Printed from https://ideas.repec.org/s/chf/rpseri7.html
Content
2011
- 11-05 The US stock market leads the Federal funds rate and Treasury bond yields
by Kun GUO & Wei-Xing ZHOU & Si-Wei CHENG & Didier SORNETTE - 11-04 Regulating Asset Price Risk
by Philippe BACCHETTA & Cedric TILLE & Eric VAN WINCOOP - 11-03 Robust reverse engineering of crosssectional returns and improved portfolio allocation performance using the CAPM
by Xiaohui NI & Yannick MALEVERGNE & Didier SORNETTE & Peter WOEHRMANN - 11-02 Approaches to conditional risk
by Damir FILIPOVIC & Michael KUPPER & Nicolas VOGELPOTH - 11-01 Entrepreneurial Spawning and Firm Characteristics
by Michel A. HABIB & Ulrich HEGE & Pierre MELLA-BARRAL
2010
- 10-46 Do Public Real Estate Returns Really Lead Private Returns?
by Alena AUDZEYEVA & Barbara SUMMERS & Klaus Reiner SCHENK-HOPPE - 10-45 Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
by Kenneth L. JUDD & Philipp RENNER & Karl SCHMEDDERS - 10-44 Conditional Density Models for Asset Pricing
by Damir FILIPOVIC & Lane P. HUGHSTON & Andrea MACRINA - 10-43 Moment Component Analysis: An Illustration with International Stock Markets
by Eric JONDEAU & Emmanuel JURCZENKO & Michael ROCKINGER - 10-42 Nonmyopic Optimal Portfolios in Viable Markets
by Jaksa CVITANIC & Semyon MALAMUD - 10-41 Portfolio Allocation for European Markets with Predictability and Parameter Uncertainty
by Eric JONDEAU & Michael ROCKINGER - 10-40 Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns
by Martin HOESLI & Kustrim REKA - 10-39 A Simple Model of the Firm Life Cycle
by Klaus REINER SCHENK-HOPPE & Urs SCHWERI - 10-38 Consumption Paths under Prospect Utility in an Optimal Growth Model
by Reto FOELLMI & Rina ROSENBLATT-WISCH & Klaus REINER SCHENK-HOPPE - 10-37 Banking System Stability with respect to Funding Liquidity Risk
by Mario HAEFELI - 10-36 An evolutionary financial market model with a risk-free asset
by Igor V. EVSTIGNEEVY & Thorsten HENS & Klaus Reiner SCHENK-HOPPE - 10-35 The performance of the Eurosystem's fixed rate tenders since 2004: Theory and evidence
by Christian EWERHART & Nuno CASSOLA & Natacha VALLA - 10-34 Taming Manias: On the Origins, Inevitability, Prediction and Regulation of Bubbles and Crashes
by Jeffrey SATINOVER & Didier SORNETTE - 10-33 The value of the liability insurance for Credit Suisse and UBS
by Mario HAEFELI & Matthias P. JUTTNER - 10-32 Self-Fulfilling Risk Panics
by Philippe BACCHETTA & Cédric TILLE & Eric VAN WINCOOP - 10-31 Alternative Models For Hedging Yield Curve Risk: An Empirical Comparison
by Nicola CARCANO & Hakim DALL'O - 10-30 Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change
by Zhihua CHEN & Aziz A. LOOKMAN & Norman SCHURHOFF & Duane J. SEPPI - 10-29 A structural analysis of the health expenditures and portfolio choices of retired agents
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 10-28 Bayesian Learning in UnstableSettings: Experimental Evidence Based on the Bandit Problem
by Élise PAYZAN LE NESTOUR - 10-27 ALRIGHT: Asymmetric LaRge-Scale(I)GARCH with Hetero-Tails
by Marc S. PAOLELLA - 10-26 Price Impact and Portfolio Impact
by Jaksa CVITANIC & Semyon MALAMUD - 10-25 Money and Liquidity in Financial Markets
by Kjell G. NYBORG & Per OSTBERG - 10-24 Bank Bailout Menus
by Sudipto BHATTACHARYA & Kjell G. NYBORG - 10-23 Microinformation, Nonlinear Filtering and Granularity
by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT - 10-22 Replicating Hedge Fund Indices with Optimization Heuristics
by Manfred GILLI & Enrico SCHUMANN & Gerda CABEJ & Jonela LULA - 10-21 Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
by Felix KUBLER & Karl SCHMEDDERS - 10-20 The Price of Liquidity: Bank Characteristics and Market Conditions
by Falko FECHT & Kjell G. NYBORG & Jörg ROCHOLL - 10-19 Macroeconomic Conditions, Growth Opportunities and the Cross-Section of Credit Risk
by Marc ARNOLD & Alexander F. WAGNER & Ramona WESTERMANN - 10-18 Risk-taking Incentives, Governance,and Losses in the Financial Crisis
by Marc CHESNEY & Jacob STROMBERG & Alexander F. WAGNER - 10-17 The Dark Side of Outside Directors: Do they Quit When They are Most Needed?
by Rüdiger Fahlenbrach & Angie Low & René M. Stulz - 10-16 Bubbles Everywhere in Human Affairs
by Monika GISLER & Didier SORNETTE - 10-15 Diagnosis and Prediction of Market Rebounds in Financial Markets
by Wanfeng YAN & Ryan WOODARD & Didier SORNETTE - 10-14 Three Solutions to the Pricing Kernel Puzzle
by Thorsten HENS & Christian REICHLIN - 10-13 The Interest Rate Sensitivity of Real Estate
by Alain CHANEY & Martin HOESLI - 10-12 Exuberant innovation: The Human Genome Project
by Monika GISLER & Didier SORNETTE & Ryan WOODARD - 10-11 Former CEO Directors: Lingering CEOs or Valuable Resources?
by Rüdiger FAHLENBRACH & Bernadette A. MINTON & Carrie H. PAN - 10-10 Optimal Securitization with Heterogeneous Investors
by Semyon Malamud & Huaxia Rui & Andrew B. Whinston - 10-09 Information Percolation in Segmented Markets
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 10-08 Reverse Engineering Financial Markets with Majority and MinorityGames using Genetic Algorithms
by Judith WIESINGER & Didier SORNETTE & Jeffrey SATINOVER - 10-07 Efficient Derivative Pricing By The Extended Method of Moments
by Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT - 10-06 The Lehman Brothers Effect and Bankruptcy Cascades
by Pawel SIECZKA & Didier SORNETTE & Janusz A. HOLYST - 10-05 Realizing Smiles: Pricing Options with Realized Volatility
by Fulvio CORSI & Nicola FUSARI & Davide LA VECCHIA - 10-04 Lemons and Money Market?
by Christian EWERHART & Patricia FEUBLI - 10-03 Is the Price Kernel Monotone?
by Giovanni BARONE-ADESI & Hakim DALL'O - 10-02 Exploring the Nature of 'Trader Intuition'
by Antoine J. BRUGUIER & Steven R. QUARTZ & Peter BOSSAERTS - 10-01 Housing and its Role in the Household Portfolio in Colombia
by Camilo SERRANO & Martin HOESLI
2009
- 09-50 An Experimental Study On Real Option Strategies
by Mei WANG & Abraham BERNSTEIN & Marc CHESNEY - 09-49 Evolutionary Finance and Dynamic Games
by Rabah AMIR & Igor V. EVSTIGNEEV & Thorsten HENS & Le XU - 09-48 An Experimental Study On Real Option Strategies
by Mei WANG & Abraham BERNSTEIN & Marc CHESNEY - 09-47 How Time Preferences Differ: Evidence from 45 Countries
by Mei WANG & Marc Oliver RIEGER & Thorsten HENS - 09-46 Homogeneous Volatility Bridge Estimators
by Alexander SAICHEV & Didier SORNETTE & Vladimir FILIMONOV & Fulvio CORSI - 09-45 Financial Markets Equilibrium with Heterogeneous Agents
by Jaksa CVITANIC & Elyès JOUINI & Semyon MALAMUD & Clotilde NAPP - 09-44 Liquidity in the Foreign Exchange Market: Measurement, Commonality,and Risk Premiums
by Loriano MANCINI & Angelo RANALDO & Jan WRAMPELMEYER - 09-43 Private Equity Performance and Liquidity Risk
by Francesco FRANZONI & Eric NOWAK & Ludovic PHALIPPOU - 09-42 House Prices,Disposable Income,and Permanent and Temporary Shocks
by Patricia FRASER & Martin HOESLI & Lynn MCALEVEY - 09-41 Endogenous completeness of diffusion driven equilibrium markets
by Julien HUGONNIER & Semyon MALAMUD & Eugene TRUBOWITZ - 09-40 Gibrat’s law for cities: uniformly most powerful unbiased test of the Pareto against the lognormal
by Y. Malevergne & V. Pisarenko & D. Sornette - 09-39 Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese stock market bubbles
by Zhi-Qiang JIANG & Wei-Xing ZHOU & Didier SORNETTE & Ryan WOODARD & Ken BASTIAENSEN & Peter CAUWELS - 09-38 Robust Resampling Methods for Time Series
by Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI - 09-37 Growing wealth with fixed-mix strategies
by Michael A.H. DEMPSTER & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE - 09-36 Dragon-Kings, Black Swans and the Prediction of Crises
by Didier SORNETTE - 09-35 Most Efficient Homogeneous Volatility Estimators
by Alexander I. SAICHEV & Didier SORNETTE & Vladimir FILIMONOV - 09-34 Equilibrium Driven by Discounted Dividend Volatility
by Jaksa CVITANIC & Semyon MALAMUD - 09-33 The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 09-32 Survival and Evolutionary Stability of the Kelly Rule
by Igor V. EVSTIGNEEV & Thorsten HENS & Klaus Reiner SCHENK-HOPPE - 09-31 Other-regarding preferences and altruistic punishment: A Darwinian perspective
by Moritz HETZER & Didier SORNETTE - 09-30 Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity
by Eric JONDEAU & Florian PELGRIN - 09-29 Firm Migration and Stock Returns
by Giovanni W. PUOPOLO - 09-28 Short Selling Regulation after the Financial Crisis – First Principles Revisited
by Seraina GRUENEWALD & Alexander F. WAGNER & Rolf H. WEBER - 09-27 Bank CEO Incentives and the Credit Crisis
by Rüdiger FAHLENBRACH & René M. STULZ - 09-26 Linkages Between Direct and Securitized Real Estate
by Elias OIKARINEN & Martin HOESLI & Camilo SERRANO - 09-25 Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting
by Enrico G. DE GIORGI & Shane LEGG - 09-24 Optimal Liquidation Strategies in Illiquid Markets
by Eric JONDEAU & Augusto PERILLA & Michael ROCKINGER - 09-23 Fourth Order Pseudo Maximum Likelihood Methods
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - 09-22 The time-varying prediction of successful mergers
by Giovanni BARONE-ADESI & Giuseppe CORVASCE - 09-21 Financial Crisis: Estimating the Risk of Assets in Balance
by Giovanni BARONE-ADESI & Giuseppe CORVASCE - 09-20 Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets
by Elena Asparouhova & Peter Bossaerts & Jon Eguia & William Zame - 09-19 A Satiscing Alternative to Prospect Theory
by David B. BROWN & Enrico G. DE GIORGI & Melvyn SIM - 09-18 Health and (other) Asset Holdings
by Julien Hugonnier & Florian Pelgrin & Pascal St-Amour - 09-17 An Intergenerational Cross-Country Swap
by Miret PADOVANI & Paolo VANINI - 09-16 The Swiss Housing Market
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO - 09-15 Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
by Didier SORNETTE & Ryan WOODARD - 09-14 A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals
by Li LIN & Ruo En REN & Didier SORNETTE - 09-13 Variance Covariance Orders and Median Preserving
by Semyon MALAMUD & Fabio TROJANI - 09-12 Efficiency in Large Dynamic Panel Models with Common Factor
by Patrick GAGLIARDINI & Christian GOURIEROUX - 09-11 The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading
by Ramazan GENCA & Rajna GIBSON & Yi XUE - 09-10 Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation
by Erwan MORELLEC & Boris NIKOLOV & Norman SCHURHOFF - 09-09 Dynamic Investment and Financing under Asymmetric Information
by Erwan MORELLEC & Norman SCHURHOFF - 09-08 Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables
by Camilo SERRANO & Martin HOESLI - 09-07 On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market
by Giovanni BARONE-ADESI & Helyette GEMAN & John THEAL - 09-06 An Empirical Analysis of Alternative Portfolio Selection Criteria
by Manfred GILLI & Enrico SCHUMANN - 09-05 Non-parametric counterfactual analysis in dynamic general equilibrium
by Felix KUBLER & Karl SCHMEDDERS - 09-04 Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
by Shengsui HU & Yannick MALEVERGNE & Didier SORNETTE - 09-03 Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds
by Jaksa CVITANIC & Semyon MALAMUD - 09-02 Information Percolation with Equilibrium Search Dynamics
by Darrell DUFFIE & Semyon MALAMUD & Gustavo MANSO - 09-01 Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP
by Christian EWERHART
2008
- 08-49 Incomplete-Market Equilibria Solved Recursively on an Event Tree
by Bernard DUMAS & Andrew LYASOFF - 08-48 Sacred values in financial economic decision-making: Experimental evidence
by Rajna GIBSON & Carmen TANNER & Alexander F. WAGNER - 08-47 What do frictions mean for Q-theory testing?
by Maria Cecilia BUSTAMANTE - 08-46 The Dynamics of Going Public
by Maria Cecilia BUSTAMANTE - 08-45 Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data
by Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER - 08-44 Frailty Correlated Default
by Darrell DUFFIE & Andreas ECKNER & Guillaume HOREL & Leandro SAITA - 08-43 The Price of Protection: Derivatives, Default Risk, and Margining
by Rajna GIBSON & Carsten MURAWSKI - 08-42 Testing for threshold effect in ARFIMA models: Application to US unemployment rate data
by Amine LAHIANI & Olivier SCAILLET - 08-41 Strategies of Survival in Dynamic Asset Market Games
by Rabah AMIR & Igor V. EVSTIGNEEV & Le XU - 08-40 Asymmetric Information and Adverse Selection in Mauritian Slave Auctions
by Georges DIONNE & Pascal ST-AMOUR & Desire VENCATACHELLUM - 08-39 Global Securitized Real Estate Benchmarks and Performance
by Camilo SERRANO & Martin HOESLI - 08-38 Auctioned IPOs: The U.S. Evidence
by François DEGEORGE & François DERRIEN & Kent L. WOMACK - 08-37 Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?
by Rajna GIBSON & Songtao WANG - 08-36 Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM
by Francesco FRANZONI & Tobias ADRIAN - 08-35 The Changing Nature Of Market Risk
by Francesco FRANZONI - 08-34 Constructing Long/Short Portfolios with the Omega ratio
by Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ - 08-33 Look-Ahead Benchmark Biasin Portfolio Performance Evaluation
by Gilles DANIEL & Didier SORNETTE & Peter WOHRMANN - 08-32 Bond Ladders and Optimal Portfolios
by Kenneth L. JUDD & Felix KUBLER & Karl SCHMEDDERS - 08-31 Asset Market Games of Survival
by Rabah AMIR & Igor V. EVSTIGNEEV & Klaus Reiner SCHENK-HOPPE - 08-30 From Discrete to Continuous Time Evolutionary Finance Models
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE - 08-29 Market Selection of Constant Proportions Investment Strategies in Continuous Time
by Jan PALCZEWSKI & Klaus Reiner SCHENK-HOPPE - 08-28 Bubbles and multiplicity of equilibria under portfolio constraints
by Julien Hugonnier - 08-27 Are Securitized Real Estate Returns more Predictable than Stock Returns?
by Camilo Serrano & Martin Hoesli - 08-26 Mutual Fund Competition in the Presence of Dynamic Flows
by Michèle Breton & Julien Hugonnier & Tarek Masmoudi - 08-25 Mathematical Basis of Quantum Decision Theory
by Vyacheslav I. Yukalov & Didier Sornette - 08-24 Counterparty risk
by Christian Ewerhart & Jens Tapking - 08-23 Incomplete information, idiosyncratic volatility and stock returns
by Tony BERRADA & Julien HUGONNIER - 08-22 Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions
by Francesco A. Franzoni - 08-21 The Determinants of the Block Premium and of Private Benefits of Control
by Rui Albuquerque & Enrique Schroth - 08-20 Valuing modularity as a real option
by Andrea GAMBA & Nicola FUSARI - 08-19 Ambiguity Aversion and the Term Structure of Interest Rates
by Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani - 08-18 False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas
by Laurent BARRAS & Olivier SCAILLET & Russ WERMERS - 08-17 Distributed Optimisation of a Portfolio's Omega
by Manfred Gilli & Enrico Schumann - 08-16 Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
by Georges Harras & Didier Sornette - 08-15 Anomalous Returns in a Neural Network Equity-Ranking Predictor
by J.B. Satinover & D. Sornette - 08-14 Evolutionary Finance
by Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé - 08-13 Executive Compensation and Stock Options: An Inconvenient Truth
by Jean-Pierre Danthine & John B. Donaldson - 08-12 A review of heuristic optimization methods in econometrics
by Manfred GILLI & Peter WINKER - 08-11 The executive turnover risk premium
by Florian S. PETERS & Alexander F. WAGNER - 08-10 Constant-Quality House Price Indexes for Switzerland
by Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Philippe SORMANI - 08-09 Cash Sub-additive Risk Measures and Interest Rate Ambiguity
by Nicole EL KAROUI & Claudia RAVANELLI - 08-08 CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
by Simon A. BRODA & Marc S. PAOLELLA - 08-07 Capital growth under transaction costs: An analysis based on the von Neumann-Gale model
by Wael BAHSOUN & Igor V. EVSTIGNEEV & Michael I. TAKSAR - 08-06 Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
by Eric Jondeau - 08-05 Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs
by Pierre Bajgrowicz & Olivier Scaillet - 08-04 Implied Volatility at Expiration
by Alexey Medvedev - 08-03 Nonparametric Instrumental Variable Estimators of Structural Quantile Effects
by Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet - 08-02 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing
by Marc Chesney & Luca Taschini - 08-01 Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions
by Steven C. Bourassa & Eva Cantoni & Martin Hoesli
2007
- 07-37 Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
by Bernard Dumas & Alexander Kurshev & Raman Uppal - 07-36 Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity
by Eric Jondeau & Jean-Guillaume SAHUC - 07-35 Forecasting EREIT Returns
by Camilo Serrano & Martin Hoesli - 07-34 Dynamic Option-Based Strategies under Downside Loss Averse Preferences
by Amine Jalal - 07-33 Executive Compensation: The View from General Equilibrium
by Jean-Pierre Danthine & John B. Donaldson - 07-32 Arbitrage in Stationary Markets
by Igor Evstigneev & Dhruv Kapoor - 07-31 Robust Value at Risk Prediction
by Loriano Mancini & Fabio Trojani - 07-30 Prospect Theory for Continuous Distributions Games and Prospects
by Marc Oliver Rieger & Mei Wang - 07-29 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-28 Co-monotonicity of optimal investments and the design of structured financial products
by Marc Oliver Rieger - 07-27 Hybrid Cat-bonds
by Pauline Barrieu & Henri Loubergé - 07-26 Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns
by Gregory Connor & Matthias Hagmann & Oliver Linton - 07-25 Pricing American Options under Stochastic Volatility and Stochastic Interest Rates
by Alexey MEDVEDEV & Olivier SCAILLET - 07-24 Testing For Equality Between Two Copulas
by Bruno Rémillard & Olivier Scaillet - 07-23 Asset Pricing, Habit Memory, and the Labor Market
by Ivan Jaccard - 07-22 Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations
by Christian Ewerhart & Nuno Cassola & Natacha Valla - 07-21 Financial Market Equilibria With Cumulative Prospect Therory
by Enrico De Giorgi & Thorsten Hens & Marc Oliver Rieger - 07-20 Do Stylised Facts of Order Book Markets Need Strategic Behaviour?
by Dan Ladley & Klaus Reiner Schenk-Hoppe - 07-19 Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
by Ivan Jaccard - 07-18 Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets
by Alena Audzeyeva & Klaus Reiner Schenk-Hoppe - 07-17 Board Independence and Competence
by Alexander F. WAGNER - 07-16 Why Firms Purchase Property Insurance?
by Daniel Aunon-Nerin & Paul Ehling - 07-15 Conspicuous Conservatism In Risk Choice
by Boaz Moselle & François Degeorge & Richard Zeckhauser - 07-14 Stochastic Reference Points And The Dependence Structure
by Enrico De Giorgi & Thierry Post - 07-13 A Specification Test For Nonparametric Instrumental Variable Regression
by Patrick Gagliardini & Olivier Scaillet - 07-12 Anomalies In Intertemporal Choice?
by Anke Gerber & Kirsten I.M. Rohde - 07-11 Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges
by Christian-Olivier Ewald & Klaus Reiner Schenk-Hoppe & Zhaojun Yang - 07-10 Stochastic Volatility: Risk Minimization and Model Risk
by Christian-Olivier Ewald & Rolf Poulsen & Klaus Reiner Schenk-Hoppe - 07-09 Benchmarks in Aggregate Household Portfolios
by Pascal St-Amour - 07-08 Bankcruptcy Law and Firms’ Behavior
by Anne Epaulard & Aude Pommeret - 07-07 Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk
by Philippe Ehlers & Philipp J. Schoenbucher - 07-06 Aggregating Phillips Curves
by Jean Imbs & Eric Jondeau & Florian Pelgrin - 07-05 Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments
by Peter Bossaerts & Charles Plott & William R. Zame - 07-04 Why Do the Swiss Rent?
by Steven C. Bourassa & Martin Hoesli - 07-03 A GARCH Option Pricing Model in Incomplete Markets
by Giovanni Barone-Adesi & Robert F. Engle & Loriano Mancini - 07-02 Barrier Option Pricing Using Adjusted Transition Probabilities
by Giovanni Barone-Adesi & Nicola Fusari & John Theal - 07-01 An Objective Function for Simulation Based Inference on Exchange Rate Data
by Peter Winker & Manfred Gilli & Vahidin Jeleskovic
2006
- 06-39 Pricing Interest Rate-SensitiveCredit Portfolio Derivatives
by Philippe Ehlers & Philipp J. Schonbucher - 06-38 On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach
by Terje Lensberg & Klaus Reiner Schenk-Hoppe - 06-37 House Prices, Real Estate Returns and the Business Cycle
by Ivan Jaccard - 06-36 Finance and Efficiency: Do Bank Branching Regulations Matter?
by Viral V. Acharya & Jean Imbs & Jason Sturgess - 06-35 The Economic Value of Distributional Timing
by Eric Jondeau & Michael Rockinger - 06-34 Loyalty and competence: Empirical evidence from public agencies
by Alexander F. Wagner - 06-33 Robust Subsampling
by Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani - 06-32 Local Transformation Kernel Density Estimation of Loss Distributions
by J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet - 06-31 The Determinants of Mutual Fund Performance: A Cross-Country Study
by Miguel A. Ferreira & António F. Miguel & Sofia Ramos - 06-30 Tikhonov Regularization for Functional Minimum Distance Estimators
by P. Gagliardini & O. Scaillet - 06-29 Manipulation in Money Markets
by Christian Ewerhart & Nuno Cassola & Steen EJjerksov & Natacha Valla