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JEL Code: C13

789,588 Total downloads

Viewing: 151 - 200 of 3,739 papers

151.

Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Number of pages: 53 Posted: 02 Jul 2008 Last Revised: 14 Jul 2010
Working Paper Series
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, Aarhus University - School of Business and Social Sciences and Harvard University
Downloads 964
152.

Modelling Extreme-Value Dependence in International Stock Markets

Number of pages: 37 Posted: 09 Mar 2002
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Alliance Manchester Business School, University of Manchester and Lancaster University - Mathematics and Statistics
Downloads 963
153.

Regimes in CDS Spreads: A Markov Switching Model of Itraxx Europe Indices

ICMA Centre Discussion Paper No. DP2006-08
Number of pages: 27 Posted: 05 Sep 2006
Working Paper Series
University of Sussex Business School and ICMA Centre, Henley Business School, University of Reading, UK
Downloads 962
154.

Merger Announcements and Insider Trading Activity in India: An Empirical Investigation

Investment Management and Financial Innovations, Vol. 3, pp. 140-154, 2006
Number of pages: 24 Posted: 09 Jan 2007
Accepted Paper Series
University of South Australia and Deakin University - School of Accounting, Economics and Finance
Downloads 954
155.

A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Syracuse University
Downloads 951
156.

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

Number of pages: 44 Posted: 18 Sep 2008 Last Revised: 28 Jun 2010
Working Paper Series
University of Chicago - Booth School of Business
Downloads 948
157.

Pitfalls in Estimating Jump-Diffusion Models

Number of pages: 31 Posted: 24 Feb 1998
Working Paper Series
Danske Bank - Danske Markets
Downloads 942
158.

Large Dimensional Covariance Matrix Estimation Via a Factor Model

Number of pages: 55 Posted: 16 Jan 2007
Working Paper Series
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University
Downloads 941
159.

The Equity Risk Premium: Empirical Evidence from Emerging Markets

Number of pages: 43 Posted: 23 Jul 2011 Last Revised: 15 Mar 2015
Working Paper Series
University of Brescia and University of Toulouse 1 - Toulouse School of Economics (TSE)
Downloads 939
160.

A Total Risk Measurement Framework for Hedge Funds and Funds of Funds

Number of pages: 43 Posted: 03 Feb 2010
Working Paper Series
CdR Capital Ltd, Abu Dhabi Investment Authority and Caliburn Capital Partners LLP
Downloads 933
161.

Rank-1/2: A Simple Way to Improve the OLS Estimation of Tail Exponents

Harvard Institute of Economic Research Discussion Paper No. 2106
Number of pages: 34 Posted: 07 Feb 2006 Last Revised: 19 Jun 2009
Working Paper Series
Harvard University - Department of Economics and Harvard University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 931
162.

A Comparison of Mixed Garch-Jump Models with Skewed T-Distribution for Asset Returns

Number of pages: 47 Posted: 22 Feb 2005
Working Paper Series
School of Urban Planning & Real Estate Studies, Dankook University and University of New Orleans - College of Business Administration - Department of Economics and Finance
Downloads 930
163.

Estimation of the Zero Coupon Swap Yield Curve

Number of pages: 7 Posted: 07 Dec 2005
Working Paper Series
Bank for International Settlements (BIS)
Downloads 928
164.

Modeling and Forecasting a Firm's Financial Statements with a VAR-VECM Model

Number of pages: 21 Posted: 24 Jan 2009
Working Paper Series
Government of the Federative Republic of Brazil - Central Bank of Brazil, University of Brasilia and Universidade de Brasília (UnB)
Downloads 928
165.

A Mean-Reverting Stochastic Volatility Option-Pricing Model with an Analytic Solution

Number of pages: 45 Posted: 27 May 2002
Working Paper Series
University of Karlstad, Department of Business and Economics
Downloads 922
166.

Star Wars: The Empirics Strike Back

Paris School of Economics Working Paper No. 2012-29
Number of pages: 38 Posted: 23 Jun 2012
Working Paper Series
University of Ottawa - Department of Economics, Banque de France, Aix-Marseille University - Aix-Marseille School of Economics and University of Bristol

Multiple version iconThere are 2 versions of this paper

Downloads 918
167.

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

Journal of Financial and Quantitative Analysis (JFQA), Vol. 44, No. 4, pp. 883-909, 2009
Number of pages: 37 Posted: 18 Jul 2009 Last Revised: 27 Feb 2012
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business, Sabanci University Graduate School of Management and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads 915
168.

Complete Analytical Solution of the Heston Model for Option Pricing and Value-at-Risk Problems: A Probability Density Function Approach

Number of pages: 12 Posted: 14 Jan 2015 Last Revised: 06 Jun 2015
Working Paper Series
Market Memory Trading L.L.C. and Market Memory Trading, LLC
Downloads 914
169.

Ultimate 100M World Records through Extreme-Value Theory

CentER Discussion Paper Series No. 2009-57
Number of pages: 15 Posted: 13 Jul 2009
Working Paper Series
Tilburg University - Department of Econometrics & Operations Research and affiliation not provided to SSRN
Downloads 909
170.

Tweaking Implied Volatility

Number of pages: 9 Posted: 02 Sep 2004
Working Paper Series
Deakin University - School of Accounting, Economics & Finance and Mississippi State University - College of Business
Downloads 906
171.

Multi-Factor Models and Signal Processing Techniques: Survey and Examples

IEEE Signal Processing Magazine - Special Issue on Financial Applications, Forthcoming
Number of pages: 12 Posted: 18 May 2011
Accepted Paper Series
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and Aequam Capital
Downloads 896
172.

Market Timing with Option-Implied Distributions: A Forward-Looking Approach

Number of pages: 56 Posted: 23 Oct 2008 Last Revised: 07 Mar 2011
Working Paper Series
University of Liverpool Management School, Queen Mary, University of London and Queen Mary, University of London, School of Economics and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 894
173.

Quantitative Style Investing

Number of pages: 52 Posted: 19 May 2016
Working Paper Series
Horizon Investments
Downloads 892
174.

Attention, Social Interaction, and Investor Attraction to Lottery Stocks

9th Miami Behavioral Finance Conference 2018, Baruch College Zicklin School of Business Research Paper No. 2019-03-01, Georgetown McDonough School of Business Research Paper No. 3343769
Number of pages: 67 Posted: 15 Mar 2019 Last Revised: 15 Jul 2019
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business, University of California, Irvine - Paul Merage School of Business, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Fordham University - Gabelli School of Business
Downloads 890
175.

Generalized Asset Value Credit Risk Models and Risk Minimality of the Classical Approach

Number of pages: 30 Posted: 21 May 2003
Working Paper Series
Wehrspohn GmbH & Co. KG
Downloads 888
176.

Maximum Likelihood Estimation of Asymmetric Jump-Diffusion Processes: Application to Security Prices

Number of pages: 32 Posted: 19 Oct 2004
Working Paper Series
California Polytechnic State University, San Luis Obispo and University of Missouri at Kansas City - Department of Mathematics and Statistics
Downloads 886
177.

An Econometric Model of the Brazilian Stock Market

Number of pages: 16 Posted: 20 Apr 2005
Working Paper Series
University of Brasilia
Downloads 881
178.

Estimating Markov Transition Matrices Using Proportions Data: An Application to Credit Risk

IMF Working Paper No. 05/219
Number of pages: 27 Posted: 03 Mar 2006
Working Paper Series
International Monetary Fund (IMF) - Monetary and Exchange Affairs Department
Downloads 880
179.

Forecasting Implied Volatility Surfaces

University of St. Gallen, Department of Economics, Discussion Paper No. 2007-42
Number of pages: 40 Posted: 25 Nov 2007 Last Revised: 14 Oct 2013
Working Paper Series
University of St. Gallen and University of Lugano
Downloads 880
180.

Will My Risk Parity Strategy Outperform?

Number of pages: 30 Posted: 08 Jul 2012 Last Revised: 17 Aug 2012
Working Paper Series
University of California, Berkeley - Department of Economics, University of California, Berkeley and University of California, Berkeley
Downloads 880
181.

Fat Tails in Small Sample

Number of pages: 38 Posted: 06 Jan 1998
Working Paper Series
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Tilburg University - Department of Finance, Utrecht University - School of Economics and University of Maastricht - Department of Economics
Downloads 877
182.

Robust Conditional Variance Estimation and Value-at-Risk

Number of pages: 24 Posted: 01 Feb 2001
Working Paper Series
University of Bristol and Bristol Business School
Downloads 869
183.

Improved Estimates of Correlation and Their Impact on the Optimum Portfolios

NYU Finance Working Paper No. FIN-04-016
Number of pages: 28 Posted: 29 Mar 2005
Working Paper Series
New York University (NYU) - Department of Finance, New York University (NYU) - Department of Finance and University of Virginia - Darden School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 868
184.

Is There a Risk-Return Tradeoff? Evidence from High-Frequency Data

Number of pages: 39 Posted: 03 Oct 2006
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 865
185.

Measuring Relative Accuracy: A Better Alternative to Mean Absolute Percentage Error

Hertfordshire Business School Working Paper (2013)
Number of pages: 24 Posted: 07 Nov 2013
Working Paper Series
University of Hertfordshire Business School
Downloads 861
186.

Random Coefficient Panel Data Models

Number of pages: 40 Posted: 06 Aug 2004
Working Paper Series
University of Southern California - Department of Economics and University of Southern California - Department of Economics
Downloads 856
187.

The Forecast Quality of Cboe Implied Volatility Indexes

Olin School of Business Working Paper No. 2003-08-004
Number of pages: 33 Posted: 16 Sep 2003
Working Paper Series
Deakin University - School of Accounting, Economics & Finance and Mississippi State University - College of Business
Downloads 846
188.

Water theft as social insurance: south-eastern Spain, 1851–1948

Number of pages: 33 Posted: 02 Oct 2015 Last Revised: 29 Mar 2021
Working Paper Series
University of Florida and Yale University
Downloads 846
189.

Joint Extreme Events in Equity Returns and Liquidity and their Cross-Sectional Pricing Implications

Journal of Banking and Finance, Forthcoming
Number of pages: 89 Posted: 01 Apr 2013 Last Revised: 12 Mar 2020
Accepted Paper Series
University of Mannheim - Department of International Finance, Aalto University and University of Neuchatel - Institute of Financial Analysis
Downloads 842
190.

Set Identification in Models with Multiple Equilibria

Review of Economic Studies, Vol. 78, No. 4, pp. 1264-1298, 2011
Number of pages: 46 Posted: 20 May 2008 Last Revised: 04 Nov 2011
Accepted Paper Series
NYU, Department of Economics and Courant Institute and Pennsylvania State University
Downloads 837
191.

Very Fast and Correctly Sized Estimation of the Bds Statistic

Number of pages: 95 Posted: 20 Mar 1999
Working Paper Series
affiliation not provided to SSRN
Downloads 837
192.

Factors and Risk Premia in Individual International Stock Returns

Swiss Finance Institute Research Paper No. 18-04, HEC Paris Research Paper No. FIN-2018-1250, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Forthcoming in Journal of Financial Economics
Number of pages: 87 Posted: 07 Feb 2020 Last Revised: 18 Aug 2020
Accepted Paper Series
University of Geneva - Geneva Finance Research Institute (GFRI), HEC Paris - Finance Department and University of Geneva GSEM and GFRI
Downloads 836
193.

Can Consumer-Posted Photos Serve as a Leading Indicator of Restaurant Survival? Evidence from Yelp

Number of pages: 83 Posted: 31 Jan 2018 Last Revised: 05 May 2021
Working Paper Series
University of Southern California and University of Southern California
Downloads 832
194.

Timing Law School

Journal of Empirical Legal Studies (2017), HLS Center on the Legal Profession Research Paper No. 2015-4, AccessLex Institute Research Paper No. 17-04
Number of pages: 40 Posted: 08 Mar 2015 Last Revised: 24 Aug 2017
Accepted Paper Series
Amazon.com and University of Southern California Gould School of Law

Multiple version iconThere are 3 versions of this paper

Downloads 832
195.

Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Number of pages: 85 Posted: 12 Jun 2010 Last Revised: 07 Jul 2012
Working Paper Series
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance, Georgetown University - Robert Emmett McDonough School of Business and Fordham University - Gabelli School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 831
196.

Model Comparison with Sharpe Ratios

Rotman School of Management Working Paper No. 3013149
Number of pages: 51 Posted: 04 Aug 2017 Last Revised: 13 Mar 2019
Working Paper Series
University of New South Wales, University of Toronto - Rotman School of Management, Imperial College Business School and Emory University - Goizueta Business School
Downloads 829
197.

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

Number of pages: 71 Posted: 17 May 2016 Last Revised: 29 Apr 2020
Working Paper Series
University of Virginia
Downloads 824
198.

Do the Distributional Characteristics of Corporate Bonds Predict Their Future Returns?

Georgetown McDonough School of Business Research Paper No. 2548562
Number of pages: 75 Posted: 14 Jan 2015 Last Revised: 11 Nov 2016
Working Paper Series
Georgetown University - Department of Finance, Georgetown University - Robert Emmett McDonough School of Business and Georgetown University - Department of Finance
Downloads 820
199.

Pricing Total Return Swap

Number of pages: 25 Posted: 09 Aug 2018 Last Revised: 05 Oct 2018
Working Paper Series
NYU/Courant
Downloads 814
200.

Simple Robust Linkages between CDS and Equity Options

Number of pages: 46 Posted: 25 Mar 2008
Working Paper Series
New York University Finance and Risk Engineering and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 810