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JEL Code: C58

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1751.

Estimating and Forecasting Volatility Using ARIMA Model: A Study on NSE, India.

Posted: 05 Jun 2019
Working Paper Series
Amity University

Multiple version iconThere are 2 versions of this paper

1752.

Estimating Option Implied Risk Neutral Densities: A Novel Parametric Approach (Preprint)

Journal of Derivatives, Vol. 23, No. 1, 2015, https://doi.org/10.3905/jod.2015.23.1.041
Posted: 20 May 2019 Last Revised: 20 May 2019
Accepted Paper Series
affiliation not provided to SSRN
1753.

Fear Estimation–Evidence from BRICS and UK

International Journal of Applied Business and Economic Research Volume 15 • Number 4 • 2017 ISSN 0972-7302
Posted: 08 Jun 2017
Accepted Paper Series
IMCU, Christ University, University of Johannesburg and University of Bucharest
1755.

Forecasting the Real Price of Oil Using Online Search Data

International Journal of Computational Economics and Econometrics, 4(1-2), 4-31, (2014)
Posted: 12 Apr 2014
Accepted Paper Series
Moscow School of Economics, Moscow State University and Independent
1756.

Forecasting Volatility with Empirical Similarity and Google Trends

Journal of Economic Behavior and Organization, Vol. 117, 2015
Posted: 05 Nov 2015
Accepted Paper Series
University of Augsburg and University of Augsburg
1757.

Fractional Integration in Daily Stock Market Indices at Jordan's Amman Stock Exchange

North-American Journal of Economics and Finance, Forthcoming
Posted: 29 Mar 2016 Last Revised: 10 Mar 2018
Accepted Paper Series
University of Sharjah and University of the Sunshine Coast - School of Business
1758.

GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices

Posted: 07 Jan 2021
Working Paper Series
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
1759.

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Nystrup, Peter, Kolm, Petter N. and Lindstrom, Erik, "Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features." The Journal of Financial Data Science 2.3 (2020).
Posted: 05 Jun 2020 Last Revised: 16 Mar 2021
Accepted Paper Series
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
1760.

Hedge Fund Contagion and Risk-Adjusted Returns: A Markov-Switching Dynamic Factor Approach

Journal of Empirical Finance, Forthcoming
Posted: 01 May 2013
Accepted Paper Series
Office of Financial Research, US Department of the Treasury, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
1761.

Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems

Posted: 03 Mar 2017 Last Revised: 02 Nov 2019
Working Paper Series
University of St Andrews - School of Management, University of Pavia and University of Pavia, Department of Economics and Management Sciences
1762.

Higher Moments and Exchange Rate Behavior

Financial Review, Vol. 54, Issue 1, pp. 201-229, 2019
Number of pages: 29 Posted: 08 Jan 2019
Accepted Paper Series
Deakin University - Faculty of Business and Law, Deakin University - School of Accounting, Economics and Finance and Deakin University
1763.

How Jumps Affect Liquidity? The Evidence from Poland

Finance a uver Czech Journal of Economics and Finance 2017, vol. 67, Issue 1, pp. 39-52.
Posted: 01 Dec 2017
Accepted Paper Series
Pozna? University of Economics and Business
1764.

How Low Can House Prices Go? Estimating a Conservative Lower Bound

FHFA Working Paper 14-2
Number of pages: 29 Posted: 20 May 2015
Working Paper Series
Federal Housing Finance Agency, Pennsylvania State University and Federal Housing Finance Agency
1765.

Impacts of the Financial Crisis on Eurozone Sovereign CDS Spreads

Journal of International Money and Finance, Vol.49 (2014), 425-442.
Posted: 16 Apr 2013 Last Revised: 20 Jul 2016
Accepted Paper Series
Deutsche Bundesbank and ZHAW School of Management and Law
1766.

Improving U.S. Stock Return Forecasts: A 'Fair-Value' Cape Approach

Posted: 10 Jun 2017 Last Revised: 13 Sep 2017
Working Paper Series
The Vanguard Group, The Vanguard Group, Inc., The Vanguard Group, Inc. and The Vanguard Group, Inc.
1767.

Industry Return Predictability: A Machine Learning Approach

Posted: 17 Feb 2018 Last Revised: 21 May 2019
Working Paper Series
Saint Louis University, University of Denver - Daniels College of Business, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
1768.

Inside the Currency Board Arrangement Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Posted: 26 Jun 2012 Last Revised: 18 Dec 2015
Working Paper Series
Independent, Independent and Independent
1769.

Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis

Challenges in Derivatives Markets: Fixed Income Modeling, Valuation Adjustments, Risk Management, and Regulation, Munich, 2015
Posted: 11 Dec 2014 Last Revised: 17 Apr 2018
Working Paper Series
Independent
1770.

Interest Rate Pass‐Through and the Asymmetric Relationship between the Cash Rate and the Mortgage Rate

Economic Record, Vol. 88, Issue 282, pp. 341-350, 2012
Number of pages: 10 Posted: 14 Sep 2012
Accepted Paper Series
University of Wollongong - School of Economics and Information Systems and University of South Australia - International Graduate School of Management
1771.

Jumps in Option Prices and Their Determinants: Real-Time Evidence From the E-Mini S&P 500 Options Market

Journal of Financial Markets, Vol. 46, 2019
Posted: 04 Dec 2019
Accepted Paper Series
King's College, London, University of Manchester - Manchester Business School, Independent and Queen Mary, University of London, School of Economics and Finance
1772.

Liquidity and CDS Premiums on European Companies Around the Subprime Crisis

Review of Derivatives Research, Vol. 15, No. 3, 2012
Number of pages: 29 Posted: 23 Jan 2016 Last Revised: 19 Jan 2021
Accepted Paper Series
Independent, Financial Services and Markets Authority (FSMA) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
1773.

Long Memory in Volatility and Trading Volume

Journal of Banking and Finance, Forthcoming
Posted: 15 Nov 2010
Accepted Paper Series
Rice University - Jesse H. Jones Graduate School of Business and UNC Charlotte - Belk College of Business

Multiple version iconThere are 2 versions of this paper

1774.

Macroannouncements, Bond Auctions and Rating Actions in the European Government Bond Spreads

Journal of International Money and Finance, Forthcoming
Posted: 02 Feb 2015
Accepted Paper Series
Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy
1775.

Macroeconomic Information and Implied Volatility: Evidence from Australian Index Options

Posted: 26 Aug 2013
Working Paper Series
Victoria University, Ton Duc Thang University (TDTU) and Victoria University
1776.

Market Efficiency and the Global Financial Crisis: Evidence from Developed Markets

Studies in Economics and Finance, Vol. 35 No. 3, pp. 362-385, 2018 DOI:10.1108/SEF-01-2014-0022
Posted: 09 Aug 2019
Accepted Paper Series
University of Detroit Mercy and Saint Mary's College of California - School of Economics & Business
1777.

Market Efficiency in the Age of Big Data

CEPR Discussion Paper No. DP14235
Number of pages: 54 Posted: 14 Jan 2020
Working Paper Series
London School of Economics & Political Science (LSE) - Department of Finance and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

1779.

Measuring Contagion between Energy Market and Stock Market During Financial Crisis: A Copula Approach

Energy Economics, Vol. #34, 2012
Posted: 24 Jul 2017
Accepted Paper Series
Southwestern University of Finance and Economics (SWUFE) - Institute of Chinese Financial Studies (ICFS)
1780.

Measuring Contagion Risk in International Banking

Posted: 04 Aug 2018
Working Paper Series
Bank for International Settlements (BIS), University of Pavia and Independent

Multiple version iconThere are 2 versions of this paper

1781.

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Journal of Financial and Quantitative Analysis (JFQA) doi: 10.1017/S0022109018000108
Posted: 24 Dec 2015 Last Revised: 01 Jun 2018
Accepted Paper Series
University of Cambridge - Cambridge-INET Institute and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
1782.

Mitigating Procyclicality in CCPs with Stress Testing: A Hybrid Approach

Posted: 04 Mar 2013 Last Revised: 29 Jul 2015
Working Paper Series
Getulio Vargas Foundation (FGV) - Sao Paulo School of Business Administration
1783.

Modeling Volatility: Evidence from the Bucharest Stock Exchange

Posted: 06 Nov 2019
Working Paper Series
Istanbul Ayd?n University
1784.

Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory Versus Structural Breaks

Posted: 09 Jan 2018 Last Revised: 19 Nov 2019
Working Paper Series
University of Bisha, King Abdulaziz University Faculty of Economics and Administration, McGill University and University of Jeddah
1785.

Multi-currency (Risky) Sovereign Bonds Arbitrage

Workshop Stochastic Models and Control, Kaiserslautern, 2015
Posted: 04 Nov 2013 Last Revised: 17 Apr 2018
Working Paper Series
Independent
1786.

Normal Return Gaps

Posted: 01 Feb 2016 Last Revised: 01 Apr 2020
Working Paper Series
U.S. Air Force Academy - Department of Management, U.S. Air Force Academy - Department of Management and US Air Force Academy
1787.

On Existence of Moment of Mean Reversion Estimator in Linear Diffusion Models

Economics Letters, 2013, vol. 120 (2), 146-148.
Posted: 27 Feb 2016
Accepted Paper Series
Purdue University, University of California, Riverside (UCR) - Department of Economics and McGill University - Department of Economics
1788.

Pairs Trading and Spread Persistence in the European Stock Market

Forthcoming, Journal of Futures Markets
Posted: 11 Nov 2017 Last Revised: 07 May 2018
Accepted Paper Series
Comillas Pontifical University, Bankia and Jinan University
1789.

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

Journal of Financial and Quantitative Analysis, Forthcoming
Posted: 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

1790.

Predicting Interest Rate Volatility Using Information on the Yield Curve

International Review of Finance, Vol. 15, Issue 3, pp. 347-386, 2015
Number of pages: 40 Posted: 03 Sep 2015
Accepted Paper Series
University of Tsukuba
1791.

Price Discovery, What to Measure?

Posted: 24 Jun 2011
Working Paper Series
University of Washington
1792.

Price Jump Risk in the US Housing Market

Journal of Real Estate Finance and Economics, 2015 Forthcoming
Posted: 24 Aug 2015
Accepted Paper Series
University of Virginia - McIntire School of Commerce, University of Colorado at Denver - Business School and Independent

Multiple version iconThere are 2 versions of this paper

1793.

Price Leadership in Commodity Market: Evidence from India

Posted: 21 Jun 2015
Working Paper Series
Indian Institute of Management, Lucknow
1794.

Pricing Equity-Bond Covariance Risk: Between Flight-to-Quality and Fear-of-Missing-Out

Journal of Economic Dynamics and Control, Forthcoming
Posted: 23 Nov 2020
Accepted Paper Series
Passau University and Passau University
1795.

Property Renovations and Their Impact on House Price Index Construction

FHFA Working Paper 17-02
Posted: 10 Jul 2019
Working Paper Series
Federal Housing Finance Agency and Federal Housing Finance Agency
1796.

Pure Factor Portfolios and Multivariate Regression Analysis

Journal of Portfolio Management, 2017
Posted: 08 Feb 2017 Last Revised: 13 Nov 2019
Accepted Paper Series
Ensign Peak Advisors, Analytic Investors, Inc. and BYU Marriott School of Business
1797.

Reexamining Financial and Economic Predictability with New Estimators of Realized Variance and Variance Risk Premium

CREATES Research Paper 2018-10
Posted: 05 Mar 2018 Last Revised: 09 Mar 2018
Working Paper Series
University of Southern Denmark, Zhongnan University of Economics and Law - School of Finance and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
1798.

Regime Dependent Optimization across Various Risk Measures for Asia-Pacific Markets for a Diversifying Portfolios

Posted: 31 Jul 2020
Working Paper Series
Indian Institute of Technology Kharagpur and Independent
1799.

Regression Based Estimation of Dynamic Asset Pricing Models

CEPR Discussion Paper No. DP10449
Number of pages: 56 Posted: 02 Mar 2015
Working Paper Series
International Monetary Fund, Federal Reserve Banks - Federal Reserve Bank of New York and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

1800.

Relative Value Hedge Funds: A Behavioral Modeling of Hedge Fund Risk and Return Factors

Journal of Behavioral Finance, DOI: 10.1080/15427560.2018.1434654
Posted: 17 Apr 2018
Accepted Paper Series
University of Southern California - Marshall School of Business and Goethe University Frankfurt - House of Finance