| | Downloadable Papers (sorted by date) See the top 20 books referenced/cited in these (below listed) papers. I've put a gray background on the top five most browsed papers in this category. (Oct-1)
Regression Model for Proportions with Probability Masses at Zero and One
by Raffaella Calabrese of University College Dublin
(151K PDF) - 14 pages -- March 2012 Exact Sampling of Jump-Diffusions
by Kay Giesecke of Stanford University, and
Dmitry Smelov of Stanford University
(445K PDF) - 6 pages -- August 18, 2011 Fast Correlation Greeks by Adjoint Algorithmic Differentiation
by Luca Capriotti of Credit Suisse Group AG, and
Mike Giles of the University of Oxford
(445K PDF) - 6 pages -- April 13, 2010 An Exponential Approximation to the Hockey Stick Function
by Ian Iscoe of Algorithmics Inc.,
Ken Jackson of the University of Toronto,
Alex Kreinin of Algorithmics Inc., and
Xiaofang Ma of the Bank of Montreal
(267K PDF) -- 24 pages -- March 19, 2010 Negative Probabilities in Financial Modeling
by Gunter Meissner of University of Hawaii, and
Mark Burgin of the University of California, Los Angeles
(152K PDF) -- 19 pages -- January 2010 Simple Formulas for Standard Errors that Cluster by Both Firm and Time
by Samuel B. Thompson of the Arrowstreet Capital L.P.
(275K PDF) -- 25 pages -- May 12, 2009 Robust Inference with Multi-way Clustering
by Douglas Miller of the University of California, Davis,
A. Colin Cameron of the University of California, Davis, and
Jonah Gelbach of the University of Arizona
(326K PDF) -- 44 pages -- May 1, 2009 Can a Coherent Risk Measure be Too Subadditive?
by Jan Dhaene of the Catholic University of Leuven & University of Amsterdam,
Roger J.A. Laeven of the University of Amsterdam & Mercer Oliver Wyman,
Steven Vanduffel of the Catholic University of Leuven,
Grzegorz Darkiewicz of the Catholic University of Leuven, and
Marc J. Goovaerts of the Catholic University of Leuven & University of Amsterdam
(491K PDF) -- 22 pages -- June 2008 Nested Simulation in Portfolio Risk Measurement
by Michael B. Gordy of the Federal Reserve Board, and
Sandeep Juneja of the Tata Institute of Fundamental Research
(347K PDF) -- 33 pages -- April 8, 2008 A Stochastic Processes Toolkit for Risk Management
by Damiano Brigo of FitchSolutions,
Antonio Dalessandro of FitchSolutions,
Matthias Neugebauer of FitchSolutions, and
Fares Triki of FitchSolutions
(2,995K PDF) -- 43 pages -- November 15, 2007 Quantile Mechanics
by György Steinbrecher of the University of Craiova, Romania, and
William T. Shaw of King's College London
(243K PDF) -- 18 pages -- July 16, 2007 Multivariate Integral Perturbation Techniques - I (Theory)
by Jan W. Dash of Moore Capital Management
(178K PDF) - 25 pages -- September 2006 Data Mining Procedures in Generalized Cox Regressions
by Zhen Wei of Stanford University
(261K PDF) -- 33 pages -- May 18, 2006 Sub-additivity Re-examined: The case for Value-at-Risk
by Jón Daníelsson of the London School of Economics,
Bjørn N. Jorgensen of the Columbia Business School,
Gennady Samorodnitsky of Cornell University
Mandira Sarma of Eindhoven University of Technology, and
Casper G. de Vries of Erasmus University
(139K PDF) -- 18 pages -- November 2005 Bounds for Functions of Multivariate Risks
by Paul Embrechts of ETH Zurich, and
Giovanni Puccetti of the University of Firenze
(74K PDF) -- 23 pages -- April 4, 2005 Unbiasedness in Least Quantile Regression
by Dirk Tasche of the Technische Universität München
(204K PDF) -- 11 pages -- September 6, 2001 A Geometric Representation of the Frisch-Waugh-Lovell Theorem
by Walter Sosa Escudero of the Universidad Nacional de La Plata
(252K PDF) -- 8 pages -- March 21, 2001 The Empirical Performance of Alternative Extreme Value Volatility Estimators
by Kai Li of New York University, and
David Weinbaum of New York University
(217K PDF) -- 43 pages -- December 20, 2000 Extreme Value Theory: Potential and Limitations as an Integrated Risk Management Tool
by Paul Embrechts of ETH Zurich
(182K PDF) -- 12 pages -- January 2000 Defining a Beta Distribution Function for Construction Simulation
by Javier Fente of Arizona State University,
Kraig Knutson of Arizona State University, and
Cliff Schexnayder of Arizona State University
(77K PDF) -- 6 pages -- Winter 1999 Extreme Value Theory as a Risk Management Tool
by Paul Embrechts of ETH Zürich,
Sidney I. Resnick of Cornell University, and
Gennady Samorodnitsky of Cornell University
(208K PDF) -- 12 pages -- April 1999 Understanding Relationships Using Copulas
by Edward W. Frees of the University of Wisconsin-Madison, and
Emiliano A. Valdez of the University of Wisconsin-Madison
(671K PDF) -- 37 pages -- January 1999 Empirical Evidence on Volatility Estimators
by João Duque of the Universidade Técnica de Lisboa, and
Dean A. Paxson of the University of Manchester
(138K PDF) -- 38 pages -- May 1997 A Class of Symmetric Bivariate Uniform Distributions
by Thomas S. Ferguson of the University of California, Los Angeles
(148K PDF) -- 10 pages -- July 8, 1994 Alternatives to the Median Absolute Deviation
by Peter J. Rousseeuw of the Universitaire Instelling Antwerpen, and
Christophe Croux of the Universitaire Instelling Antwerpen
(4,694K PDF) -- 11 pages -- December 1993 Estimation of Variances of Averages Based on Overlapping Samples in Repeated Surveys
by Benoit Quenneville of Statistics Canada, and
K.P. Srinath of Statistics Canada
(319K PDF) -- 6 pages -- 1984 Regression Models for Ordinal Data
by Peter McCullagh of the University of Chicago
(4,329K PDF) -- 35 pages -- 1980 | |
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Additional References (sorted by author) Bali, Turan G. and David Weinbaum, "A Comparative Study of Alternative Extreme-value Volatility Estimators", Journal of Futures Markets, Vol. 25, No. 9, (September 2005), pp. 873-892. Connor, Gregory, "The Three Types of Factor Models: A Comparison of Their Explanatory Power", Financial Analysts Journal, Vol. 51, No. 3, (May/June 1995), pp. 42-46. Garman, Mark B. and Michael J. Klass, "On the Estimation of Security Price Volatilities from Historical Data", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 67-78. Heckman, James J., "Sample Selection Bias as a Specification Error", Econometrica, Vol. 47, No. 1, (January 1979), pp. 153-161. Jorion, Philippe, "Bayes-Stein Estimation for Portfolio Analysis", Journal of Financial and Quantitative Analysis, Vol. 21, No. 3, (September 1986), pp. 279-292. Knüppel, Lothar, Oliver Hermsen, "Median Split, k-group Split, and Optimality in Continuous Populations", AStA Advances in Statistical Analysis, Vol. 94, No. 1, (March 2010), 53-74. Kunitomo, Naoto, "Improving the Parkinson Method of Estimating Security Price Volatilities", Journal of Business, Vol. 65, No. 2, (April 1992), pp. 295-302. Neal, Radford M., "Slice Sampling", Annals of Statistics, Vol. 31, No. 3, (June 2003), pp. 705-767. Parkinson, Michael, "The Extreme Value Method for Estimating the Variance of the Rate of Return", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 61-65. Rosenbaum, Paul R. and Donald B. Rubin, "The Central Role of the Propensity Score in Observational Studies for Causal Effects", Biometrika, Vol. 70, No. 1 (April 1983), pp. 41-55.
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