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JEL Code: C22

1,211,259 Total downloads

Viewing: 101 - 150 of 5,777 papers

101.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Working Paper Series
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,462
102.

Efficient Estimation of Volatility Using High Frequency Data

Number of pages: 22 Posted: 16 Apr 2002
Working Paper Series
affiliation not provided to SSRNEdgelab, University of Pisa - Department of Economics and Independent
Downloads 1,461
103.

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Number of pages: 12 Posted: 14 Jan 2015
Working Paper Series
University of Aberdeen
Downloads 1,457
104.

A Sound Basel III Compliant Framework for Backtesting Credit Exposure Models

Risk, August 2014
Number of pages: 25 Posted: 14 May 2013 Last Revised: 30 Aug 2017
Accepted Paper Series
Credit Suisse Securities (Europe) Limited, Bocconi University and Credit Suisse AG
Downloads 1,451
105.

Commodity Futures Market in India: A Study of Trends in the Notional Multi-Commodity Indices

Money & Finance, ICRA Bulletin, Vol. 3, No. 3, 2007
Number of pages: 34 Posted: 31 Oct 2008
Accepted Paper Series
SURGE Research Support
Downloads 1,451
106.

An Algorithm Using GARCH Process, Monte-Carlo Simulation and Wavelets Analysis for Stock Prediction

Number of pages: 8 Posted: 21 Sep 2008 Last Revised: 06 Dec 2009
Working Paper Series
Izmir Bakircay University International Trade and Business
Downloads 1,443
107.

Why Most Published Results on Unit Root and Cointegration are False

Number of pages: 14 Posted: 10 Jul 2015 Last Revised: 02 Jan 2016
Working Paper Series
Algoma University and Algoma University
Downloads 1,432
108.

Forecasting S&P 100 Volatility: The Incremental Information Content of Implied Volatilities and High Frequency Index Returns

Lancaster University Management School, Accounting and Finance Working Paper No. 99/014
Number of pages: 35 Posted: 29 Oct 1999
Working Paper Series
Ingenious, Alliance Manchester Business School, University of Manchester and Lancaster University - Department of Accounting and Finance

Multiple version iconThere are 2 versions of this paper

Downloads 1,424
109.

Can Macroeconomic Variables Explain Long Term Stock Market Movements? A Comparison of the US and Japan

CDMA Working Paper No. 07/20
Number of pages: 26 Posted: 31 Oct 2007
Working Paper Series
University of St. Andrews and University of St. Andrews - School of Management
Downloads 1,395
110.

Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

Number of pages: 40 Posted: 16 Mar 2002
Working Paper Series
Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Peking University - Guanghua School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,388
111.

Testing Mean Reversion in Stock Market Volatility

Journal of Futures Markets, Vol. 28, No. 1, pp. 1-33, 2008
Number of pages: 36 Posted: 17 Oct 2006 Last Revised: 27 Feb 2012
Working Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Sabanci University Graduate School of Management
Downloads 1,384
112.

Identifying Bull and Bear Markets in Stock Returns

Journal of Business & Economic Statistics, January 2000, Vol 18, No. 1, pp. 100-112
Number of pages: 13 Posted: 19 Feb 1999 Last Revised: 30 Aug 2021
Accepted Paper Series
McMaster University - Michael G. DeGroote School of Business and University of Toronto - Rotman School of Management

Multiple version iconThere are 2 versions of this paper

Downloads 1,353
113.

Volatility in the Gold Futures Market

Number of pages: 14 Posted: 25 Jun 2007
Working Paper Series
RMIT University and Trinity Business School, Trinity College Dublin
Downloads 1,347
114.

Filtered Market Statistics and Technical Trading Rules

Number of pages: 30 Posted: 05 May 2013
Working Paper Series
Flexible Plan Investments, Ltd.
Downloads 1,343
115.
Downloads 1,339
116.

Aggregate Economic Variables and Stock Markets in India

International Research Journal of Finance and Economics, No. 14, pp. 141-164, 2008
Number of pages: 24 Posted: 18 Oct 2010 Last Revised: 20 Nov 2010
Accepted Paper Series
Jamia Millia Islamia (A Central University) - Economics
Downloads 1,326
117.

The Statistical Properties of the Maximum Drawdown in Financial Time Series

Number of pages: 10 Posted: 02 May 2012 Last Revised: 15 May 2013
Working Paper Series
Antares Technologies and Antares Technologies
Downloads 1,317
118.

A Synthesis of Technical Analysis and Fractal Geometry - Evidence from the Dow Jones Industrial Average Components

Number of pages: 42 Posted: 06 Sep 2008 Last Revised: 23 Nov 2009
Working Paper Series
Lakehead University
Downloads 1,315
119.

GARCH Processes: Theory, Simulations and Testing with Examples

Number of pages: 20 Posted: 05 Dec 2003
Working Paper Series
Indira Gandhi Institute of Development Research
Downloads 1,309
120.

Conditional Volatility, Skewness and Kurtosis: Existence and Persistence

Number of pages: 49 Posted: 17 Apr 2001
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Swiss Finance Institute

Multiple version iconThere are 2 versions of this paper

Downloads 1,285
121.

Support Vector Machines Approach to Predict the S&P CNX NIFTY Index Returns

10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 19 Posted: 13 Feb 2007
Working Paper Series
Indian Institute of Technology Madras and Indian Institute of Technology Madras
Downloads 1,279
122.

How Relevant is Volatility Forecasting for Financial Risk Management?

97-45
Number of pages: 31 Posted: 18 Jan 1998
Working Paper Series
University of Toronto - Rotman School of Management and University of Pennsylvania - Department of Economics

Multiple version iconThere are 4 versions of this paper

Downloads 1,276
123.

A Flexible Non Linear Model to Test the Expectation Hypothesis of Interest Rates

Economics Bulletin, Forthcoming
Number of pages: 15 Posted: 07 Feb 2011
Accepted Paper Series
IDRAC Business School and University of Tunis - Institut Supérieur de Gestion (ISG), Tunis
Downloads 1,268
124.

Consistent High-Precision Volatility from High-Frequency Data

Number of pages: 19 Posted: 23 Feb 2001
Working Paper Series
University of Pisa - Department of Economics, affiliation not provided to SSRNEdgelab, Olsen & Associates and DEAR-Consulting
Downloads 1,266
125.

Equities Market Level

Number of pages: 49 Posted: 26 Jul 2012
Working Paper Series
BlackRock, Inc
Downloads 1,252
126.

Sin Stock Returns Over the Business Cycle

Number of pages: 29 Posted: 05 Aug 2009
Working Paper Series
University of Bath School of Management
Downloads 1,252
127.

Bias and Measurement Error in Discretionary Accrual Models

Number of pages: 38 Posted: 16 Dec 1999
Working Paper Series
Pennsylvania State University - Department of Accounting
Downloads 1,246
128.

Macroeconomics and the Reality of Mixed Frequency Data

Number of pages: 51 Posted: 29 May 2012 Last Revised: 11 Jul 2015
Working Paper Series
University of North Carolina Kenan-Flagler Business School
Downloads 1,241
129.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Working Paper Series
Banca IMI, University of Pavia - Department of Economics and Management and University of Pavia - Department of Economics and Management
Downloads 1,222
130.

Dynamic Alpha: A Spectral Decomposition of Investment Performance Across Time Horizons

Number of pages: 30 Posted: 11 Jun 2018 Last Revised: 01 Jul 2018
Working Paper Series
Massachusetts Institute of Technology and Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering
Downloads 1,220
131.

Tourism's Impact on Long-Run Mexican Economic Growth

Economics Bulletin, Vol. 23, No. 21, pp. 1-8, 2008
Number of pages: 9 Posted: 18 Dec 2007 Last Revised: 06 Mar 2018
Working Paper Series
University of Siena - Department of Economics, Universidad de la República and University of Siena - Department of Economics
Downloads 1,216
132.

Forecasting Volatility and Spillovers in Crude Oil Spot, Forward and Futures Markets

Number of pages: 23 Posted: 12 May 2009
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,213
133.

Money, Inflation, and Growth in Pakistan

Pakistan Development Review, Vol. 45, No. 2, pp. 203-212, Summer 2006
Number of pages: 10 Posted: 28 Feb 2007
Accepted Paper Series
Pakistan Institute of Development Economics (PIDE)
Downloads 1,202
134.

Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry

Journal of Finance, Forthcoming, Swiss Finance Institute Research Paper No. 11-06
Number of pages: 61 Posted: 14 Feb 2011 Last Revised: 11 Apr 2016
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School, Universita' della Svizzera italiana and University of California, San Diego (UCSD) - Rady School of Management
Downloads 1,202
135.

Intraday Value at Risk (Ivar) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Number of pages: 39 Posted: 08 Dec 2005
Working Paper Series
HEC Montreal - Department of Finance, University of Montreal - Department of Mathematics and Statistics and Dalhousie University - Rowe School of Business
Downloads 1,198
136.

Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks

Number of pages: 18 Posted: 22 May 2009
Working Paper Series
National Chung Hsing University - Department of Applied Economics, Department of Finance, Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute and Faculty of Economics - Chiang Mai University
Downloads 1,186
137.
Downloads 1,183
138.

Impact of Exchange Rate on Balance of Payment: An Investigation from Pakistan

Research Journal of Finance and Accounting, Vol. 5, No.13, 2014, ISSN: 2222-1697
Number of pages: 12 Posted: 04 Aug 2014
Accepted Paper Series
RTS (Research, Trainings, and Solutions), Indus University, University of Sindh, Indus University and Indus University
Downloads 1,176
139.

Housing Speculation and Housing Price Bubble in Korea

Number of pages: 31 Posted: 27 Apr 2004
Working Paper Series
KDI School of Public Policy and Management and KDI School of Public Policy and Management
Downloads 1,174
140.

Macroeconomic Determinants of Bad Loans: Evidence from Italian Banks

Bank of Italy Occasional Paper No. 89
Number of pages: 42 Posted: 23 May 2011
Working Paper Series
Bank of Italy and Bank of Italy
Downloads 1,170
141.

Everything You Always Wanted to Know About Bitcoin Modelling But Were Afraid to Ask

Applied Econometrics, Forthcoming
Number of pages: 49 Posted: 14 Jun 2016
Accepted Paper Series
Moscow School of Economics, Moscow State University, Bocconi University, Perm State University and Perm State University
Downloads 1,165
142.

The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets

Number of pages: 25 Posted: 06 Aug 2003
Working Paper Series
Board of Governors of the Federal Reserve System

Multiple version iconThere are 2 versions of this paper

Downloads 1,154
143.

Time Series Analysis

PIER Working Paper No. 06-019
Number of pages: 24 Posted: 21 Jun 2006
Working Paper Series
University of Pennsylvania - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Maryland
Downloads 1,154
144.

A Risk Management Approach for Portfolio Insurance Strategies

Proceedings of the 1st EIF International Financial Research Forum, Economica, 2009
Number of pages: 15 Posted: 27 Oct 2008 Last Revised: 10 Jun 2009
Working Paper Series
Université Paris I Panthéon-Sorbonne - CES/CNRS, EMLyon Business School (Paris Campus) and University of Cergy-Pontoise - ThEMA
Downloads 1,153
146.

Accruals Quality and Analyst Coverage

Journal of Banking & Finance, Volume 36, Issue 2, pp. 497-508, 2012
Number of pages: 42 Posted: 15 Sep 2006 Last Revised: 03 Mar 2021
Accepted Paper Series
Sogang University, Texas Christian University - Department of Accounting and University of Houston - C.T. Bauer College of Business
Downloads 1,140
147.

Optimal Portfolio Allocation Under Higher Moments

Number of pages: 39 Posted: 28 May 2004
Working Paper Series
Swiss Finance Institute and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Multiple version iconThere are 3 versions of this paper

Downloads 1,132
148.

Market Self-Learning of Signals, Impact and Optimal Trading: Invisible Hand Inference with Free Energy (Or, How We Learned to Stop Worrying and Love Bounded Rationality)

Number of pages: 57 Posted: 26 May 2018
Working Paper Series
Fidelity Investments, Inc. and New York University (NYU) - NYU Tandon School of Engineering
Downloads 1,122
149.

tvReg: Time-varying Coefficient Linear Regression for Single and Multi-Equations in R

Number of pages: 43 Posted: 08 May 2019 Last Revised: 11 Aug 2020
Working Paper Series
University of Southern Denmark and University of A Coruña
Downloads 1,121
150.

Evaluation of Panel Data Models: Some Suggestions from Time Series

Discussion Paper 97-10
Number of pages: 29 Posted: 12 Jan 1998
Working Paper Series
University of California, San Diego (UCSD) - Department of Economics and University of California at San Diego
Downloads 1,117