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Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal

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Viewing: 1 - 50 of 4,270 papers

1.

Easy Volatility Investing

Number of pages: 34 Posted: 23 Apr 2013
Working Paper Series
Double-Digit Numerics
Downloads 16,884
2.

Adaptive Supervised Learning for Volatility Targeting Models

Université Paris-Dauphine Research Paper No. 3924255
Number of pages: 12 Posted: 20 Sep 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Ecole Polytechnique Fédérale de Lausanne, Lombard Odier Investment Managers and AI For Alpha
Downloads 16,188
3.

Demystifying Time-Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations

"Market Momentum: Theory and Practice", Wiley, 2020 (Forthcoming)
Number of pages: 49 Posted: 02 Sep 2012 Last Revised: 09 Sep 2019
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International and Imperial College Business School
Downloads 12,108
4.

The Volatility Effect: Lower Risk Without Lower Return

Journal of Portfolio Management, pp. 102-113, Fall 2007, ERIM Report Series Reference No. ERS-2007-044-F&A
Number of pages: 23 Posted: 17 Apr 2007
Accepted Paper Series
Robeco Quantitative Investments and Robeco Quantitative Investments
Downloads 11,720
5.

Manipulation in the VIX?

Number of pages: 58 Posted: 24 May 2017
Working Paper Series
University of Texas at Austin - Department of Finance and Ohio State University, Fisher College of Business
Downloads 10,355
6.

Volatility-Managed Portfolios

Journal of Finance, Forthcoming
Number of pages: 76 Posted: 12 Sep 2015 Last Revised: 08 Mar 2017
Accepted Paper Series
University of Rochester - Simon Business School and University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 9,597
7.

Explainable AI (XAI) Models Applied to Planning in Financial Markets

Université Paris-Dauphine Research Paper No. 3862437
Number of pages: 9 Posted: 13 Jun 2021 Last Revised: 22 Feb 2022
Working Paper Series
Université Paris Dauphine, affiliation not provided to SSRN, Université Paris Dauphine, AI For Alpha and affiliation not provided to SSRN
Downloads 9,178
8.

Adaptive Learning for Financial Markets Mixing Model-Based and Model-Free RL for Volatility Targeting

Forthcoming in AAMAS ALA 2021 workshop, Machine Learning Group, LAMSADE, Dauphine University, MILES Working paper
Number of pages: 10 Posted: 30 Apr 2021 Last Revised: 14 Jun 2021
Working Paper Series
Université Paris Dauphine, Université Paris Dauphine, Lombard Odier Investment Managers, Lombard Odier Investment Management and Lombard Odier Investment Managers
Downloads 6,618
9.

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 5,329
10.

Gamma Fragility

University of St.Gallen, School of Finance Research Paper No. 2020/05
Number of pages: 48 Posted: 16 Nov 2020 Last Revised: 18 Mar 2021
Working Paper Series
University of St. Gallen and Imperial College Business School
Downloads 5,218
11.

COVID-19 and Stock Market Volatility

Number of pages: 24 Posted: 10 Apr 2020 Last Revised: 22 Aug 2021
Working Paper Series
University of Exeter Business School
Downloads 5,052
12.

A Demand System Approach to Asset Pricing

Journal of Political Economy, Vol. 127, No. 4, 2019
Number of pages: 62 Posted: 14 Dec 2014 Last Revised: 21 Jun 2019
Accepted Paper Series
University of Chicago - Booth School of Business and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 4,951
13.

Granular Instrumental Variables

Number of pages: 97 Posted: 15 Apr 2019 Last Revised: 08 Jul 2021
Working Paper Series
Harvard University - Department of Economics and University of Chicago - Booth School of Business

Multiple version iconThere are 3 versions of this paper

Downloads 4,322
14.

Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin's Volatility Based on a GARCH Model

Number of pages: 52 Posted: 02 May 2017 Last Revised: 14 May 2017
Working Paper Series
Skidmore College - Department of Economics
Downloads 4,249
15.

Return Seasonalities

Journal of Finance, Forthcoming, Fama-Miller Working Paper, Chicago Booth Research Paper No. 13-15
Number of pages: 49 Posted: 25 Feb 2013 Last Revised: 12 Dec 2015
Working Paper Series
Aalto University - School of Business, Dartmouth College - Tuck School of Business and Aalto University
Downloads 4,024
16.

Pricing Under Rough Volatility

Quantitative Finance, Vol. 16, No. 6, 887-904, 2016.
Number of pages: 42 Posted: 25 Jan 2015 Last Revised: 13 Jun 2016
Accepted Paper Series
Weierstras Institute for Applied Analysis and Stochastics (WIAS), Technische Universität Berlin (TU Berlin) and CUNY Baruch College
Downloads 4,006
17.

Volatility Modelling and Trading

Global Derivatives Workshop Global Derivatives Trading & Risk Management, Budapest, 2016
Number of pages: 164 Posted: 19 Jul 2016
Accepted Paper Series
Sygnum Bank Asset Management
Downloads 3,830
18.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Working Paper Series
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 3,801
19.

Can We Use Volatility to Diagnose Financial Bubbles? Lessons from 40 Historical Bubbles

Quantitative Finance and Economics, 2 (1), 486-594 (2018), Swiss Finance Institute Research Paper No. 17-27
Number of pages: 127 Posted: 24 Jul 2017
Working Paper Series
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), ETH Zürich and ETH Zurich
Downloads 3,783
20.

Trend-Following, Risk-Parity and the Influence of Correlations

"Risk-Based and Factor Investing", Elsevier & ISTE Press, 2015 (Forthcoming)
Number of pages: 25 Posted: 14 Oct 2015 Last Revised: 24 Dec 2015
Accepted Paper Series
Imperial College Business SchoolGoldman Sachs International
Downloads 3,558
21.

Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis

Journal of Finance, Forthcoming, European Corporate Governance Institute (ECGI) - Finance Working Paper No. 446/2015
Number of pages: 52 Posted: 28 Jan 2015 Last Revised: 17 Oct 2016
Accepted Paper Series
University of Utah - Department of Finance, London Business School and London School of Economics & Political Science (LSE)

Multiple version iconThere are 2 versions of this paper

Downloads 3,368
22.

Option Implied Volatility, Skewness, and Kurtosis and the Cross-Section of Expected Stock Returns

Georgetown McDonough School of Business Research Paper
Number of pages: 67 Posted: 09 Sep 2013 Last Revised: 23 Jan 2019
Working Paper Series
Georgetown University - McDonough School of Business, Singapore Management University - Lee Kong Chian School of Business and Georgia State University
Downloads 3,363
23.

Does VIX Truly Measure Return Volatility?

Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, Forthcoming
Number of pages: 35 Posted: 31 Aug 2014 Last Revised: 07 Jul 2020
Working Paper Series
West Virginia University - Department of Finance, Guang Hua School of Management, Peking University and Tulane University - A.B. Freeman School of Business
Downloads 3,345
24.

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 3,317
25.

Is Bitcoin a Real Currency? An Economic Appraisal

Number of pages: 23 Posted: 02 Dec 2013 Last Revised: 02 Nov 2014
Working Paper Series
New York University (NYU) - Stern School of Business
Downloads 3,315
26.

An Explicit Implied Volatility Formula

International Journal of Theoretical and Applied Finance, Vol. 20, no. 7, 2017
Number of pages: 24 Posted: 01 Feb 2017 Last Revised: 25 Jul 2018
Working Paper Series
Baruch College, City University of New York and CUNY Baruch College
Downloads 3,092
27.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Working Paper Series
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 2,994
28.

Factors Affecting Indian Stock Market

Joshi, M. C. (2013). Factors Affecting Indian Stock Market. International Journal of Contemporary Research in Management, Engineering and Health Science , 1 (2), 37-45
Number of pages: 18 Posted: 25 Mar 2013 Last Revised: 27 Apr 2018
Accepted Paper Series
B.R.C.M. College of Business Administration
Downloads 2,987
29.

Volatility Lessons

Chicago Booth Research Paper No. 17-33, Fama-Miller Working Paper
Number of pages: 20 Posted: 04 Dec 2017 Last Revised: 19 Oct 2018
Working Paper Series
University of Chicago - Finance and Dartmouth College - Tuck School of Business
Downloads 2,956
30.

The VIX Premium

Review of Financial Studies, Forthcoming
Number of pages: 57 Posted: 13 Sep 2014 Last Revised: 07 Jun 2018
Accepted Paper Series
University of Toronto - Rotman School of Management
Downloads 2,864
31.

Do High-Frequency Traders Anticipate Buying and Selling Pressure?

Number of pages: 58 Posted: 24 Mar 2013 Last Revised: 28 Apr 2020
Working Paper Series
Nova School of Business and Economics
Downloads 2,694
32.

The Volatility Effect Revisited

Number of pages: 27 Posted: 26 Aug 2019
Working Paper Series
Robeco Quantitative Investments, Robeco Quantitative Investments and Erasmus University Rotterdam (EUR)
Downloads 2,670
33.

Excess Volatility: Beyond Discount Rates

Fama-Miller Working Paper, Chicago Booth Research Paper No. 15-13
Number of pages: 70 Posted: 06 Mar 2015 Last Revised: 30 Jul 2019
Working Paper Series
Yale School of Management and Yale SOM

Multiple version iconThere are 2 versions of this paper

Downloads 2,532
34.

Hierarchical Risk Parity: Accounting for Tail Dependencies in Multi-Asset Multi-Factor Allocations

Chapter 9 in: Machine Learning and Asset Management, Emmanuel Jurczenko (ed.), Iste and Wiley, 2020, pp. 332-368
Number of pages: 33 Posted: 08 Jan 2020 Last Revised: 09 Nov 2020
Working Paper Series
Robeco Quantitative Investments, Invesco and Metzler Asset Management
Downloads 2,503
35.

Volatility Is Rough

Quantitative Finance, Vol. 18, No. 6, 933-949, 2018.
Number of pages: 50 Posted: 15 Oct 2014 Last Revised: 25 May 2018
Accepted Paper Series
CUNY Baruch College, Pictet Asset Management and Ecole Polytechnique, Palaiseau
Downloads 2,191
36.

Have We Solved the Idiosyncratic Volatility Puzzle?

Journal of Financial Economics (JFE), Forthcoming, Charles A. Dice Center Working Paper No. 2012-28, Fisher College of Business Working Paper No. 2012-03-028
Number of pages: 63 Posted: 18 Dec 2012 Last Revised: 02 Oct 2015
Accepted Paper Series
Ohio State University (OSU) - Department of Finance and Singapore Management University - Lee Kong Chian School of Business
Downloads 2,176
37.

Loan Originations and Defaults in the Mortgage Crisis: The Role of the Middle Class

Tuck School of Business Working Paper No. 2546427, Duke I&E Research Paper No. 15-8
Number of pages: 53 Posted: 09 Jan 2015 Last Revised: 22 Mar 2016
Working Paper Series
Duke University, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Dartmouth College - Tuck School of Business
Downloads 2,162
38.

Financial Market Contagion in the Asian Crisis

IMF Working Paper No. 1998/155
Number of pages: 60 Posted: 09 Dec 1998
Working Paper Series
Gávea Investimentos
Downloads 2,071
39.

The Effect of Global Financial Crisis on Nigeria Economy

Number of pages: 18 Posted: 14 Oct 2015
Working Paper Series
Olabisi Onabanjo University (OOU)
Downloads 2,067
40.

Inter-Temporal Risk Parity: A Constant Volatility Framework for Equities and Other Asset Classes

Number of pages: 29 Posted: 25 Jan 2014
Working Paper Series
BNP Paribas Asset Management, BNP Paribas Asset Management, BNP Paribas Asset Management and BNP Paribas Investment Partners
Downloads 1,993
41.

Resiliency of Environmental and Social Stocks: An Analysis of the Exogenous COVID-19 Market Crash

European Corporate Governance Institute – Finance Working Paper No. 676/2020
Number of pages: 42 Posted: 24 Apr 2020 Last Revised: 28 Aug 2021
Working Paper Series
Boston College, Carroll School of Management, Haskayne School of Business, University of Calgary, University of Calgary - Haskayne School of Business and University of Exeter Business School
Downloads 1,952
42.

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 77 Posted: 17 Feb 2015 Last Revised: 12 Dec 2018
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Duke University, Department of Economics
Downloads 1,917
43.

An Improved Pairs Trading Strategy Based on Switching Regime Volatility

Number of pages: 25 Posted: 27 Jul 2015
Working Paper Series
University of Trento - Department of Economics and Management and University of Trento - Department of Economics and Management
Downloads 1,907
44.

Collaborative Consumption: Strategic and Economic Implications of Product Sharing

Management Science, 2016, Forthcoming
Number of pages: 64 Posted: 09 Feb 2015 Last Revised: 05 Oct 2017
Accepted Paper Series
Washington University in Saint Louis - John M. Olin Business School and Fudan University, School of Management
Downloads 1,901
45.

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Working Paper Series
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business

Multiple version iconThere are 2 versions of this paper

Downloads 1,897
46.

Roughening Heston

Risk, pp. 84-89, May 2019.
Number of pages: 12 Posted: 14 Feb 2018 Last Revised: 12 Jun 2019
Accepted Paper Series
Ecole Polytechnique, Paris, CUNY Baruch College and Ecole Polytechnique, Palaiseau
Downloads 1,863
47.

Understanding and Trading the Term Structure of Volatility

Number of pages: 45 Posted: 17 Nov 2016 Last Revised: 08 Feb 2017
Working Paper Series
Kansas State University - Department of FinanceUniversity of Massachusetts Amherst - Isenberg School of Management and Isenberg School of Management, University of Massachusetts
Downloads 1,852
48.

Financial Crises and Risk Premia

Number of pages: 52 Posted: 17 Jan 2014 Last Revised: 03 Nov 2016
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 1,797
49.

Are Cryptocurrencies Real Financial Bubbles? Evidence from Quantitative Analyses

A version of this paper was published in Risk, 26 January 2018
Number of pages: 14 Posted: 27 Dec 2017 Last Revised: 10 Sep 2018
Accepted Paper Series
Intesa Sanpaolo - Financial and Market Risk Management, Intesa Sanpaolo-Financial and Market Risk Management and Intesa Sanpaolo - Financial and Market Risk Management
Downloads 1,791
50.

The VIX, the Variance Premium and Stock Market Volatility

Journal of Econometrics, Vol. 183, No. 2, pp. 181-192, December, 2014
Number of pages: 38 Posted: 17 Apr 2013 Last Revised: 17 Sep 2015
Working Paper Series
Columbia University - Columbia Business School, Finance and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,779