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SSRN eLibrary Search Results
Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 582
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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
3 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
8 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
7 downloads

The Carry Trade on the Euro and the European Stock Market
Journal of Advanced Studies in Finance, Forthcoming
Fabio Parlapiano
Bank of Italy
Date Posted: November 17, 2014
Accepted Paper Series

Incl. Electronic Paper Claims Run-Off Uncertainty: The Full Picture
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: November 15, 2014
Working Paper Series
76 downloads

Incl. Electronic Paper Size Matters: Tail Risk, Momentum and Trend Following in International Equity Portfolios
Andrew Clare , James Seaton , Peter N. Smith and Steve Thomas
City University London - Sir John Cass Business School , City University London - Sir John Cass Business School , University of York - Department of Economics and Related Studies and City University London - Sir John Cass Business School
Date Posted: November 07, 2014
Working Paper Series
32 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
38 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
5 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
8 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
Université Paris-Dauphine - CEREMADE , ETH Zurich - Department of Mathematics and ETH Zürich
Date Posted: October 21, 2014
Working Paper Series
18 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
37 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
49 downloads

Incl. Electronic Paper Strategic Technology Adoption and Hedging under Incomplete Markets
Markus Leippold and Jacob Stromberg
University of Zurich - Department of Banking and Finance and Swiss Finance Institute
Date Posted: October 18, 2014
Last Revised: November 06, 2014
Working Paper Series
23 downloads

Incl. Electronic Paper High-Resilience Limits of Block-Shaped Order Books
Jan Kallsen and Johannes Muhle-Karbe
Munich University of Technology and ETH Zürich
Date Posted: September 27, 2014
Working Paper Series
10 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
22 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
27 downloads

Incl. Electronic Paper Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks
Swiss Finance Institute Research Paper No. 14-55, Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
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: September 26, 2014
Working Paper Series
72 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
67 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
76 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
39 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
27 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
Working Paper Series
121 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
51 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
92 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
19 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
36 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
16 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
88 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
37 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
130 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
35 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: July 28, 2014
Working Paper Series
54 downloads

Incl. Electronic Paper Risk Adjusted Time Series Momentum
Martin Dudler , Bruno Gmuer and Semyon Malamud
Quantica Capital , Quantica Capital and Ecole Polytechnique Federale de Lausanne
Date Posted: June 23, 2014
Last Revised: September 26, 2014
Working Paper Series
792 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
67 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
71 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
138 downloads

Incl. Electronic Paper Bank Capital, Liquid Reserves, and Insolvency Risk
Julien N. Hugonnier and Erwan Morellec
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 11, 2014
Last Revised: July 17, 2014
Working Paper Series
56 downloads

The Impact of Micro Credit on Women Empowerment
Rathiranee,Y., (2012),“The Impact of Micro Credit on Women Empowerment” published in the International Journal of Research in Commerce, Economics & Management (IJRCM), Internationally Open access Indexed Journal of Research in Commerce & Management, EBSCO Publishing, U.S.A – Volume No. 2 (2012),,
Rathiranee Yogendrarajah
University of Jaffna
Date Posted: June 04, 2014
Accepted Paper Series

Incl. Electronic Paper How to Deform a Yield Curve: The Most Likely Deformation of a Yield Curve Consistent with Subjective Views
Ivan Saroka and Riccardo Rebonato
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute
Date Posted: May 30, 2014
Working Paper Series
50 downloads

Incl. Electronic Paper Model Uncertainty and Scenario Aggregation
Swiss Finance Institute Research Paper No. 14-38
Mathieu Cambou and Damir Filipovic
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 25, 2014
Last Revised: June 20, 2014
Working Paper Series
225 downloads

Incl. Electronic Paper Concavity of the Consumption Function with Recursive Preferences
Swiss Finance Institute Research Paper No. 14-37
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: May 24, 2014
Working Paper Series
33 downloads

Incl. Electronic Paper Evolving the Investment Framework for Private Wealth Investment Management
Pranay Gupta
Global Association of Alternative Investors
Date Posted: May 24, 2014
Working Paper Series
60 downloads

Incl. Electronic Paper Price Discovery through Options
Swiss Finance Institute Research Paper No. 14-36
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: May 23, 2014
Last Revised: June 02, 2014
Working Paper Series
94 downloads

Incl. Electronic Paper The Perennial Challenge to Counter Too-Big-To-Fail in Banking: Empirical Evidence from the New International Regulation Dealing with Global Systemically Important Banks
Swiss Finance Institute Research Paper No. 14-33
Sebastian C. Moenninghoff , Steven Ongena and Axel Wieandt
WHU - Otto Beisheim School of Management , University of Zurich and SFI and WHU - Otto Beisheim School of Management
Date Posted: May 22, 2014
Last Revised: October 13, 2014
Working Paper Series
162 downloads

Incl. Electronic Paper Market Frictions and Corporate Finance: An Overview Paper
Swiss Finance Institute Research Paper
Santiago Moreno-Bromberg and Jean-Charles Rochet
University of Zurich - Department of Banking and Finance and University of Zurich - Swiss Banking Institute (ISB)
Date Posted: May 17, 2014
Working Paper Series
73 downloads

Incl. Electronic Paper Multifamily Residential Asset and Space Markets and Linkages with the Economy
Journal of Property Research, 2014, Swiss Finance Institute Research Paper No. 14-32
Martin Hoesli and Alain Chaney
University of Geneva - Graduate School of Business (HEC-Geneva) and Universitiy of Geneva
Date Posted: May 17, 2014
Accepted Paper Series
24 downloads

Incl. Electronic Paper Optimal Exchange Rate Policy in a Growing Semi-Open Economy
HKIMR Working Paper No.09/2014, Swiss Finance Institute Research Paper No. 14-34
Philippe Bacchetta , Kenza Benhima and Yannick Kalantzis
University of Lausanne , University of Lausanne and Banque de France
Date Posted: May 13, 2014
Working Paper Series
15 downloads

Incl. Electronic Paper Life Cycle Responses to Health Insurance Status
Swiss Finance Institute Research Paper No. 14-31
Florian Pelgrin and Pascal St-Amour
EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: May 10, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Commonality in Liquidity and Real Estate Securities
Swiss Finance Institute Research Paper No. 14-30
Martin Hoesli , Anjeza Kadilli and Reka Kustrim
University of Geneva - Graduate School of Business (HEC-Geneva) , University of Geneva, School of Economics and Management and University of Geneva
Date Posted: May 10, 2014
Working Paper Series
51 downloads

Incl. Electronic Paper Option Writing Strategies in a Low Volatility Framework
Donald X. He , Jason C. Hsu and Neil Rue
Allianz Global Investors US LLC , Research Affiliates, LLC and Pension Consulting Alliance
Date Posted: May 08, 2014
Last Revised: May 13, 2014
Working Paper Series
377 downloads


 

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