University - Finance, University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 2,426
124.

Stock Return Predictability: Is it There?

Number of pages: 53 Posted: 23 Mar 2001
Working Paper Series
Columbia Business School - Finance and Economics and BlackRock, Inc

Multiple version iconThere are 2 versions of this paper

Downloads 2,419
125.

A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation

Number of pages: 37 Posted: 07 Nov 1999
Working Paper Series
UCLA Anderson, Duke University - Fuqua School of Business, Economics Group, University of North Carolina Kenan-Flagler Business School and Duke University - Economics Group
Downloads 2,415
126.

Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities

FEDS Working Paper No. 2004-56, AFA 2006 Boston Meetings Paper, Journal of Econometrics, Forthcoming
Number of pages: 31 Posted: 25 Jan 2005 Last Revised: 13 Mar 2009
Accepted Paper Series
Duke University - Finance, Board of Governors of the Federal Reserve System and SUSTech Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,409
127.

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 2,406
128.

Variance Risk Dynamics, Variance Risk Premia, and Optimal Variance Swap Investments

EFA 2006 Zurich Meetings Paper
Number of pages: 60 Posted: 24 May 2006 Last Revised: 19 Nov 2007
Working Paper Series
University of Zurich - Department of Banking and Finance, City University of New York, CUNY Baruch College - Zicklin School of Business and QuantAlea GmbH
Downloads 2,401
129.

Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models

Number of pages: 40 Posted: 22 Nov 2002
Working Paper Series
University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) and Università degli Studi di Milano-Bicocca - Department of Business Administration, Finance, Management and Law
Downloads 2,398
130.

Enhanced Portfolio Optimization

Lasse Heje Pedersen, Abhilash Babu, and Ari Levine (2021), Enhanced Portfolio Optimization, Financial Analysts Journal, 77:2, 124-151, DOI: 10.1080/0015198X.2020.1854543
Number of pages: 49 Posted: 02 Mar 2020 Last Revised: 30 Apr 2021
Accepted Paper Series
AQR Capital Management, LLC, AQR Capital Management, LLC and AQR Capital Management
Downloads 2,394
131.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
Working Paper Series
Saint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,372
132.

Estimating the Yield Curve Using the Nelson-Siegel Model: A Ridge Regression Approach

International Review of Economics & Finance, Forthcoming
Number of pages: 44 Posted: 08 May 2012 Last Revised: 16 Feb 2015
Accepted Paper Series
University of Antwerp Department of Accounting & Finance, Université Saint-Louis Brussels, University of Antwerp - Faculty of Applied Economics - City Campus and Universiteit Antwerpen
Downloads 2,367
133.

Does the Peg Ratio Rank Stocks According to the Market's Expected Rate of Return on Equity Capital?

Ohio State University Working Paper
Number of pages: 31 Posted: 04 Mar 2002
Working Paper Series
University of Notre Dame - Department of Accountancy
Downloads 2,365
134.

Understanding the Fine Structure of Electricity Prices

Number of pages: 74 Posted: 31 Dec 2004
Accepted Paper Series
University of London - Economics, Mathematics and Statistics and ESSEC Business School
Downloads 2,358
135.

A Proof of the Optimality of Volatility Weighting Over Time

Number of pages: 23 Posted: 20 Feb 2012 Last Revised: 15 Aug 2014
Working Paper Series
Robeco Asset Management, Quantitative Investment Research
Downloads 2,343
136.

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 2,342
137.

Static Hedging of Standard Options

NYU Tandon Research Paper No. 585451
Number of pages: 61 Posted: 02 Sep 2004
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,338
138.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Accepted Paper Series
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,336
139.

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 2,323
140.

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 2,315
141.

Manager Sentiment and Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 67 Posted: 21 Sep 2015 Last Revised: 13 Sep 2017
Working Paper Series
Central University of Finance and Economics (CUFE), Brigham Young University, Washington University in Saint Louis - Olin School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,299
142.

Modeling Term Structure Dynamics: An Infinite Dimensional Approach

CMAPX Internal Report No. 402
Number of pages: 32 Posted: 25 Feb 1999
Working Paper Series
University of Oxford
Downloads 2,285
143.

VPIN and the Flash Crash

Journal of Financial Markets, Vol. 17, pp. 1-46, 2014
Number of pages: 44 Posted: 09 Jul 2011 Last Revised: 18 Feb 2014
Accepted Paper Series
Northwestern University - Kellogg School of Management and University of Illinois at Chicago - Department of Finance
Downloads 2,277
144.

Testing Contract Theory: A Survey of Some Recent Work

Number of pages: 45 Posted: 13 Sep 2002
Working Paper Series
Columbia University - Graduate School of Arts and Sciences, Department of Economics and Columbia University - Graduate School of Arts and Sciences - Department of Economics
Downloads 2,267
145.

A User’s Guide to the Cornish Fisher Expansion

Number of pages: 20 Posted: 02 Feb 2012 Last Revised: 08 Jun 2018
Working Paper Series
Conservatoire National des Arts et Métiers (CNAM)
Downloads 2,264
146.

Option Profit and Loss Attribution and Pricing: A New Framework

Journal of Finance, Forthcoming, Baruch College Zicklin School of Business Research Paper No. 2018-04-01
Number of pages: 63 Posted: 25 Mar 2018 Last Revised: 02 Nov 2019
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 2,260
147.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,250
148.

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 2,219
149.

Hedges and Safe Havens: An Examination of Stocks, Bonds, Gold, Oil and Exchange Rates

Number of pages: 28 Posted: 19 Sep 2010 Last Revised: 27 Jan 2013
Working Paper Series
University of North Carolina at Wilmington, Trinity College, Dublin and Trinity Business School, Trinity College Dublin
Downloads 2,215
150.

Use of R-Squared in Accounting Research: Measuring Changes in Value Relevance Over the Last Four Decades

Sauder School of Business Working Paper
Number of pages: 45 Posted: 08 Dec 1998
Working Paper Series
University of Maryland - Department of Accounting & Information Assurance, University of British Columbia (UBC) - Sauder School of Business and Northwestern University - Kellogg School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 2,213