Search Results
JEL Code: C22

1,211,665 Total downloads

Viewing: 51 - 100 of 5,778 papers

51.

Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy

Number of pages: 62 Posted: 27 Aug 2008 Last Revised: 10 Apr 2009
Working Paper Series
Washington University in St. LouisSaint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 2,441
52.

Momentum with Volatility Timing

Number of pages: 18 Posted: 10 Jul 2019
Working Paper Series
VKY Analytics, LLC
Downloads 2,413
53.

Statistical Arbitrage: Medium Frequency Portfolio Trading

Number of pages: 27 Posted: 25 Jun 2013 Last Revised: 09 Jul 2013
Working Paper Series
Independent
Downloads 2,353
54.

The Yield Curve and Predicting Recessions

Number of pages: 21 Posted: 03 May 2006
Working Paper Series
Johns Hopkins University - Department of Economics
Downloads 2,287
55.

Realized Variance and Market Microstructure Noise

Number of pages: 58 Posted: 26 Feb 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences
Downloads 2,243
56.

Skewed Generalized Error Distribution of Financial Assets and Option Pricing

Multinational Finance Journal, 2015, vol. 19, no. 4, pp. 223-266
Number of pages: 50 Posted: 13 May 2000 Last Revised: 26 Aug 2019
Accepted Paper Series
Cyprus University of Technology
Downloads 2,215
57.

Determinants of Unemployment in Bangladesh: A Case Study

Developing Country Studies, Vol.4, No.3, 2014
Number of pages: 5 Posted: 01 Mar 2014
Working Paper Series
University of Chittagong and Jatiya Kabi Kazi Nazrul Islam University
Downloads 2,183
58.

Quantifying Trading Behavior in Financial Markets Using Google Trends

Scientific Reports, Vol. 3, pp. 1684; DOI:10.1038/srep01684 (2013)
Number of pages: 6 Posted: 04 May 2013
Accepted Paper Series
Data Science Lab, Behavioural Science, Warwick Business School, Data Science Lab, Behavioural Science, Warwick Business School and Boston University - Center for Polymer Studies
Downloads 2,182
59.

The Contribution of Tourism to Economic Growth: An Empirical Analysis for the Case of Chile

European Journal of Tourism Research, Vol. 2, No. 2, pp. 178-185, 2009
Number of pages: 5 Posted: 10 Nov 2008 Last Revised: 16 Jun 2011
Accepted Paper Series
University of Siena - Department of Economics and Universidad de la República
Downloads 2,138
60.

Realized Volatility

Number of pages: 29 Posted: 12 Feb 2008 Last Revised: 05 Dec 2008
Working Paper Series
Northwestern University - Kellogg School of Management and Federal Reserve Bank of Chicago - Research Department
Downloads 2,116
61.

Impact of Derivatives on Stock Market

Indian Finance Summit, January 2009
Number of pages: 18 Posted: 12 Nov 2009 Last Revised: 13 Nov 2009
Accepted Paper Series
O.P. Jindal Global University (JGU), Birla Institute of Management Technology (BIMTECH), Deloitte Touche Tohmatsu India and affiliation not provided to SSRN
Downloads 2,094
62.

The Overlapping Data Problem

Number of pages: 38 Posted: 16 Apr 1998
Working Paper Series
Toyota Motor Credit Corporation and Oklahoma State University - Stillwater - Department of Agricultural Economics
Downloads 2,041
63.

The Impact of COVID-19 on Exchange Rate Volatility: Evidence Through GARCH Model

Number of pages: 15 Posted: 28 May 2020
Working Paper Series
University of Sousse - LAMIDED Laboratory and King Faisal University (KFU)
Downloads 1,969
64.

When is Time Continuous?

MIT Laboratory of Financial Engineering (LFE) Working Paper No. LFE-1033-98
Number of pages: 51 Posted: 02 Sep 1998
Working Paper Series
Massachusetts Institute of Technology (MIT) - Sloan School of Management, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,863
65.

Efficient Tests of Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
Number of pages: 56 Posted: 23 Oct 2002 Last Revised: 17 Jun 2009
Accepted Paper Series
Harvard University - Department of Economics and Princeton University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 1,846
66.

Modeling Electricity Prices: International Evidence

Number of pages: 32 Posted: 06 Feb 2002
Working Paper Series
Universidad Carlos III de Madrid - Department of Economics, Universidad Carlos III de Madrid - Department of Business Administration and Comisión Nacional de Energía
Downloads 1,841
67.

The Volatility of a Firm's Assets and the Leverage Effect

AFA 2010 Atlanta Meetings Paper
Number of pages: 64 Posted: 14 Mar 2009 Last Revised: 03 Sep 2015
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,838
68.

Predicting Corporate Financial Distress: A Time-Series CUSUM Methodology

Number of pages: 40 Posted: 06 Mar 1998
Working Paper Series
Rutgers, The State University of New Jersey - Accounting and Cyprus University of Technology
Downloads 1,834
69.

Generalized Autoregressive Score Models in R: The GAS Package

Journal of Statistical Software, Vol. 88, Issue 6, pp. 1-28, 2019
Number of pages: 28 Posted: 21 Aug 2016 Last Revised: 04 Feb 2019
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,802
70.

Empirical Evidence on the Relationship between Eva and Stock Returns in Brazilian Firms

Number of pages: 9 Posted: 20 Apr 2005
Working Paper Series
Universidade de Brasília (UnB) - Campus Universitario Darcy Ribeiro
Downloads 1,775
71.

On the Persistence of Cointegration in Pairs Trading

Number of pages: 25 Posted: 05 Sep 2014
Working Paper Series
Independent
Downloads 1,759
72.

Modeling the Price Dynamics of Co2 Emission Allowances

Number of pages: 33 Posted: 19 May 2006 Last Revised: 17 Feb 2014
Working Paper Series
University of Bonn - Bonn Graduate School of Economics and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 1,758
73.

Growth-Trend Timing and 60-40 Variations: Lethargic Asset Allocation (LAA)

Number of pages: 15 Posted: 15 Dec 2019 Last Revised: 22 Jan 2020
Working Paper Series
VU University Amsterdam
Downloads 1,750
74.

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 Business School - Finance and Economics and European Central Bank (ECB)

Multiple version iconThere are 4 versions of this paper

Downloads 1,734
75.

An Eviews Program for Arma Modeling and Forecasting

Number of pages: 2 Posted: 22 Feb 2005
Working Paper Series
University of Tehran and University of Tehran
Downloads 1,725
76.

Least Squares Percentage Regression

Journal of Modern Applied Statistical Methods, 2009
Number of pages: 12 Posted: 22 May 2009
Working Paper Series
University of Hertfordshire Business School
Downloads 1,717
77.

Commodity Futures Markets in India: Riding the Growth Phase

International Conference on Commodity Future: Riding the Growth Phase, January 2008
Number of pages: 28 Posted: 06 Feb 2008
Working Paper Series
Evalueserve.com Pvt. Ltd.
Downloads 1,700
78.

Multiple Testing in Economics

Number of pages: 21 Posted: 23 Nov 2013
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,684
79.

Forecasting Stock Market Volatility: Evidence from Fourteen Countries

Number of pages: 29 Posted: 03 Dec 2002
Working Paper Series
University of Aberdeen, Cankaya University - Department of Management and University of QueenslandBond University
Downloads 1,677
80.

False (and Missed) Discoveries in Financial Economics

Number of pages: 61 Posted: 21 Nov 2017 Last Revised: 08 Jun 2020
Working Paper Series
Duke University - Fuqua School of Business and Purdue University
Downloads 1,672
81.

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 1,655
82.

Forecasting Risk with Markov-Switching GARCH Models: A Large-Scale Performance Study

International Journal of Forecasting, Vol 34, Issue 4, pp. 733-747, 2018
Number of pages: 15 Posted: 16 Feb 2017 Last Revised: 06 Jun 2021
Accepted Paper Series
HEC Montreal - Department of Decision Sciences, Université de Sherbrooke - Faculty of Administration, Ghent University and Aarhus University - School of Business and Social Sciences
Downloads 1,652
83.

Modelling Short-Term Volatility with GARCH and Harch Models

Number of pages: 17 Posted: 25 Jun 1997
Working Paper Series
DEAR-Consulting, Olsen & Associates, Pictet Asset Management and Lykke Corp

Multiple version iconThere are 2 versions of this paper

Downloads 1,634
84.

International Stock Return Predictability: What is the Role of the United States?

Journal of Finance, Forthcoming
Number of pages: 46 Posted: 19 Nov 2009 Last Revised: 23 May 2012
Accepted Paper Series
Washington University in St. LouisSaint Louis University, University of Denver - Daniels College of Business and Washington University in St. Louis - John M. Olin Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,633
85.

Return-Based Style Analysis with Time-Varying Exposures

Number of pages: 42 Posted: 28 Nov 2001
Working Paper Series
Erasmus University Rotterdam (EUR) and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 1,623
86.

Investor Attention and Stock Returns

Number of pages: 52 Posted: 26 Jun 2018 Last Revised: 24 Aug 2020
Working Paper Series
Xiamen University - School of Economics, Hunan University - College of Finance and Statistics, Jinan University - Management School and Washington University in St. Louis - John M. Olin Business School
Downloads 1,621
87.

The Theory of Storage and Price Dynamics of Agricultural Commodity Futures: The Case of Corn and Wheat

EFA 2002 Berlin Meetings Discussion Paper
Number of pages: 32 Posted: 24 Feb 2002 Last Revised: 05 Oct 2008
Working Paper Series
Banco de Mexico
Downloads 1,598
88.

Designing Realised Kernels to Measure the Ex-Post Variation of Equity Prices in the Presence of Noise

Number of pages: 46 Posted: 18 Nov 2004 Last Revised: 06 Apr 2008
Working Paper Series
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of North Carolina (UNC) at Chapel Hill - Department of Economics, CREATESAarhus University - School of Business and Social Sciences and Harvard University
Downloads 1,580
89.

Measuring Oil Price Volatility

Number of pages: 19 Posted: 22 Jul 2002
Working Paper Series
University of Groningen - Faculty of Economics and Business
Downloads 1,577
90.

MTSS-GAN: Multivariate Time Series Simulation Generative Adversarial Networks

Number of pages: 7 Posted: 26 Jun 2020
Working Paper Series
The Alan Turing Institute
Downloads 1,562
91.

Using Statistical Process Control to Monitor Active Managers

Number of pages: 35 Posted: 19 Mar 2003
Working Paper Series
NYU Tandon School of Engineering - Department of Finance and Risk Engineering, IBM Corporation - Thomas J. Watson Research Center and Parametric Portfolio Associates
Downloads 1,513
92.

Probabilities of Default for Impairment Under IFRS 9

Number of pages: 6 Posted: 02 Nov 2015
Working Paper Series
Natixis
Downloads 1,512
93.

A Study on the Effect of Macroeconomic Variables on Indian Mutual Funds

Number of pages: 13 Posted: 15 Dec 2008
Working Paper Series
Alliance University - School of Business and affiliation not provided to SSRN
Downloads 1,484
94.

Understanding the Relationship between VIX and the S&P 500 Index Volatility

26th Australasian Finance and Banking Conference 2013
Number of pages: 27 Posted: 19 Aug 2013
Working Paper Series
Boston University Metropolitan College and Administrative Sciences Department, Boston University
Downloads 1,484
95.

Estimating the Global Minimum Variance Portfolio

Schmalenbach Business Review, Vol. 58, October 2006
Number of pages: 18 Posted: 26 Oct 2006
Accepted Paper Series
Deutsche Bundesbank and University of Cologne - Department of Finance & Centre for Financial Research (CFR)
Downloads 1,483
96.

Foreign Direct Investment and Macroeconomic Factors: Evidence From the Indian Economy

Asia-Pacific Journal of Management Research and Innovation, 2015, Vol. 11 No. 01, pp. 46-56
Number of pages: 12 Posted: 19 Nov 2012 Last Revised: 01 May 2015
Accepted Paper Series
Department of Commerce, Delhi School of Economics,University of Delhi, IndiaUniversity of Delhi India - Delhi School of Economics - Department of Commerce, Hansraj College, University of Delhi and University of Delhi - Department of Commerce
Downloads 1,480
97.

Using VIX Data to Enhance Technical Trading Signals

Number of pages: 6 Posted: 19 Sep 2011
Working Paper Series
Lakehead University and Lakehead University
Downloads 1,480
98.

Coronavirus: Case for Digital Money?

World Economics 21(1) (2020) 177-190, Johns Hopkins Carey Business School Research Paper No. 20-08
Number of pages: 12 Posted: 07 Aug 2020 Last Revised: 20 Aug 2020
Accepted Paper Series
Quantigic Solutions LLC and Johns Hopkins University - Carey Business School
Downloads 1,469
99.

The Impacts of Interest Rate on Stock Market: Empirical Evidence from Dhaka Stock Exchange

South Asian Journal of Management Sciences, Vol. 4(1), pp. 21-30, (2010)
Number of pages: 10 Posted: 27 Mar 2017 Last Revised: 04 Apr 2017
Accepted Paper Series
Presidency University and Universiti Utara Malaysia
Downloads 1,467
100.

Empirical Tests of the Mean-Semivariance CAPM

Number of pages: 32 Posted: 21 Jun 2004
Working Paper Series
Graduate School of Business of Nazarbayev University and Robeco Quantitative Investments
Downloads 1,462