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JEL Code: C58

375,358 Total downloads

Viewing: 151 - 200 of 1,839 papers

151.

On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-Scale Indicators

Quantitative Finance, Forthcoming.
Number of pages: 18 Posted: 28 Nov 2017 Last Revised: 23 Sep 2018
Accepted Paper Series
Southern Illinois University Edwardsville - Department of Economics & Finance, ETH Zürich, University of Pretoria - Department of Economics and ETH Zürich - Department of Management, Technology, and Economics (D-MTEC)
Downloads 464
152.

Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly

Journal of Financial Econometrics (2020, forthcoming) and University of Zurich, Department of Economics, Working Paper No. 290, Revised version
Number of pages: 28 Posted: 12 Jun 2018 Last Revised: 14 Oct 2020
Accepted Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Department of Economics
Downloads 459
153.

Liquidity and Volatility in the U.S. Treasury Market

Journal of Econometrics, 217(2), 207-229. , FRB of New York Staff Report No. 590, UNC Kenan-Flagler Research Paper No. 2013-20
Number of pages: 55 Posted: 02 Jan 2013 Last Revised: 02 Mar 2021
Working Paper Series
Pennsylvania State University - Smeal College of Business, New York University (NYU) - Department of Finance, Federal Reserve Bank of New York and University of North Carolina Kenan-Flagler Business School
Downloads 451
154.

Portfolio Selection with Active Risk Monitoring

Swiss Finance Institute Research Paper No. 15-17
Number of pages: 39 Posted: 12 Jun 2015
Working Paper Series
University of Zurich - Department of Banking and Finance and Stevens Institute of Technology, Department of Mathematical Sciences
Downloads 448
155.

Volatility Smile and Risk Neutral Density for FX Options: An Example for the USDMXN

Number of pages: 48 Posted: 01 Nov 2016 Last Revised: 26 Oct 2017
Working Paper Series
Independent
Downloads 448
156.

How Does Stock Market Volatility React to Oil Shocks?

FEEM Working Paper No. 110.2014
Number of pages: 35 Posted: 17 Jan 2015
Working Paper Series
Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS)
Downloads 445
157.

Local Mispricing and Microstructural Noise: A Parametric Perspective

Number of pages: 46 Posted: 23 Feb 2017 Last Revised: 29 Sep 2020
Working Paper Series
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, Faculty of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 437
158.

The Systemic Risk of Energy Markets

Number of pages: 40 Posted: 07 Apr 2013
Working Paper Series
Universite du Luxembourg - Luxembourg School of Finance
Downloads 435
159.

High-Frequency Lead-Lag Effects and Cross-Asset Linkages: A Multi-Asset Lagged Adjustment Model

Number of pages: 53 Posted: 23 Mar 2017 Last Revised: 29 Jul 2019
Working Paper Series
University of Rome Tor Vergata, University of Pisa - Department of Economics and University of Lugano and Swiss Finance Institute
Downloads 429
160.

Skill, Scale, and Value Creation in the Mutual Fund Industry

Swiss Finance Institute Research Paper No. 18-66
Number of pages: 99 Posted: 31 Oct 2018 Last Revised: 22 Jan 2021
Working Paper Series
McGill University - Desautels Faculty of Management, University of Lugano and University of Geneva GSEM and GFRI
Downloads 427
161.

The Law of One Price in Equity Volatility Markets

FRB of New York Staff Report No. 953
Number of pages: 71 Posted: 23 Dec 2020
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 421
162.

V-shapes

Number of pages: 38 Posted: 24 Mar 2020 Last Revised: 18 Sep 2020
Working Paper Series
CREST, ENSAE, Institut Polytechnique de Paris and University of Verona - Department of Economics
Downloads 420
163.

Time-Varying Systemic Risk: Evidence from a Dynamic Copula Model of CDS Spreads

Economic Research Initiatives at Duke (ERID) Working Paper No. 167
Number of pages: 43 Posted: 24 May 2013 Last Revised: 16 Nov 2013
Accepted Paper Series
Board of Governors of the Federal Reserve System and Duke University - Department of Economics
Downloads 416
164.

Is Your Covariance Matrix Still Relevant? An Asset Allocation-Based Analysis of Dynamic Volatility Models

Number of pages: 23 Posted: 01 Mar 2013
Working Paper Series
Nuveen Asset Management
Downloads 415
165.

Backtesting Global Growth-at-Risk

Number of pages: 69 Posted: 10 Oct 2019 Last Revised: 02 Nov 2020
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra - Department of Economics and Business
Downloads 413
166.

A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection

Number of pages: 40 Posted: 12 Jan 2021 Last Revised: 23 Mar 2021
Working Paper Series
University of Bath - School of Management, University of Bath, School of management and University of Bath - School of Management
Downloads 409
167.

The Ultimate Irrelevance Proposition in Finance?

Number of pages: 40 Posted: 16 Apr 2011
Working Paper Series
Cornell University - Samuel Curtis Johnson Graduate School of Management
Downloads 403
168.

Why Do Term Structures in Different Currencies Comove?

Journal of Financial Economics (JFE), Forthcoming, UNC Kenan-Flagler Research Paper No. 2013-11
Number of pages: 86 Posted: 09 Feb 2012 Last Revised: 18 Feb 2014
Accepted Paper Series
Southern Methodist University (SMU) - Finance Department, Penn State University Smeal College of Business and University of North Carolina Kenan-Flagler Business School
Downloads 401
169.

Large-Dimensional Factor Modeling Based on High-Frequency Observations

Number of pages: 125 Posted: 25 Mar 2015 Last Revised: 12 May 2018
Working Paper Series
Stanford University - Department of Management Science & Engineering
Downloads 397
170.

A New Set of Improved Value-at-Risk Backtests

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 26 Aug 2013 Last Revised: 08 Jul 2014
Accepted Paper Series
Ruhr University of Bochum, University TU Dortmund, University of Leipzig - Faculty of Economics and Management Science and University of Cologne
Downloads 396
171.

The Cost of Legal Restrictions on Experience Rating

Levon Barseghyan, Francesca Molinari, Darcy Steeg Morris & Joshua C. Teitelbaum, The Cost of Legal Restrictions on Experience Rating, 17 J. Empirical Legal Stud. 38 (2020)
Number of pages: 47 Posted: 16 Nov 2012 Last Revised: 12 Mar 2020
Working Paper Series
Cornell University, Cornell University - Department of Economics, Government of the United States of America - Bureau of the Census and Georgetown University Law Center

Multiple version iconThere are 2 versions of this paper

Downloads 396
172.

Information Aggregation and P-hacking

Fox School of Business Research Paper No. 17-004
Number of pages: 55 Posted: 20 Dec 2016 Last Revised: 29 Aug 2018
Working Paper Series
Temple University - Department of Finance and Fordham University - Finance Area
Downloads 389
173.

Compound Returns

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 81 Posted: 15 Jun 2019 Last Revised: 01 Oct 2019
Working Paper Series
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 388
174.

Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions

Number of pages: 38 Posted: 06 Apr 2016
Working Paper Series
Duke University - Finance, Duke University - Department of Economics and Erasmus University Rotterdam (EUR) - Department of Business Economics
Downloads 387
175.

High-Frequency Expectations from Asset Prices: A Machine Learning Approach

Number of pages: 65 Posted: 06 Nov 2020
Working Paper Series
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 378
176.

Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas

Journal of Banking & Finance, Volume 37, Issue 9, pp. 3334-3350, September 2013
Number of pages: 48 Posted: 02 Mar 2012 Last Revised: 14 Jun 2013
Accepted Paper Series
University of Leipzig - Faculty of Economics and Management Science and University of Dortmund - Department of Business
Downloads 377
177.

Simulation in the Real World

Number of pages: 17 Posted: 31 Aug 2016
Working Paper Series
Independent, Bank of America and Hebrew University of Jerusalem
Downloads 377
178.

Forecasting Stock Volatility: The Gains from Using Intraday Data

Number of pages: 33 Posted: 04 Oct 2016 Last Revised: 02 Mar 2018
Working Paper Series
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 375
180.

BV-VPIN: Measuring the Impact of Order Flow Toxicity and Liquidity on International Equities Markets

Number of pages: 27 Posted: 08 Jun 2016
Working Paper Series
University of Queensland, Columbia University and Quantal International Inc.
Downloads 370
181.

Sutte Indicator: A Technical Indicator in Stock Market

International Journal of Economics and Financial Issues, Volume 7, Issue 2, 2017
Number of pages: 2 Posted: 28 Feb 2017
Accepted Paper Series
Departement of Statistics, Universitas Negeri Makassar
Downloads 370
182.

CAPM, Components of Beta and the Cross Section of Expected Returns

Number of pages: 58 Posted: 19 Aug 2012 Last Revised: 30 Jul 2019
Working Paper Series
HEC Montreal - Department of Finance and UNSW Business School, University of New South Wales
Downloads 368
183.

Do Macroeconomic Variables Affect Stock Returns in BRICS Markets? An ARDL Approach

Journal of Commerce & Accounting Research, Volume 4, Issue 2, April 2015
Number of pages: 15 Posted: 23 Aug 2015
Accepted Paper Series
University of Delhi India - Delhi School of Economics - Department of Commerce and University of Delhi - Delhi School of Economics - Department of Commerce
Downloads 366
184.

A Closed-form Model-free Implied Volatility Formula through Delta Families

Journal of Derivatives, forthcoming
Number of pages: 24 Posted: 06 May 2020 Last Revised: 24 Jul 2020
Accepted Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and New Jersey Institute of Technology
Downloads 362
185.

Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios

Number of pages: 45 Posted: 24 Sep 2020 Last Revised: 22 Mar 2021
Working Paper Series
University of North Carolina at Chapel Hill, The Stephen M. Ross School of Business at the University of Michigan, University of North Carolina Kenan-Flagler Business School and UC Louvain and F.R.S.-FNRS
Downloads 360
186.

Luck versus Skill in the Cross-Section of Mutual Fund Returns: Reexamining the Evidence

Number of pages: 93 Posted: 02 Jul 2020 Last Revised: 07 Dec 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 359
187.

A Dynamic Inflation Hedging Trading Strategy Using a CPPI

Journal of Finance & Risk Perspectives, Volume 1 (2) 2012, 12th ACRN International Research Conference Proceeding - 2012, Steyr, European Business Research Conference Proceedings - 2012, Rome , 7th Annual Risk Management Conference Paper - 2013, Singapore
Number of pages: 39 Posted: 03 Jan 2012 Last Revised: 24 Jul 2013
Accepted Paper Series
Oliver Wyman SA

Multiple version iconThere are 2 versions of this paper

Downloads 353
188.

Machine-Learning in the Chinese Factor Zoo

Number of pages: 99 Posted: 18 Feb 2021
Working Paper Series
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Banking and Finance and affiliation not provided to SSRN
Downloads 352
189.

Feature Selection in Jump Models

Number of pages: 32 Posted: 18 Mar 2021
Working Paper Series
Lund University, New York University (NYU) - Courant Institute of Mathematical Sciences and Lund University
Downloads 351
190.

Dynamic ETF Pairs Trading System. Evidence From Australia

Number of pages: 43 Posted: 20 Oct 2015
Working Paper Series
UNSW Business School
Downloads 350
191.

High-Frequency Factor Models and Regressions

Chicago Booth Research Paper No. 19-04
Number of pages: 50 Posted: 23 Jan 2019
Working Paper Series
Princeton University - Department of Economics, North Carolina State University - Department of Economics and University of Chicago - Booth School of Business
Downloads 347
192.

Risk and Return Trade-Off in the U.S. Treasury Market

Number of pages: 41 Posted: 03 Mar 2014
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Penn State University Smeal College of Business, University of North Carolina (UNC) at Chapel Hill - Kenan-Flagler Business School and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 347
193.

Textual Sentiment, Option Characteristics, and Stock Return Predictability

IRTG 1792 Discussion Paper 2018-023
Number of pages: 54 Posted: 30 Jul 2018
Accepted Paper Series
Humboldt University of Berlin, University of St. Gallen - School of Economics and Political Science, Blockchain Research Center and Lingnan (University) College, Sun Yat-sen University, Guangzhou, China.
Downloads 345
194.

Bayesian Nonparametric Vector Autoregressive Models

Number of pages: 45 Posted: 27 Sep 2015 Last Revised: 07 Aug 2017
Working Paper Series
affiliation not provided to SSRN and University of Kent
Downloads 343
195.

The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification

SAFE Working Paper No. 166
Number of pages: 63 Posted: 13 Feb 2017
Working Paper Series
Ca Foscari University of Venice - Dipartimento di Economia, University of Padova - Department of Statistical Sciences, Joint Research Center of the European Commission and Goethe University Frankfurt - Faculty of Economics and Business Administration
Downloads 342
196.

Beta-Adjusted Covariance Estimation

Number of pages: 46 Posted: 02 Mar 2021 Last Revised: 06 Apr 2021
Working Paper Series
Ghent University, Vrije Universiteit Brussel (VUB), Aalborg University - Department of Mathematical Sciences and Vrije Universiteit Brussel (VUB)
Downloads 340
197.

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Journal of Empirical Finance, Forthcoming
Number of pages: 37 Posted: 14 Feb 2017 Last Revised: 18 Jun 2020
Working Paper Series
Aarhus University - CREATES and Aarhus University - CREATES
Downloads 340
198.
Downloads 339
199.

Blind to Carbon Risk? An Analysis of Stock Market’s Reaction to the Paris Agreement

Number of pages: 19 Posted: 27 Dec 2018 Last Revised: 29 Oct 2019
Working Paper Series
Boston University and University of Bologna - Department of Economics
Downloads 338
200.

Filtered Historical Simulation Value-at-Risk Models and Their Competitors

Bank of England Working Paper No. 525
Number of pages: 33 Posted: 08 Mar 2015
Working Paper Series
World Federation of Exchanges and London School of Economics - Law Department
Downloads 337