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JEL Code: C22

1,198,157 Total downloads

Viewing: 1 - 50 of 5,746 papers

1.

Absolute Momentum: A Simple Rule-Based Strategy and Universal Trend-Following Overlay

Number of pages: 33 Posted: 04 Apr 2013 Last Revised: 13 Jun 2015
Working Paper Series
Portfolio Management Consultants
Downloads 30,680
2.

A Simplified Approach to Understanding the Kalman Filter Technique

Number of pages: 24 Posted: 07 May 2005 Last Revised: 17 Apr 2008
Working Paper Series
University of Richmond - E. Claiborne Robins School of Business, Auburn University and Georgia State University - Department of Finance
Downloads 20,540
3.

Imitation is the Sincerest Form of Flattery: Warren Buffett and Berkshire Hathaway

Number of pages: 51 Posted: 26 Sep 2005 Last Revised: 05 May 2008
Working Paper Series
American University - Kogod School of Business and University of Nevada, Las Vegas - Department of Finance
Downloads 17,589
4.

Empirical Asset Pricing via Machine Learning

Chicago Booth Research Paper No. 18-04, 31st Australasian Finance and Banking Conference 2018, Yale ICF Working Paper No. 2018-09
Number of pages: 79 Posted: 09 Apr 2018 Last Revised: 15 Sep 2019
Working Paper Series
University of Chicago - Booth School of Business, Yale SOM and University of Chicago - Booth School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 14,195
5.

The Dow Theory: William Peter Hamilton's Track Record Re-Considered

Number of pages: 46 Posted: 11 Feb 1998
Working Paper Series
New York University - Stern School of Business, University of Miami - Miami Herbert Business School and Yale School of Management - International Center for Finance

Multiple version iconThere are 2 versions of this paper

Downloads 13,846
6.

SRISK: A Conditional Capital Shortfall Measure of Systemic Risk

Number of pages: 47 Posted: 18 May 2010 Last Revised: 05 Aug 2016
Working Paper Series
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and New York University (NYU) - Department of Finance
Downloads 12,249
7.

Effects of Word-of-Mouth versus Traditional Marketing: Findings from an Internet Social Networking Site

Robert H. Smith School Research Paper No. RHS 06-065
Number of pages: 49 Posted: 08 May 2008 Last Revised: 19 Jun 2014
Working Paper Series
University of Maryland - Robert H. Smith School of Business, UCLA Anderson School of Management and Ozyegin University
Downloads 11,187
8.

Alpha Generation and Risk Smoothing Using Managed Volatility

Number of pages: 37 Posted: 24 Aug 2010
Working Paper Series
Double-Digit Numerics
Downloads 9,666
9.

Bitcoin Spreads Like a Virus

Number of pages: 19 Posted: 23 Apr 2019 Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads 8,439
10.

Machine Learning in Asset Management

JFDS: https://jfds.pm-research.com/content/2/1/10
Number of pages: 65 Posted: 18 Jul 2019 Last Revised: 23 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 8,387
11.

A Multifractal Model of Asset Returns

Cowles Foundation Discussion Paper No. 1164, Sauder School of Business Working Paper
Number of pages: 33 Posted: 21 Apr 1998
Working Paper Series
Yale University - International Center for Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School - Department of Economics & Finance
Downloads 8,354
12.

Momentum and Markowitz: A Golden Combination

Number of pages: 34 Posted: 16 May 2015 Last Revised: 05 Jun 2015
Working Paper Series
VU University Amsterdam, ReSolve Asset Management and QuantStrat TradeR
Downloads 8,032
13.

Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits

Number of pages: 24 Posted: 08 Apr 2016 Last Revised: 13 Apr 2016
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 7,958
14.

How Much Should We Trust Staggered Difference-In-Differences Estimates?

European Corporate Governance Institute – Finance Working Paper No. 736/2021, Rock Center for Corporate Governance at Stanford University Working Paper No. 246
Number of pages: 70 Posted: 01 Mar 2021 Last Revised: 31 Mar 2021
Working Paper Series
Stanford University, Graduate School of Business, Stanford University - Graduate School of Business and Harvard Business School (HBS)
Downloads 7,246
15.

Breadth Momentum and Vigilant Asset Allocation (VAA): Winning More by Losing Less

Number of pages: 37 Posted: 19 Jul 2017
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 7,222
16.

Lucky Factors

Number of pages: 99 Posted: 22 Nov 2014 Last Revised: 08 Apr 2021
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 7,057
17.

Value at Risk Models in Finance

ECB Working Paper No. 75
Number of pages: 41 Posted: 25 Feb 2003
Working Paper Series
European Central Bank (ECB) and New York University (NYU) - Department of Finance
Downloads 6,870
18.

Machine Learning for Stock Selection

Financial Analysts Journal, vol. 75, no. 3 (Third Quarter 2019)
Number of pages: 35 Posted: 04 Mar 2019 Last Revised: 09 Aug 2019
Accepted Paper Series
Gresham Investment Management, LLC and Arwen Advisors
Downloads 4,996
19.

Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR

Number of pages: 25 Posted: 05 Mar 2019 Last Revised: 13 Feb 2020
Working Paper Series
Quantitative Risk Management, Inc. and Bloomberg L.P.
Downloads 4,969
20.

Breadth Momentum and the Canary Universe: Defensive Asset Allocation (DAA)

Number of pages: 29 Posted: 01 Aug 2018 Last Revised: 07 Sep 2021
Working Paper Series
VU University Amsterdam and TrendXplorer
Downloads 4,439
21.

A Better Measure of Relative Prediction Accuracy for Model Selection and Model Estimation

Journal of the Operational Research Society (2015) 66, 1352–1362
Number of pages: 25 Posted: 25 Jul 2015
Accepted Paper Series
University of Hertfordshire Business School
Downloads 4,431
22.

Augmented Dickey Fuller Test

Number of pages: 19 Posted: 17 Aug 2011
Working Paper Series
Université Paris I Panthéon-Sorbonne
Downloads 3,884
23.

Energy Shocks and Financial Markets

Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996
Number of pages: 38 Posted: 16 May 2006
Accepted Paper Series
University of Notre Dame, University of New South Wales, Sydney and Vanderbilt University - Finance
Downloads 3,678
24.

Risk Management of Risk Under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Number of pages: 31 Posted: 21 Feb 2011
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Complutense University of Madrid, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 3,508
25.

LIBOR Manipulation?

Number of pages: 49 Posted: 05 Aug 2008 Last Revised: 11 Aug 2008
Working Paper Series
The Brattle Group, affiliation not provided to SSRN, The Brattle Group and Milgard School of Business, UWT
Downloads 3,416
26.

The Bad, the Weak, and the Ugly: Avoiding the Pitfalls of Instrumental Variables Estimation

Number of pages: 45 Posted: 08 Nov 2005
Working Paper Series
Bates College
Downloads 3,333
27.

Expected Stock Returns and Variance Risk Premia

AFA 2008 New Orleans Meetings Paper, Review of Financial Studies, Forthcoming, Duke Department of Economics Research Paper No. 5, CREATES Research Paper No. 2008-48
Number of pages: 41 Posted: 21 Sep 2006 Last Revised: 14 Dec 2008
Working Paper Series
Duke University - Finance, Duke University - Economics Group and SUSTech Business School

Multiple version iconThere are 2 versions of this paper

Downloads 3,273
28.

Glossary to ARCH (GARCH)

CREATES Research Paper 2008-49
Number of pages: 46 Posted: 04 Sep 2008
Working Paper Series
Duke University - Finance
Downloads 3,260
29.

Testing Weak-Form Efficiency of the Russian Stock Market

EFA 2002 Berlin Meetings Presented Paper
Number of pages: 27 Posted: 11 Mar 2002
Working Paper Series
Deloitte & Touche, LLP, University of Cambridge - Judge Business School and University of Nijmegen, Nijmegen School of Management
Downloads 3,257
30.

Risk Everywhere: Modeling and Managing Volatility

Number of pages: 54 Posted: 28 Jan 2016 Last Revised: 22 Mar 2017
Working Paper Series
Duke University - Finance, Parametric Portfolio Associates, LLC, AQR Capital Management, LLC and AQR Capital Management, LLC

Multiple version iconThere are 2 versions of this paper

Downloads 3,201
31.

Testing the Fama and French Three-Factor Model and its Variants for the Indian Stock Returns

Number of pages: 35 Posted: 11 Dec 2006
Working Paper Series
affiliation not provided to SSRN
Downloads 3,179
32.

Value at Risk (VAR) in Real Options Analysis

Number of pages: 42 Posted: 20 May 2003
Working Paper Series
University of L'Aquila - Department of Information Engineering, Computer Science
Downloads 3,104
33.

Principal Component Analysis of Volatility Smiles and Skews

Number of pages: 16 Posted: 08 Dec 2000
Working Paper Series
University of Sussex Business School
Downloads 3,054
34.

Incrementality Bidding & Attribution

Number of pages: 40 Posted: 06 Mar 2018 Last Revised: 12 Mar 2018
Working Paper Series
Amazon and Netflix
Downloads 2,997
35.

A Forecast Comparison of Volatility Models: Does Anything Beat a Garch(1,1)?

Brown Univ. Economics Working Paper No. 01-04
Number of pages: 23 Posted: 13 Apr 2001
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 2,954
36.

A Simple Long Memory Model of Realized Volatility

Number of pages: 27 Posted: 07 Dec 2004
Working Paper Series
University of Pisa - Department of Economics
Downloads 2,898
37.

Islamic Mutual Funds’ Financial Performance and International Investment Style: Evidence from 20 Countries

European Journal of Finance, Forthcoming
Number of pages: 37 Posted: 12 Oct 2009 Last Revised: 18 Dec 2010
Accepted Paper Series
Smurfit Graduate Business School, University College Dublin, University of Technology Sydney (UTS) and Sociovestix Labs - a DFKI spin-off
Downloads 2,896
38.

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Number of pages: 33 Posted: 30 Apr 2009 Last Revised: 27 Jan 2010
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute, Complutense University of Madrid and Complutense University of Madrid - Facultad de Económicas y Empresariales
Downloads 2,875
39.

Large Deviations and the Distribution of Price Changes

Cowles Foundation Discussion Paper No. 1165, Sauder School of Business Working Paper
Number of pages: 30 Posted: 22 Apr 1998
Working Paper Series
EDHEC Business School - Department of Economics & Finance, University of British Columbia (UBC) - Sauder School of Business and Yale University - International Center for Finance
Downloads 2,865
40.

Brexit and Foreign Investment in the UK

Number of pages: 27 Posted: 07 May 2016
Working Paper Series
University of Warwick - Warwick Business School and Aston University
Downloads 2,861
41.

On the Estimation of the Global Minimum Variance Portfolio

Number of pages: 20 Posted: 09 Apr 2003
Working Paper Series
University of Cologne - Department of Finance & Centre for Financial Research (CFR) and Deutsche Bundesbank
Downloads 2,824
42.

Multifractality of Deutschemark / Us Dollar Exchange Rates

Cowles Foundation Discussion Paper No. 1166, Sauder School of Business Working Paper
Number of pages: 40 Posted: 21 Apr 1998
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School - Department of Economics & Finance and Yale University - International Center for Finance
Downloads 2,812
43.

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 BusinessUniversity of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - Marketing Department
Downloads 2,753
44.

Fat Tail Risk in Portfolios of Hedge Funds and Traditional Investments

Number of pages: 29 Posted: 09 May 2004
Working Paper Series
RMF Investment Management and RMF Investment Products
Downloads 2,645
45.

Do Mutual Funds Perform When it Matters Most to Investors? US Mutual Fund Performance and Risk in Recessions and Expansions

Number of pages: 53 Posted: 30 Aug 2006 Last Revised: 02 Sep 2011
Working Paper Series
Imperial College Business School

Multiple version iconThere are 2 versions of this paper

Downloads 2,631
46.

Which Variables Predict and Forecast Stock Market Returns?

Number of pages: 29 Posted: 29 Jun 2016
Working Paper Series
University of Stirling
Downloads 2,606
47.

Macroeconomic Factors and Stock Market Movement: Evidence from Ghana

Number of pages: 26 Posted: 26 Oct 2008 Last Revised: 16 Mar 2009
Working Paper Series
University of Cape Coast - School of Business and University of Leicester - School of Management
Downloads 2,582
48.

Testing the Significance of Calendar Effects

Federal Reserve Bank of Atlanta Working Paper No. 2005-02
Number of pages: 30 Posted: 26 May 2003
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and North Carolina State University - Department of Economics
Downloads 2,511
49.

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, University of California, Los Angeles and Southern Methodist University
Downloads 2,509
50.

The Impact of Fii Regulations in India: A Time-Series Intervention Analysis of Equity Flows

Money & Finance Money & Finance, ICRA Bulletin,Vol. 2, No. 18, pp 54-83, July-December 2004
Number of pages: 30 Posted: 14 Jul 2005
Accepted Paper Series
SURGE Research Support and Indian Statistical Institute, New Delhi - Economic Research Unit
Downloads 2,486