Printed from https://ideas.repec.org/s/chf/rpseri5.html
Content
2017
- 17-08 The Relevance of Broker Networks for Information Diffusion in the Stock Market
by Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla - 17-07 Product Market Competition and Option Prices
by Erwan Morellec & Alexei Zhdanov - 17-06 Company Stock Reactions to the 2016 Election Shock: Trump, Taxes and Trade
by Alexander F. Wagner & Richard J. Zeckhauser & Alexandre Ziegler - 17-05 The Sustainability Footprint of Institutional Investors
by Rajna Gibson & Philipp Krueger - 17-04 Re-Use of Collateral: Leverage, Volatility, and Welfare
by Johannes Brumm & Michael Grill & Felix Kubler & Karl Schmedders - 17-03 Investing in Managerial Honesty
by Rajna Gibson & Matthias Sohn & Carmen Tanner & Alexander F. Wagner - 17-02 Recovery is Never Easy - Dynamics and Multiple Equilibria with Financial Arbitrage, Production and Collateral Constraints
by Ally Quan Zhang - 17-01 The Consumption Response to Minimum Wages: Evidence from Chinese Households
by Ernest Dautovic & Harald Hau & Yi Huang
2016
- 16-80 Comparing Ask and Transaction Prices in the Swiss Housing Market
by Ahmed Ahmed & Diego Ardila & Dorsa Sanadgol & Didier Sornette - 16-79 Markov Cubature Rules for Polynomial Processes
by Damir Filipović & Martin Larsson & Sergio Pulido - 16-78 News About Zero-Leverage Firms
by Thomas Geelen - 16-77 On the Shape of Non-Monetary Measures for Risks
by Christophe Courbage & Henri Loubergé & Béatrice Rey - 16-76 Statistical Approximation of High-Dimensional Climate Models
by Alena Miftakhova & Kenneth L. Judd & Thomas S. Lontzek & Karl Schmedders - 16-75 Intermediation Markups and Monetary Policy Passthrough
by Semyon Malamud & Andreas Schrimpf - 16-74 A Primer on Portfolio Choice with Small Transaction Costs
by Johannes Muhle-Karbe & Max Reppen & Halil Mete Soner - 16-73 Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps
by Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet - 16-72 Hedging with Temporary Price Impact
by Peter Bank & Halil Mete Soner & Moritz Voss - 16-71 Convex Duality with Transaction Costs
by Yan Dolinsky & Halil Mete Soner - 16-70 Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment
by Reint Gropp & Thomas C. Mosk & Steven Ongena & Carlo Wix - 16-69 Wealth and Income Inequalities ← → r > g
by Yannick Malevergne & Didier Sornette - 16-68 Data Analytics for Non-Life Insurance Pricing
by Mario V. Wuthrich & Christoph Buser - 16-67 Machine Learning in Individual Claims Reserving
by Mario V. Wuthrich - 16-66 Collateral, Central Bank Repos, and Systemic Arbitrage
by Falko Fecht & Kjell G. Nyborg & Jörg Rocholl & Jiri Woschitz - 16-65 Intrinsic Risk Measures
by Walter Farkas & Alexander Smirnow - 16-64 Exchange Traded Funds (ETFs)
by Itzhak Ben-David & Francesco A. Franzoni & Rabih Moussawi - 16-63 The Relevance of Broker Networks for Information Diffusion in the Stock Market
by Marco Di Maggio & Francesco A. Franzoni & Amir Kermani & Carlo Sommavilla - 16-62 S&P 500 Index, an Option Implied Risk Analysis
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala - 16-61 A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon
by Li Lin & Didier Sornette - 16-60 Sticky Expectations and the Profitability Anomaly
by Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar - 16-59 Dependent Defaults and Losses with Factor Copula Models
by Damien Ackerer & Thibault Vatter - 16-58 A Heterogeneous-Agent Foundation of the Representative-Agent Approach
by Sabine Elmiger - 16-57 Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?
by Yannis Mesquida & Pascal St-Amour - 16-56 A Model of Price Impact and Market Maker Latency
by Jakub Rojcek - 16-55 Old-Age Provision: Past, Present, Future
by Hansjoerg Albrecher & Paul Embrechts & Damir Filipović & Glenn W. Harrison & Pablo Koch-Medina & Stéphane Loisel & Paolo Vanini & Joël Wagner - 16-54 Does Corporate Governance Matter? Evidence from the AGR Governance Rating
by Alberto Plazzi & Walter N. Torous - 16-53 WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
by Giovanni Barone-Adesi & Chiara Legnazzi & Carlo Sala - 16-52 How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
by Ines Chaieb & Vihang R. Errunza & Rajna Gibson - 16-51 A Diagnostic Criterion for Approximate Factor Structure
by Patrick Gagliardini & Elisa Ossola & O. Scaillet - 16-50 Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market
by Umit Yilmaz - 16-49 Market Integration and Global Crashes
by Semyon Malamud & Aytek Malkhozov - 16-48 Managing Inventory with Proportional Transaction Costs
by Florent Gallien & Serge Kassibrakis & Semyon Malamud & Filippo Passerini - 16-47 Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy
by Harald Hau & Yi Huang & Gewei Wang - 16-46 Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models
by Patrick Gagliardini & Eric Ghysels & Mirco Rubin - 16-45 High Frequency House Price Indexes with Scarce Data
by Steven C. Bourassa & Martin Hoesli - 16-44 On the American Swaption in the Linear-Rational Framework
by Damir Filipovic & Yerkin Kitapbayev - 16-43 A False Sense of Security: Why U.S. Banks Diversify and Does it Help?
by Priyank Gandhi & Patrick Christian Kiefer & Alberto Plazzi - 16-42 Aggregate Bank Capital and Credit Dynamics
by Nataliya Klimenko & Sebastian Pfeil & Jean-Charles Rochet & Gianni De Nicolo - 16-41 Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI - 16-40 Real Estate Research in Europe
by Martin Hoesli - 16-39 Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions
by Sandro Claudio Lera & Didier Sornette - 16-38 Exact Smooth Term Structure Estimation
by Damir Filipović & Sander Willems - 16-37 Risk Factors of European Non-Listed Real Estate Fund Returns
by Jean-Christophe Delfim & Martin Hoesli - 16-36 The Choice of Valuation Techniques in Practice: Education versus Profession
by Lilia Mukhlynina & Kjell G. Nyborg - 16-35 The Jacobi Stochastic Volatility Model
by Damien Ackerer & Damir Filipović & Sergio Pulido - 16-34 Linear Credit Risk Models
by Damien Ackerer & Damir Filipović - 16-33 The Impact of Merger Legislation on Bank Mergers
by Elena Carletti & Steven Ongena & Jan-Peter Siedlarek & Giancarlo Spagnolo - 16-32 New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'
by Vanessa Kummer & Maik Meusel & Philipp Renner & Karl Schmedders - 16-31 Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices
by Sabine Vincent & Tatyana Kovalenko & Vyacheslav I. Yukalov & Didier Sornette - 16-30 Risk and Resilience Management in Social-Economic Systems
by Tatyana Kovalenko & Didier Sornette - 16-29 Dating the Financial Cycle: A Wavelet Proposition
by Diego Ardila & Didier Sornette - 16-28 Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks
by Urs Birchler & René Hegglin & Michael R. Reichenecker & Alexander F. Wagner - 16-27 High Frequency House Price Indexes with Scarce Data
by Steven C. Bourassa & Martin Hoesli - 16-26 Dynamic Principal-Agent Models
by Philipp Renner & Karl Schmedders - 16-25 Replicating Portfolio Approach to Capital Calculation
by Mathieu Cambou & Damir Filipović - 16-24 Why Does Fast Loan Growth Predict Poor Performance for Banks?
by Rüdiger Fahlenbrach & Robert Prilmeier & René M. Stulz - 16-23 On the Relation between Linearity-Generating Processes and Linear-Rational Models
by Damir Filipović & Martin Larsson & Anders B. Trolle - 16-22 Equity is Cheap for Large Financial Institutions: The International Evidence
by Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi - 16-21 Price Impact of Aggressive Liquidity Provision
by Ramazan Gencay & Soheil Mahmoodzadeh & Jakub Rojcek & Michael C Tseng - 16-20 Real Estate Company Reactions to Financial Market Regulation
by Martin Hoesli & Stanimira Milcheva & Alex Moss - 16-19 Rollover Traps
by Marco Della Seta & Erwan Morellec & Francesca Zucchi - 16-18 Corporate Policies with Permanent and Transitory Shocks
by Jean-Paul Decamps & Sebastian Gryglewicz & Erwan Morellec & Stephane Villeneuve - 16-17 Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading
by Stefano Colonnello & Matthias Efing & Francesca Zucchi - 16-16 The Quality-Assuring Role of Mutual Fund Advisory Fees
by Michel A. Habib & D. Bruce Johnsen - 16-15 Discrete-Time Option Pricing with Stochastic Liquidity
by Markus Leippold & Steven Schaerer - 16-14 A Bayesian Estimate of the Pricing Kernel
by Giovanni Barone-Adesi & Chiara Legnazzi & Antonietta Mira - 16-13 Forecasting Financial Returns with a Structural Macroeconomic Model
by Eric Jondeau & Michael Rockinger - 16-12 Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
by Vladimir Filimonov & Guilherme Demos & Didier Sornette - 16-11 Is Industrial Production Still the Dominant Factor for the US Economy?
by Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin - 16-10 Birds of a Feather – Do Hedge Fund Managers Flock Together?
by Marc Gerritzen & Jens Carsten Jackwerth & Alberto Plazzi - 16-09 Quantum Decision Theory in Simple Risky Choices
by Maroussia Favre & Amrei Wittwer & Hans Rudolf Heinimann & Vyacheslav I. Yukalov & Didier Sornette - 16-08 Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles
by Didier Sornette & Sandra Andraszewicz & Ryan O. Murphy & Philipp B. Rindler & Dorsa Sanadgol - 16-07 Employment Protection and Investment Opportunities
by Claudio F. Loderer & Urs Waelchli & Jonas Zeller - 16-06 On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints
by Olivier Scaillet - 16-05 A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
by Qunzhi Zhang & Didier Sornette & Mehmet Balcilar & Rangan Gupta & Zeynel Abidin Ozdemir & I. Hakan Yetkiner - 16-04 A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
by Maximilian ADELMANN & Lucio FERNANDEZ ARJONA & Janos MAYER & Karl SCHMEDDERS - 16-03 Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles
by Maximilian Seyrich & Didier Sornette - 16-02 Economically Consistent Valuations and Put-Call Parity
by Martin HERDEGEN & Martin SCHWEIZER - 16-01 Measuring House Price Bubbles
by Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN
2015
- 15-68 Financial Conglomerate Affiliation and Hedge Funds’ Countercyclical Risk Taking
by Francesco A. Franzoni & Mariassunta Giannetti - 15-67 The Granular Nature of Large Institutional Investors
by Itzhak Ben-DAVID & Francesco A. FRANZONI & Rabih MOUSSAWI & John SEDUNOV III - 15-66 Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?
by Carlo Sala - 15-65 How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?
by Matthias EFING & Rüdiger FAHLENBRACH & Christoph HERPFER & Philipp KRÜGER - 15-64 Leverage and Risk Taking
by Santiago Moreno-BROMBERG & Guillaume ROGER - 15-63 Countercyclical Foreign Currency Borrowing: Eurozone Firms in 2007-2009
by Philippe BACCHETTA & Ouarda MERROUCHE - 15-62 Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth
by Sandro Claudio LERA & Didier SORNETTE - 15-61 An Anatomy of the Equity Premium
by Paul Schneider - 15-60 Divergence and the Price of Uncertainty
by Paul Schneider & Fabio Trojani - 15-59 Herding and Stochastic Volatility
by Walter Farkas & Ciprian Necula & Boris Waelchli - 15-58 Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set
by Carlo Sala & Giovanni Barone-Adesi - 15-57 Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?
by Guilherme DEMOS & Qunzhi ZHANG & Didier SORNETTE - 15-56 Statistical Testing of DeMark Technical Indicators on Commodity Futures
by Marco LISSANDRIN & Donnacha DALY & Didier SORNETTE - 15-55 Informed Trading and Option Prices: Evidence from Activist Trading
by Pierre Collin-Dufresne & Vyacheslav Fos & Dmitriy Muravyev - 15-54 A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
by Ciprian Necula & Elise Gourier & Robert Huitema & Walter Farkas - 15-53 A General Closed Form Option Pricing Formula
by Ciprian Necula & Gabriel G. Drimus & Walter Farkas - 15-52 Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
by Sebastian Herrmann & Johannes Muhle-Karbe - 15-51 Liquidity Management in Banking: What is the Role of Leverage?
by Quynh Anh VO - 15-50 Conditioning the Information in Portfolio Optimization
by Carlo Sala & Giovanni Barone-Adesi - 15-49 Leverage and Risk Taking
by Santiago Moreno-Bromberg & Guillaume Roger - 15-48 Has the Pricing of Stocks Become More Global?
by Ivan Petzev & Andreas Schrimpf & Alexander F. Wagner - 15-47 Average Skewness Matters!
by Eric JONDEAU & Qunzi ZHANG - 15-46 The Impact of Treasury Supply on Financial Sector Lending and Stability
by Arvind KRISHNAMURTHY & Annette VISSING-JORGENSEN - 15-45 VaR and CVaR Implied in Option Prices
by Giovanni BARONE-ADESI - 15-44 Optimal Rebalancing Frequencies for Multidimensional Portfolios
by Johannes Muhle-Karbe & Ibrahim Ekren & Ren Liu - 15-43 Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities
by Qun ZHANG & Qunzhi ZHANG & Didier SORNETTE - 15-42 What Affects Children's Outcomes: House Characteristics or Homeownership?
by Steven C. BOURASSA & Donald R. HAURIN & Martin HOESLI - 15-41 Liquidity, Innovation, And Endogenous Growth
by Semyon MALAMUD & Francesca ZUCCHI - 15-40 Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment
by Philipp KRÜGER - 15-39 Technological Progress and Ownership Structure
by Heng GENG & Harald HAU & Sandy LAI - 15-38 A Result on Integral Functionals with Infinitely Many Constraints
by Tahir CHOULLI & Martin SCHWEIZER - 15-37 A Dynamic Equilibrium Model of ETFs
by Semyon MALAMUD - 15-36 The Price of the Smile and Variance Risk Premia
by Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI - 15-35 Information and Inventories in High-Frequency Trading
by Johannes Muhle-Karbe & Kevin Webster - 15-34 Stochastic Claims Reserving Manual: Advances in Dynamic Modeling
by Mario V. Wuthrich & Michael Merz - 15-33 Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics
by Sandro Claudio LERA & Didier SORNETTE - 15-32 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier SORNETTE & Guilherme DEMOS & Zhang QUN & Peter CAUWELS & Vladimir FILIMONOV & Qunzhi ZHANG - 15-31 Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
by Didier Sornette & Guilherme Demos & Qun Zhang & Peter Cauwels & Vladimir Filimonov & Qunzhi Zhang - 15-30 The Acceleration Effect and Gamma Factor in Asset Pricing
by Diego ARDILA-ALVAREZ & Zalàn FORRÒ & Didier SORNETTE - 15-29 Size and Momentum Profitability in International Stock Markets
by Peter S. SCHMIDT & Urs VON ARX & Andreas SCHRIMPF & Alexander F. WAGNER & Andreas ZIEGLER - 15-28 Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings
by Spencer WHEATLEY & Didier SORNETTE - 15-27 Sensitivity of Optimal Consumption Streams
by Martin Herdegen & Johannes Muhle-Karbe - 15-26 Consistent Re-Calibration in Yield Curve Modeling: An Example
by Mario V. Wuthrich - 15-25 Does Market Irrationality in the Media Affect Stock Returns?
by Rajna GIBSON BRANDON & Christopher HEMMENS & Mathieu TRÉPANIER - 15-24 Collateralization, Leverage, and Stressed Expected Loss
by Eric JONDEAU & Amir KHALILZADEH - 15-23 High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation
by Jakub ROJCEK & Alexandre ZIEGLER - 15-22 Nonparametric Empirical Evidence for Krugman's Target Zone Model
by Sandro Claudio LERA & Didier SORNETTE - 15-21 Agency Conflicts Around the World
by Erwan Morellec & Boris Nikolov & Norman Schürhoff - 15-20 Uniqueness of Equilibrium in a Payment System with Liquidation Costs
by Hamed AMINI & Damir FILIPOVIC & Andreea MINCA - 15-19 Hedging with Small Uncertainty Aversion
by Sebastian Herrmann & Johannes Muhle-Karbe & Frank Thomas Seifried - 15-18 Human Capital and Employment Risks Diversification
by Pascal ST-AMOUR - 15-17 Portfolio Selection with Active Risk Monitoring
by Marc S. PAOLELLA & Pawel POLAK - 15-16 Evolutionary Behavioural Finance
by Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPÉ - 15-15 Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales
by Tahir CHOULLI & Martin SCHWEIZER - 15-14 A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World
by Didier SORNETTE - 15-12 Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
by Giovanni BARONE-ADESI & Kostas GIANNOPOULOS & Les VOSPER - 15-11 History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 15-10 Central Bank Collateral Frameworks
by Kjell G. NYBORG - 15-09 Noisy Arrow-Debreu Equilibria
by Semyon MALAMUD - 15-08 Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
by Markus LEIPPOLD & Nikola VASILJEVIC - 15-07 Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
by Taisei KAIZOJI & Matthias LEISS & Alexander I. SAICHEV & Didier SORNETTE - 15-06 Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices
by Yuki SATO - 15-05 Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)
by Martin HERDEGEN & Martin SCHWEIZER - 15-04 The Shadow Cost of Repos and Bank Liability Structure
by Nataliya KLIMENKO & Santiago MORENO-BROMBERG - 15-03 Innovation, Delegation, and Asset Price Swings
by Yuki SATO - 15-02 Tips and Tells from Managers: How Analysts and the Market Read Between the Lines of Conference Calls
by Marina DRUZ & Alexander F. WAGNER & Alexander Richard J. ZECKHAUSER - 15-01 The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms
by Rajna GIBSON BRANDON & Carmen TANNER & Alexander F. WAGNER
2014
- 14-74 Liquidation with Self-Exciting Price Impact
by Thomas Cayé & Johannes Muhle-Karbe - 14-73 Strategic Technology Adoption and Hedging under Incomplete Markets
by Markus LEIPPOLD & Jacob STROMBERG - 14-72 High-Resilience Limits of Block-Shaped Order Books
by Jan KALLSEN & Johannes MUHLE-KARBE - 14-71 Risk-Adjusted Time Series Momentum
by Martin DUDLER & Bruno GMUER & Semyon MALAMUD - 14-70 Bank Capital, Liquid Reserves, and Insolvency Risk
by Julien Hugonnier & Erwan Morellec - 14-69 Claims Run-Off Uncertainty: The Full Picture
by Michael Merz & Mario V. Wuthrich - 14-68 Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
by Walter POHL & Karl SCHMEDDERS & Ole WILMS - 14-67 Heterogeneity in Decentralized Asset Markets
by Julien HUGONNIER & Benjamin LESTER & Pierre-Olivier WEILL - 14-66 Fed Funds Futures Variance Futures
by Damir Filipovic & Anders B. Trolle - 14-65 Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment
by Matthias EFFING - 14-64 Shadow Insurance
by Ralph S. J. Koijen & Motohiro Yogo - 14-63 To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
by Hamed AMINI & Damir FILIPOVIC & Andreea MINCA - 14-62 Martingale Optimal Transport in the Skorokhod Space
by Yan DOLINSKY & Mete SONER - 14-61 Facelifting in Utility Maximization
by Kasper LARSEN & Mete SONER & Gordan ZITKOVIC - 14-60 Hedging Under an Expected Loss Constraint with Small Transaction Costs
by Bruno BOUCHARD & Ludovic MOREAU & Mete SONER - 14-59 Asymmetric Beta Comovement and Systematic Downside Risk
by Eric JONDEAU & Qunzi ZHANG - 14-58 Optimal Long-Term Allocation with Pension Fund Liabilities
by Eric JONDEAU & Michael ROCKINGER - 14-57 Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies
by Hao MENG & Wei-Xing ZHOU & Didier SORNETTE - 14-56 Merger Activity in Industry Equilibrium
by Theodosios DIMOPOULOS & Stefano SACCHETTO - 14-55 Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks
by Matthias EFING & Harald HAU & Patrick KAMPKÖTTER & Johannes STEINBRECHER - 14-54 Polynomial Preserving Diffusions and Applications in Finance
by Damir FILIPOVIC & Martin LARSSON - 14-53 Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm
by Spencer WHEATLEY & Vladimir FILIMONOV & Didier SORNETTE - 14-52 Super-Exponential Growth Expectations and the Global Financial Crisis
by Matthias LEISS & Heinrich H. NAX & Didier SORNETTE - 14-51 Luck and Entrepreneurial Success
by Diego LIECHTI & Claudio LODERER & Urs PEYER - 14-50 Dealer Networks
by Dan LI & Norman SCHUERHOFF - 14-49 Are Institutions Informed About News?
by Terrence HENDERSHOTT & Dmitry LIVDAN & Norman SCHUERHOFF - 14-48 Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdowns
by Vladimir FILIMONOV & Didier SORNETTE - 14-47 Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
by Ines CHAIEB & Vihang ERRUNZA & Rajna GIBSON BRANDON - 14-46 Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology
by Lucas FIEVET & Zalàn FORRO & Peter CAUWELS & Didier SORNETTE - 14-45 Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
by Juan V. ESCOBAR & Didier SORNETTE - 14-44 Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland
by Diego ARDILA & Dorsa SANADGOL & Peter CAUWELS & Didier SORNETTE - 14-43 Estimating Aggregate Autoregressive Processes When Only Macro Data are Available
by Eric JONDEAU & Florian PELGRIN - 14-42 A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
by Angie ANDRIKOGIANNOPOULOU & Filippos PAPAKONSTANTINOU - 14-41 Asset Prices with Temporary Shocks to Consumption
by Walter POHL & Karl SCHMEDDERS & Ole WILMS - 14-40 A Fast, Accurate Method for Value at Risk and Expected Shortfall
by Jochen KRAUSE & Marc S. PAOLELLA - 14-39 Threat of Entry and Debt Maturity: Evidence from Airlines
by Gianpaolo PARISE - 14-38 Model Uncertainty and Scenario Aggregation
by Mathieu CAMBOU & Damir FILIPOVIC - 14-37 Concavity of the Consumption Function with Recursive Preferences
by Semyon MALAMUD - 14-36 Price Discovery through Options
by Semyon MALAMUD - 14-35 Corporate Saving in Global Rebalancing
by Philippe BACCHETTA & Kenza BENHIMA - 14-34 Optimal Exchange Rate Policy in a Growing Semi-Open Economy
by Philippe Bacchetta & Kenza Benhima & Yannick Kalantzis - 14-33 The Perennial Challenge to Counter Too-Big-To-Fail in Banking: Empirical Evidence from the New International Regulation Dealing with Global Systemically Important Banks
by Sebastian C. MOENNINGHOFF & Steven ONGENA & Axel WIEANDT - 14-32 Multifamily Residential Asset and Space Markets and Linkages with the Economy
by Martin HOESLI & Alain CHANEY