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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 589
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Incl. Electronic Paper State-Dependent Risk Preferences: Evidence from Individual Choices and Applications in Investment Behavior
Swiss Finance Institute Research Paper No. 15-11
Angie Andrikogiannopoulou and Filippos Papakonstantinou
University of Geneva and Imperial College London
Date Posted: March 28, 2015
Working Paper Series
1 downloads

Incl. Electronic Paper Central Bank Collateral Frameworks
Swiss Finance Institute Research Paper No. 15-10
Kjell G. Nyborg
University of Zurich - Department of Banking and Finance
Date Posted: March 26, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Noisy Arrow-Debreu Equilibria
Swiss Finance Institute Research Paper No. 15-09
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: March 07, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model
Swiss Finance Institute Research Paper No. 15-08
Markus Leippold and Nikola Vasiljevic
University of Zurich - Department of Banking and Finance and University of Zurich
Date Posted: March 03, 2015
Last Revised: March 04, 2015
Working Paper Series
42 downloads

Incl. Electronic Paper Innovation, Delegation, and Asset Price Swings
Swiss Finance Institute Research Paper No. 15-03
Yuki Sato
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: February 25, 2015
Working Paper Series
26 downloads

Incl. Electronic Paper Delegated Portfolio Management, Optimal Fee Contracts, and Asset Prices
Swiss Finance Institute Research Paper No. 15-06
Yuki Sato
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: February 24, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper Economics-Based Financial Bubbles (and Why They Imply Strict Local Martingales)
Swiss Finance Institute Research Paper No. 15-05
Martin Herdegen and Martin Schweizer
ETH Zurich and Swiss Federal Institute of Technology Zurich - Department of Mathematics
Date Posted: February 21, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper A Proposed Model for Prediction of Industrial Sickness
Nisarg A. Joshi
Shri Chimanbhai Patel Institute of Management & Research
Date Posted: February 19, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Super-Exponential Endogenous Bubbles in an Equilibrium Model of Fundamentalist and Chartist Traders
Swiss Finance Institute Research Paper No. 15-07
Taisei Kaizoji , Matthias Leiss , Alexander I. Saichev and Didier Sornette
International Christian University , ETH Zurich , ETH Zurich - D-MTEC (Deceased) and Swiss Finance Institute
Date Posted: February 08, 2015
Last Revised: March 10, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Short Term Debt and Bank Liability Structure
Swiss Finance Institute Research Paper No. 15-04
Nataliya Klimenko and Santiago Moreno-Bromberg
University of Zurich and University of Zurich - Department of Banking and Finance
Date Posted: February 05, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper Tips and Tells from Managers: How Analysts and the Market Read between the Lines of Conference Calls
Swiss Finance Institute Research Paper No. 15-02
Marina Druz , Alexander F. Wagner and Richard J. Zeckhauser
Swiss Finance Institute , University of Zurich - Department of Banking and Finance and Harvard University - Harvard Kennedy School (HKS)
Date Posted: February 03, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper An Arithmetic Analysis of Bangladeshi Sending Migrants Stock and Remittance Per Capita in Malaysia
Kazi Abdul Mannan and Khandaker Mursheda Farhana
Southern Cross University, Australia and Migration Research, Development and Society of Bangladesh
Date Posted: February 02, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper The Choice of Honesty: An Experiment Regarding Heterogeneous Responses to Situational Social Norms
Swiss Finance Institute Research Paper No. 15-01
Rajna Gibson , Carmen Tanner and Alexander F. Wagner
University of Geneva - Graduate School of Business (HEC-Geneva) , University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: January 30, 2015
Working Paper Series
13 downloads

Incl. Electronic Paper Liquidation with Self-Exciting Price Impact
Swiss Finance Institute Research Paper No. 14-74
Thomas Cayé and Johannes Muhle-Karbe
ETH Zurich and ETH Zürich
Date Posted: December 20, 2014
Working Paper Series
56 downloads

Incl. Electronic Paper Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
Swiss Finance Institute Research Paper No. 14-68
Walt Pohl , Karl Schmedders and Ole Wilms
University of Zurich , Swiss Finance Institute and University of Zurich
Date Posted: December 20, 2014
Working Paper Series
35 downloads

Incl. Electronic Paper Heterogeneity in Decentralized Asset Markets
Swiss Finance Institute Research Paper No. 14-67
Julien Hugonnier , Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne , Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Date Posted: December 05, 2014
Last Revised: December 06, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Fed Funds Futures Variance Futures
Swiss Finance Institute Research Paper No. 14-66
Damir Filipovic and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 28, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper Symmetric Thermal Optimal Path and Time-Dependent Lead-Lag Relationship: Novel Statistical Tests and Application to UK and US Real-Estate and Monetary Policies
Swiss Finance Institute Research Paper No. 14-57
Hao Meng , Wei-Xing Zhou and Didier Sornette
East China University of Science and Technology (ECUST) , East China University of Science and Technology - School of Business and Swiss Finance Institute
Date Posted: November 25, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Arbitraging the Basel Securitization Framework: Evidence from German ABS Investment
Swiss Finance Institute Research Paper No. 14-65
Matthias Efing
Swiss Finance Institute
Date Posted: November 25, 2014
Working Paper Series
45 downloads

Incl. Electronic Paper Claims Run-Off Uncertainty: The Full Picture
Swiss Finance Institute Research Paper No. 14-69
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: November 15, 2014
Last Revised: March 04, 2015
Working Paper Series
230 downloads

Incl. Electronic Paper To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Swiss Finance Institute Research Paper No. 14-63
Hamed Amini , Damir Filipovic and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne and Cornell University
Date Posted: November 01, 2014
Working Paper Series
85 downloads

Incl. Electronic Paper Martingale Optimal Transport in the Skorokhod Space
Swiss Finance Institute Research Paper No. 14-62
Yan Dolinsky and Halil Mete Soner
ETH Zürich and ETH Zürich
Date Posted: October 22, 2014
Working Paper Series
20 downloads

Incl. Electronic Paper Facelifting in Utility Maximization
Swiss Finance Institute Research Paper No. 14-61
Kasper Larsen , Halil Mete Soner and Gordan Zitkovic
Carnegie Mellon University - Department of Mathematical Sciences , ETH Zürich and University of Texas at Austin
Date Posted: October 21, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Hedging Under an Expected Loss Constraint with Small Transaction Costs
Swiss Finance Institute Research Paper No. 14-60
Bruno Bouchard , Ludovic Moreau and Halil Mete Soner
Paris Dauphine University - CEREMADE , ETH Zurich - Department of Mathematics and ETH Zürich
Date Posted: October 21, 2014
Working Paper Series
27 downloads

Incl. Electronic Paper Optimal Long-Term Allocation with Pension Fund Liabilities
Swiss Finance Institute Research Paper No. 14-58
Eric Jondeau and Michael Rockinger
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: October 19, 2014
Last Revised: October 20, 2014
Working Paper Series
74 downloads

Incl. Electronic Paper Asymmetric Beta Comovement and Systematic Downside Risk
Swiss Finance Institute Research Paper No. 14-59
Eric Jondeau and Qunzi Zhang
University of Lausanne and Shandong University
Date Posted: October 19, 2014
Working Paper Series
104 downloads

Incl. Electronic Paper Strategic Technology Adoption and Hedging under Incomplete Markets
Swiss Finance Institute Research Paper No. 14-73
Markus Leippold and Jacob Stromberg
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Date Posted: October 18, 2014
Last Revised: January 06, 2015
Working Paper Series
51 downloads

Incl. Electronic Paper High-Resilience Limits of Block-Shaped Order Books
Swiss Finance Institute Research Paper No. 14-72
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and ETH Zürich
Date Posted: September 27, 2014
Working Paper Series
17 downloads

Incl. Electronic Paper Determinants of the Homeownership Rate: A Survey of Recent Contributions
Swiss Finance Institute Research Paper No. 11-49
Steven C. Bourassa , Donald R. Haurin , Patric H. Hendershott and Martin Hoesli
Florida Atlantic University , Ohio State University (OSU) - Department of Economics , University of Aberdeen - Aberdeen Business School and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: September 22, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Merger Activity in Industry Equilibrium
Swiss Finance Institute Research Paper No. 14-56
Theodosios Dimopoulos and Stefano Sacchetto
HEC- University of Lausanne and Carnegie Mellon University - David A. Tepper School of Business
Date Posted: September 06, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks
Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper, Swiss Finance Institute Research Paper No. 14-55
Matthias Efing , Harald Hau , Patrick Kampkötter and Johannes Steinbrecher
Swiss Finance Institute , University of Geneva - Geneva Finance Research Institute , University of Cologne - Department of Business Administration and Human Resource Management and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Date Posted: September 06, 2014
Last Revised: December 10, 2014
Working Paper Series
88 downloads

Incl. Electronic Paper Modified Munich Chain-Ladder Method
Swiss Finance Institute Research Paper No. 14-65
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 30, 2014
Working Paper Series
108 downloads

Incl. Electronic Paper Best-Estimate Claims Reserves in Incomplete Markets
Swiss Finance Institute Research Paper No. 14-64
Sebastian Happ , Michael Merz and Mario V. Wuthrich
University of Hamburg , University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 17, 2014
Last Revised: November 12, 2014
Working Paper Series
109 downloads

Incl. Electronic Paper Polynomial Preserving Diffusions and Applications in Finance
Swiss Finance Institute Research Paper No. 14-54
Damir Filipovic and Martin Larsson
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: August 15, 2014
Working Paper Series
63 downloads

Incl. Electronic Paper Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm
Swiss Finance Institute Research Paper No. 14-53
Spencer Wheatley , Vladimir Filimonov and Didier Sornette
ETH Zurich , Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Date Posted: August 08, 2014
Last Revised: November 08, 2014
Working Paper Series
67 downloads

Incl. Electronic Paper Super-Exponential Growth Expectations and the Global Financial Crisis
Swiss Finance Institute Research Paper No. 14-52
Matthias Leiss , Heinrich H. Nax and Didier Sornette
ETH Zurich , ETH Zurich and Swiss Finance Institute
Date Posted: August 08, 2014
Last Revised: January 28, 2015
Working Paper Series
213 downloads

Incl. Electronic Paper Luck and Entrepreneurial Success
Swiss Finance Institute Research Paper No. 14-51
Diego Liechti , Claudio F. Loderer and Urs Peyer
University of Berne - Institute for Financial Management , University of Berne - Institute for Financial Management and INSEAD - Finance
Date Posted: August 08, 2014
Working Paper Series
85 downloads

Incl. Electronic Paper Are Institutions Informed About News?
Swiss Finance Institute Research Paper No. 14-49
Terrence Hendershott , Dmitry Livdan and Norman Schürhoff
University of California, Berkeley - Haas School of Business , University of California, Berkeley and University of Lausanne
Date Posted: July 27, 2014
Working Paper Series
123 downloads

Incl. Electronic Paper Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
Swiss Finance Institute Research Paper No. 14-45
Juan Valentin Escobar and Didier Sornette
Physics Dept. Universidad Autonoma Metropolitana-Iztapalapa and Swiss Finance Institute
Date Posted: July 26, 2014
Working Paper Series
24 downloads

Incl. Electronic Paper Forecasting Future Oil Production in Norway and the UK: A General Improved Methodology
Swiss Finance Institute Research Paper No. 14-46
Lucas Fiévet , Zalàn Forrò , Peter Cauwels and Didier Sornette
ETH Zurich , Independent , ETH Zürich and Swiss Finance Institute
Date Posted: July 26, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Economic Fundamentals of Gasoline Crack Spreads in the U.S.
Ilya Kolpakov
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute
Date Posted: July 25, 2014
Working Paper Series
29 downloads

Incl. Electronic Paper Power Law Scaling and 'Dragon-Kings' in Distributions of Intraday Financial Drawdown
Swiss Finance Institute Research Paper No. 14-48
Vladimir Filimonov and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich) and Swiss Finance Institute
Date Posted: July 20, 2014
Working Paper Series
109 downloads

Incl. Electronic Paper Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects
Swiss Finance Institute Research Paper No. 14-47
Ines Chaieb , Vihang R. Errunza and Rajna Gibson
University of Geneva and Swiss Finance Institute , McGill University - Desautels Faculty of Management and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: July 16, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Identification and Critical Time Forecasting of Real Estate Bubbles in the U.S.A and Switzerland
Swiss Finance Institute Research Paper No. 14-44
Diego Ardila , Dorsa Sanadgol , Peter Cauwels and Didier Sornette
ETH Zurich , ETH Zurich , ETH Zürich and Swiss Finance Institute
Date Posted: July 12, 2014
Working Paper Series
182 downloads

Incl. Electronic Paper Estimating Aggregate Autoregressive Processes When Only Macro Data are Available
Economics Letters, Vol. 124, No. 3, 2014, Swiss Finance Institute Research Paper No. 14-43
Eric Jondeau and Florian Pelgrin
University of Lausanne and EDHEC Business School
Date Posted: July 12, 2014
Last Revised: August 13, 2014
Accepted Paper Series
37 downloads

Incl. Electronic Paper A Direct and Full-Information Estimation of the Distribution of Skill in the Mutual Fund Industry
Swiss Finance Institute Research Paper No. 14-42
Angie Andrikogiannopoulou and Filippos Papakonstantinou
University of Geneva and Imperial College London
Date Posted: June 25, 2014
Last Revised: December 08, 2014
Working Paper Series
62 downloads

Incl. Electronic Paper Risk Adjusted Time Series Momentum
Swiss Finance Institute Research Paper No. 14-71
Martin Dudler , Bruno Gmuer and Semyon Malamud
Quantica Capital , Quantica Capital and Ecole Polytechnique Federale de Lausanne
Date Posted: June 23, 2014
Last Revised: January 06, 2015
Working Paper Series
993 downloads

Incl. Electronic Paper Corporate Saving in Global Rebalancing
Swiss Finance Institute Research Paper No. 14-35
Philippe Bacchetta and Kenza Benhima
University of Lausanne and University of Lausanne
Date Posted: June 18, 2014
Working Paper Series
76 downloads

Incl. Electronic Paper Asset Prices with Temporary Shocks to Consumption
Swiss Finance Institute Research Paper No. 14-41
Walt Pohl , Karl Schmedders and Ole Wilms
University of Zurich , Swiss Finance Institute and University of Zurich
Date Posted: June 15, 2014
Last Revised: August 26, 2014
Working Paper Series
84 downloads

Incl. Electronic Paper A Fast, Accurate Method for Value at Risk and Expected Shortfall
Swiss Finance Institute Research Paper No. 14-40
Jochen Krause and Marc S. Paolella
Department of Banking and Finance, University of Zurich and University of Zurich
Date Posted: June 12, 2014
Working Paper Series
151 downloads


 

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