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JEL Code: C14

668,510 Total downloads

Viewing: 101 - 150 of 3,954 papers

101.

Option Pricing with Model-Guided Nonparametric Methods

Number of pages: 55 Posted: 20 Feb 2007 Last Revised: 13 Feb 2009
Working Paper Series
Princeton University - Bendheim Center for Finance and USI Lugano - Institute of Finance
Downloads 940
102.

Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection

Number of pages: 39 Posted: 21 Jul 2011 Last Revised: 22 Apr 2013
Working Paper Series
London Business School, Iowa State University and Universidad Carlos III de Madrid - Department of Statistics
Downloads 940
103.

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 936
104.

Option Characteristics as Cross-Sectional Predictors

Number of pages: 57 Posted: 08 Mar 2021 Last Revised: 11 Nov 2021
Working Paper Series
Washington University in St. Louis - John M. Olin Business School, University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics, Copenhagen Business School - Department of Finance and Washington University in St. Louis - John M. Olin Business School
Downloads 932
105.

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
106.

Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies

Journal of Banking and Finance, Forthcoming, Riksbank Working Paper No. 155
Number of pages: 33 Posted: 30 Aug 2005
Accepted Paper Series
Sveriges Riksbank - Research Division, Sveriges Riksbank - Research Division and Norges Bank - Research Department

Multiple version iconThere are 2 versions of this paper

Downloads 919
107.

Fixed and Random Effects Models for Count Data

Leonard N. Stern School of Business Paper No. ISSN 1547-3651
Number of pages: 14 Posted: 03 Jun 2007
Working Paper Series
New York University Stern School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 918
108.

Forecasting Fundamental Stock Price Distributions

Simon Fraser University Working Paper No. 96-2, Sauder School of Business Working Paper
Number of pages: 52 Posted: 30 Oct 2000
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business and York University - Schulich School of Business
Downloads 918
109.

A Stochastic Partial Differential Equation Model for Limit Order Book Dynamics

Number of pages: 39 Posted: 22 Apr 2019 Last Revised: 15 Jan 2021
Working Paper Series
University of Oxford and 2Xideas2Xideas
Downloads 913
110.

Retail Loans & Basel II: Using Portfolio Segmentation to Reduce Capital Requirements

ECRI Research Report No. 8
Number of pages: 36 Posted: 27 Feb 2007
Working Paper Series
Ruhr University of Bochum - Faculty of EconomicsBiTS Business and Information Technology School, Ruhr University of Bochum - Faculty of Economics and University of Bochum - Department of Finance and Banking
Downloads 913
111.

The Economic Value of Volatility Timing Using 'Realized' Volatility

Rice University, Jones Graduate School Working Paper
Number of pages: 48 Posted: 21 Jul 2001
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business, UNC Charlotte - Belk College of Business and Rice University - Jesse H. Jones Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 911
112.

Beyond Value at Risk: Forecasting Portfolio Loss at Multiple Horizons

Number of pages: 34 Posted: 22 Oct 2007
Working Paper Series
University of California, Berkeley, BARRA, Inc. - Equity Research and University of California, Los Angeles (UCLA)

Multiple version iconThere are 2 versions of this paper

Downloads 908
113.

Lee and Carter go Machine Learning: Recurrent Neural Networks

Number of pages: 30 Posted: 23 Aug 2019 Last Revised: 29 Aug 2019
Working Paper Series
Old Mutual Insure and RiskLab, ETH Zurich
Downloads 906
114.

Log-Concave Probability Distributions: Theory and Statistical Testing

Duke University Dept of Economics Working Paper No. 95-03
Number of pages: 32 Posted: 12 May 1997
Working Paper Series
Federal National Mortgage Association (Fannie Mae)
Downloads 904
115.

Selecting Copulas for Risk Management

Number of pages: 28 Posted: 07 Mar 2005
Working Paper Series
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute, Erasmus University - Rotterdam School of Management and Tilburg University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Downloads 897
116.

A Quantile Regression Analysis of the Cross Section of Stock Market Returns

Number of pages: 36 Posted: 30 Jun 2004 Last Revised: 22 Sep 2010
Working Paper Series
Federal Reserve Bank of Boston and University of Adelaide
Downloads 894
117.

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 881
118.

Reconstructing the Yield Curve

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 28 Nov 2018 Last Revised: 30 Dec 2020
Accepted Paper Series
Purdue University and University of Notre Dame - Department of Economics

Multiple version iconThere are 2 versions of this paper

Downloads 864
119.

The Link between R&D Subsidies, R&D Spending and Technological Performance

ZEW - Centre for European Economic Research Discussion Paper No. 04-056
Number of pages: 31 Posted: 12 Aug 2004 Last Revised: 17 Feb 2015
Working Paper Series
Catholic University of Leuven (KUL)Centre for European Economic Research (ZEW) and Universite du Luxembourg
Downloads 862
120.

The Challenge of Hedge Fund Performance Measurement: A Toolbox Rather than a Pandora's Box

Number of pages: 61 Posted: 24 Nov 2006
Working Paper Series
EDHEC Business School - EDHEC Risk and Asset Management Research Centre
Downloads 861
121.

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 849
122.

'I Just Did 400 Million Event Studies' – A Study of Market Model Robustness and Deterioration in Times of Crisis

Number of pages: 20 Posted: 10 Dec 2014
Working Paper Series
University of Cambridge
Downloads 843
123.

Barriers to Entry in the Airline Industry: A Multi-Dimensional Regression-Discontinuity Analysis of AIR-21

Review of Economics and Statistics, Vol. 97, No. 5, 2015
Number of pages: 51 Posted: 06 Mar 2011 Last Revised: 20 Nov 2015
Accepted Paper Series
University of California, Los Angeles (UCLA) - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 842
124.

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 840
125.

Risk Neutral Forecasting

Number of pages: 39 Posted: 23 Jan 2001
Working Paper Series
Athens University of Economics and Business - Department of International and European Economic Studies
Downloads 818
126.

Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 06 Dec 2014 Last Revised: 24 Apr 2016
Accepted Paper Series
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Northwestern University
Downloads 814
127.

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 5, 2016
Number of pages: 59 Posted: 15 Mar 2012 Last Revised: 29 Jul 2018
Accepted Paper Series
Georgetown University - Department of Finance and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads 813
128.

Regression Discontinuity Design with Many Thresholds

Number of pages: 41 Posted: 10 Jan 2016 Last Revised: 19 Sep 2019
Working Paper Series
University of Notre Dame - Department of Economics
Downloads 806
129.

Bayesian Semi-Parametric and Non-Parametric Methods in Marketing and Micro-Econometrics

Number of pages: 214 Posted: 10 Jan 2013 Last Revised: 23 Jul 2013
Working Paper Series
University of California, Los Angeles (UCLA) - Anderson School of Management
Downloads 804
130.

Cycles in the IPO Market

Number of pages: 58 Posted: 22 Mar 2007 Last Revised: 29 Dec 2009
Working Paper Series
University of Virginia - McIntire School of Commerce, Hanken School of Economics and Cleveland State University

Multiple version iconThere are 2 versions of this paper

Downloads 802
131.

Impulse Response Estimation by Smooth Local Projections

Number of pages: 20 Posted: 04 Jan 2017 Last Revised: 10 May 2018
Working Paper Series
Federal Reserve Bank of San Francisco and Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Multiple version iconThere are 2 versions of this paper

Downloads 802
132.

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
Working Paper Series
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 801
133.

Event Studies for Merger Analysis: An Evaluation of the Effects of Non-Normality on Hypothesis Testing

Number of pages: 27 Posted: 23 Aug 2006
Working Paper Series
Phoenix Center for Advanced Legal & Economic Public Policy Studies and University of Louisville College of Business
Downloads 794
134.

Volume, Intraday and Overnight Returns for Volatility Prediction: Profitability or Accuracy?

Review of Quantitative Finance and Accounting (Forthcoming)
Number of pages: 36 Posted: 24 Jul 2009 Last Revised: 19 Dec 2013
Accepted Paper Series
Cass Business School, City University of London, Cass Business School, City, University of London and City University London - Sir John Cass Business School
Downloads 779
135.

Adaptive Market Timing with ETFs

Number of pages: 18 Posted: 29 Dec 2010
Working Paper Series
Independent
Downloads 766
136.

A Mixing Model for Operational Risk

Number of pages: 18 Posted: 06 Feb 2008 Last Revised: 01 Jul 2008
Working Paper Series
affiliation not provided to SSRN and City University London - Cass Business School
Downloads 758
137.

Improving the Comparability of Insolvency Predictions

Dresden Economics Discussion Paper Series No. 08/2005
Number of pages: 152 Posted: 01 Jun 2005
Working Paper Series
affiliation not provided to SSRN
Downloads 757
138.

A Maximum Likelihood Approach for Reject Inference in Credit Scoring

Rotman School of Management Working Paper No. 07-05
Number of pages: 33 Posted: 29 Dec 2005 Last Revised: 03 Mar 2013
Working Paper Series
University of Waterloo - Department of Management Sciences and HEC Paris - Economics and Decision Sciences
Downloads 755
139.

Matching Methods in Practice: Three Examples

Number of pages: 67 Posted: 29 Mar 2014
Working Paper Series
Stanford Graduate School of Business

Multiple version iconThere are 2 versions of this paper

Downloads 751
140.

Valid Inference in Single-Firm, Single-Event Studies

American Law and Economics Review, Forthcoming
Number of pages: 38 Posted: 01 Aug 2009 Last Revised: 03 Sep 2012
Accepted Paper Series
University of California, Berkeley - School of Law, Claremont McKenna College - Robert Day School of Economics and Finance and University of Pennsylvania Carey Law School
Downloads 750
141.

Multivariate Extremes, Aggregation and Risk Estimation

Number of pages: 35 Posted: 27 Dec 2000
Working Paper Series
RWE Trading UK Ltd, DEAR-Consulting, Zurcher Kantonalbank, Olsen & Associates and Cornell University

Multiple version iconThere are 2 versions of this paper

Downloads 746
142.

Separating Microstructure Noise from Volatility

Number of pages: 49 Posted: 02 Jan 2005
Working Paper Series
Johns Hopkins University - Carey Business School and University of Chicago - Booth School of Business - Econometrics and Statistics
Downloads 742
143.

Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of pages: 41 Posted: 21 Nov 2005 Last Revised: 08 Jul 2008
Accepted Paper Series
Washington State University and Deutsche Bank AG (London)
Downloads 742
144.

Empirical Likelihood Methods in Econometrics: Theory and Practice

Cowles Foundation Discussion Paper No. 1569
Number of pages: 67 Posted: 19 Jul 2006
Working Paper Series
Yale University - Cowles Foundation
Downloads 741
145.

Propensity Score Matching and Policy Impact Analysis: A Demonstration in Eviews

World Bank Policy Research Working Paper No. 3877
Number of pages: 59 Posted: 06 Oct 2006
Working Paper Series
World Bank
Downloads 734
146.

Forward Equations for Portfolio Credit Derivatives

Columbia University Center for Financial Engineering, Financial Engineering Report No. 2008-05
Number of pages: 22 Posted: 25 Apr 2008
Working Paper Series
University of Oxford and Merrill Lynch & Co. - Merrill Lynch, UK
Downloads 730
147.

Unexpected Recovery Risk and LGD Discount Rate Determination

22nd Australasian Finance and Banking Conference 2009
Number of pages: 19 Posted: 23 Jul 2009 Last Revised: 06 Aug 2009
Working Paper Series
University of Economics in Prague
Downloads 728
148.

Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Number of pages: 25 Posted: 07 Jul 2006 Last Revised: 15 Dec 2010
Accepted Paper Series
University College London and Deutsche Bank AG (London)
Downloads 723
149.

The Market Timing Ability of UK Equity Mutual Funds

Number of pages: 26 Posted: 19 Jan 2007
Working Paper Series
City University London - Sir John Cass Business School, City University London - Sir John Cass Business School and University College Cork
Downloads 723
150.

Genetic Algorithms: A Tool for Optimization in Econometrics - Basic Concept and an Example for Empirical Applications

ZEW Discussion Paper No. 02-41
Number of pages: 24 Posted: 12 Oct 2002
Working Paper Series
Catholic University of Leuven (KUL)Centre for European Economic Research (ZEW) and ZEW – Leibniz Centre for European Economic Research
Downloads 720