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JEL Code: C22

1,213,211 Total downloads

Viewing: 151 - 200 of 5,779 papers

151.

Sequential Optimal Portfolio Performance: Market and Volatility Timing

Number of pages: 48 Posted: 24 Mar 2002
Working Paper Series
Columbia Business School - Finance and Economics, University of Chicago - Booth School of Business and McDonough School of Business, Georgetown University
Downloads 1,117
152.

Lazy Momentum with Growth-Trend timing: Resilient Asset Allocation (RAA)

Number of pages: 9 Posted: 11 Jan 2021 Last Revised: 10 Mar 2021
Working Paper Series
VU University Amsterdam
Downloads 1,113
153.

Real World Interest Rate Modelling with the BGM Model

Number of pages: 21 Posted: 20 Dec 2009
Working Paper Series
Amlin Plc
Downloads 1,108
154.

What Happened to Risk Management During the 2008-09 Financial Crisis?

Number of pages: 13 Posted: 03 Aug 2009
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 1,105
155.

Risk Management of Hedge Funds Using Fuzzy Neural- and Genetic Algorithms

Number of pages: 14 Posted: 24 Aug 2004
Working Paper Series
Panathea Capital Partners
Downloads 1,101
156.

Fractionally Integrated Models for Volatility: A Review - Empirical Appendix: Some Examples with R Interfaced with the Ox Package G@RCH

Number of pages: 16 Posted: 01 Feb 2011
Working Paper Series
Moscow School of Economics, Moscow State University
Downloads 1,085
157.

Stock Market Bubbles and Anti-Bubbles

Number of pages: 42 Posted: 27 Oct 2016 Last Revised: 31 Jul 2018
Working Paper Series
GMO, Quantitative Management Associates (QMA) LLC and Quantitative Management Associates (QMA) LLC
Downloads 1,085
158.

Forecasting the Equity Risk Premium: The Role of Technical Indicators

Number of pages: 35 Posted: 21 Mar 2011 Last Revised: 10 Mar 2014
Working Paper Series
Federal Reserve Bank of St. Louis - Research Division, Washington University in St. LouisSaint Louis University, Singapore Management University - Lee Kong Chian School of Business and Washington University in St. Louis - John M. Olin Business School
Downloads 1,083
159.

Day of the Week Effect and Market Efficiency - Evidence from Indian Equity Market Using High Frequency Data of National Stock Exchange

Number of pages: 33 Posted: 13 Feb 2008
Working Paper Series
Clearing Corporation of India - CCIL and Long Island University - Department of Finance
Downloads 1,072
160.

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Number of pages: 33 Posted: 05 Jan 2010
Working Paper Series
Faculty of Economics - Chiang Mai University, National Chung Hsing University - Department of Applied Economics, Department of Finance and Erasmus University Rotterdam - Erasmus School of Economics, Econometric Institute
Downloads 1,071
161.

Effects of Primary, Secondary and Tertiary Education on Economic Growth

Number of pages: 80 Posted: 08 Jul 2005
Working Paper Series
University of Goettingen (Göttingen) - Ibero-America-Institute for Economic Research
Downloads 1,070
162.

Modeling the Conditional Covariance between Stock and Bond Returns: A Multivariate GARCH Approach

ERIM Report Series No. ERS-2002-11-F&A, EFA 2002 Berlin Meetings Discussion Paper, EFMA 2002 London Meetings
Number of pages: 45 Posted: 16 Mar 2002
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Financial Management and Tilburg University

Multiple version iconThere are 2 versions of this paper

Downloads 1,070
163.

Why Do Absolute Returns Predict Volatility so Well?

Number of pages: 44 Posted: 13 Sep 2006
Working Paper Series
Uppsala University - Department of Information Science, Division of Statistics and University of North Carolina Kenan-Flagler Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,066
164.

Modeling Conditional Correlations for Risk Diversification in Crude Oil Markets

Number of pages: 26 Posted: 10 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 1,063
165.

Spectral Factor Models

Johns Hopkins Carey Business School Research Paper No. 18-17
Number of pages: 52 Posted: 13 Nov 2018 Last Revised: 14 Aug 2020
Working Paper Series
Johns Hopkins University - Carey Business School, Massachusetts Institute of Technology, Massachusetts Institute of Technology (MIT) - Laboratory for Financial Engineering and Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick
Downloads 1,062
166.

Time-Series Properties and Pricing of the Special Items Component of Earnings

Number of pages: 39 Posted: 18 May 1999
Working Paper Series
University of Washington, University of Washington - Michael G. Foster School of Business and University of California-IrvineUniversity of California-Irvine
Downloads 1,059
167.

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Number of pages: 17 Posted: 14 Sep 2009
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 1,052
168.
Downloads 1,047
169.

Turismo y Crecimiento Economico: Un Analisis Empirico de Colombia (Tourism and Economic Growth: An Empirical Analysis for the Case of Colombia)

Estudios y Perspectivas en Turismo, Vol. 18, No. 1, pp. 21-35, 2009
Number of pages: 26 Posted: 12 Feb 2008 Last Revised: 16 Jun 2011
Accepted Paper Series
Universidad de Alcalá, Universidad de la RepublicaUniversidad de la Republica - Facultad de Ciencias Económicas y de Administración, University of Siena - Department of Economics, Universidad de la República and El Colegio de MéxicoUniversidad de la República - Facultad de Ciencias Económicas
Downloads 1,046
170.

How Oil Moves Stock Prices

Number of pages: 29 Posted: 28 Jun 2006
Working Paper Series
University of Melbourne - School of Historical and Philosophical Studies and Monash University - Department of Accounting
Downloads 1,045
171.

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Number of pages: 29 Posted: 16 Apr 2004
Working Paper Series
University of North Carolina (UNC) at Chapel Hill - Department of Economics and CREATESAarhus University - School of Business and Social Sciences

Multiple version iconThere are 2 versions of this paper

Downloads 1,035
172.

Asset Pricing and Investor Risk in Subordinated Asset Securitisation

Number of pages: 47 Posted: 20 Apr 2005
Working Paper Series
International Monetary Fund (IMF) - European Department
Downloads 1,033
173.

'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index

FEEM Working Paper No. 31.2010
Number of pages: 58 Posted: 22 Apr 2010
Working Paper Series
Bank of Italy and Bank of Italy
Downloads 1,028
174.

Forecasting Daily Variability of the S&P 100 Stock Index Using Historical, Realised and Implied Volatility Measurements

Tinbergen Institute Working Paper No. TI 04-016/4
Number of pages: 32 Posted: 13 Feb 2004
Working Paper Series
Vrije Universiteit Amsterdam - School of Business and Economics, VU University Amsterdam - Department of Economics and University of Birmingham - Department of Accounting and Finance
Downloads 1,026
175.

Quantitative vs. Qualitative Criteria for Credit Risk Assessment

Frontiers in Finance and Economics, Vol. 8, No. 1, pp. 69-87, 2011
Number of pages: 19 Posted: 29 Feb 2012 Last Revised: 05 Nov 2013
Accepted Paper Series
Universidade de Lisboa, New University of Lisbon, Instituto Superior de Contabilidade e Administração de Lisboa and Technical University of Lisbon
Downloads 1,025
176.

The Peer Performance Ratios of Hedge Funds

Journal of Banking and Finance, Vol. 87, pp. 351-368, 2018
Number of pages: 35 Posted: 08 Feb 2012 Last Revised: 04 Nov 2018
Accepted Paper Series
HEC Montreal - Department of Decision Sciences and Ghent University
Downloads 1,018
177.

Google Econometrics and Unemployment Forecasting

DIW Berlin Discussion Paper No. 899
Number of pages: 26 Posted: 02 Sep 2009
Working Paper Series
IZA Institute of Labor Economics and Global Labor Organization (GLO)

Multiple version iconThere are 3 versions of this paper

Downloads 1,012
178.

‘Children of the HMM’: Modeling Longitudinal Customer Behavior at Hulu.Com

Number of pages: 51 Posted: 04 Aug 2011
Working Paper Series
University of Michigan, Stephen M. Ross School of BusinessUniversity of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department, University of Pennsylvania - Marketing Department and University of Pennsylvania - The Wharton School
Downloads 1,012
179.

Understanding Index Option Returns

AFA 2008 New Orleans Meetings Paper
Number of pages: 51 Posted: 28 Feb 2007
Working Paper Series
Columbia University - Columbia Business School - Decision Risk and Operations, Columbia Business School - Finance and Economics and UCLA Anderson

Multiple version iconThere are 4 versions of this paper

Downloads 1,009
180.

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Working Paper Series
Duke University - Finance, University of Chicago, Independent and SUSTech Business School

Multiple version iconThere are 2 versions of this paper

Downloads 1,007
181.

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Tinbergen Institute Discussion Paper No. 04-067/4
Number of pages: 43 Posted: 24 Jun 2004
Working Paper Series
Robeco Asset Management, Board of Governors of the Federal Reserve System and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 1,002
182.

Why Bitcoin Dominates

Number of pages: 20 Posted: 11 Jul 2019 Last Revised: 19 Jan 2021
Working Paper Series
Cane Island Alternative Advisors
Downloads 998
183.

An Unbiased Measure of Realized Variance

Number of pages: 27 Posted: 05 Apr 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 989
184.

Panel Data Unit Root Tests with an Application

Central European University Working Paper No. 2/2001
Number of pages: 23 Posted: 01 Jun 2001
Working Paper Series
La Trobe University - School of Economics
Downloads 979
185.

Modelling Extreme-Value Dependence in International Stock Markets

Number of pages: 37 Posted: 09 Mar 2002
Working Paper Series
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Alliance Manchester Business School, University of Manchester and Lancaster University - Mathematics and Statistics
Downloads 969
186.

Stock Index Volatility Forecasting with High Frequency Data

Tinbergen Institute Discussion Paper No. 2002-068/4
Number of pages: 25 Posted: 30 Jul 2002
Working Paper Series
University of Birmingham - Department of Accounting and Finance and Vrije Universiteit Amsterdam - School of Business and Economics
Downloads 965
187.

Do Macroeconomic Variables Play Any Role in the Stock Market Movement in Ghana?

Number of pages: 24 Posted: 01 Jul 2008
Working Paper Series
affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 964
188.

Stock Index Futures Trading and Spot Market Volatility

Number of pages: 21 Posted: 24 Mar 2006
Working Paper Series
Athens University of Economics and Business - Department of Business AdministrationAthens University of Economics and Business - Department of Business Administration and University of Glasgow
Downloads 962
189.

Early Warning Systems: A Survey and a Regime-Switching Approach

IMF Working Paper No. 03/32
Number of pages: 60 Posted: 05 Jan 2005
Working Paper Series
International Monetary Fund (IMF) - Research Department

Multiple version iconThere are 2 versions of this paper

Downloads 959
190.

Google Flu Trends Still Appears Sick: An Evaluation of the 2013-2014 Flu Season

Number of pages: 11 Posted: 14 Mar 2014
Working Paper Series
Northeastern University - Department of Political Science, University of Houston - Department of Political Science, Harvard University and Northeastern University
Downloads 959
191.

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

Number of pages: 44 Posted: 18 Sep 2008 Last Revised: 28 Jun 2010
Working Paper Series
University of Chicago - Booth School of Business
Downloads 955
192.

A Conditional Extreme Value Volatility Estimator Based on High-Frequency Returns

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 43 Posted: 22 Jan 2007
Accepted Paper Series
Georgetown University - Robert Emmett McDonough School of Business and Syracuse University
Downloads 951
193.

Pitfalls in Estimating Jump-Diffusion Models

Number of pages: 31 Posted: 24 Feb 1998
Working Paper Series
Danske Bank - Danske Markets
Downloads 949
194.

Economic Policy Uncertainty in China and Stock Market Expected Returns

Number of pages: 33 Posted: 13 Jul 2016 Last Revised: 18 Jul 2017
Working Paper Series
Xiamen University - School of Economics, Central University of Finance and Economics (CUFE) and Renmin University

Multiple version iconThere are 2 versions of this paper

Downloads 939
195.

Autoregressive Conditional Duration (Acd) Models in Finance: A Survey of the Theoretical and Empirical Literature

Number of pages: 60 Posted: 28 Sep 2006
Working Paper Series
Dalhousie University - Rowe School of Business
Downloads 937
196.

Integrated Time-Series Analysis of Spot and Option Prices

AFA 2001 New Orleans Meetings
Number of pages: 55 Posted: 30 Nov 1999
Working Paper Series
Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 937
197.

Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables

Number of pages: 41 Posted: 23 Aug 2005 Last Revised: 18 Dec 2011
Working Paper Series
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 936
198.

Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility

Tinbergen Institute Discussion Paper 2010-115/4
Number of pages: 63 Posted: 25 Nov 2010
Working Paper Series
Erasmus University Rotterdam (EUR) - Department of Econometrics and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 936
199.

A Total Risk Measurement Framework for Hedge Funds and Funds of Funds

Number of pages: 43 Posted: 03 Feb 2010
Working Paper Series
CdR Capital Ltd, Abu Dhabi Investment Authority and Caliburn Capital Partners LLP
Downloads 935
200.

Testing for Multiple Bubbles

Cowles Foundation Discussion Paper No. 1843
Number of pages: 67 Posted: 09 Jan 2012
Working Paper Series
Yale University - Cowles Foundation, Macquarie UniversityDepartment of Economics, Macquarie University and Singapore Management University

Multiple version iconThere are 2 versions of this paper

Downloads 926