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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 670
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Incl. Electronic Paper Is Industrial Production Still the Dominant Factor for the US Economy?
Swiss Finance Institute Research Paper
Elena Andreou , Patrick Gagliardini , Eric Ghysels and Mirco Rubin
University of Cyprus - Department of Economics , University of Lugano and Swiss Finance Institute , University of North Carolina Kenan-Flagler Business School and Università della Svizzera Italiana and Swiss Finance Institute
Date Posted: February 13, 2016
Working Paper Series
2 downloads

Incl. Electronic Paper Debt Maturity and Lumpy Debt
Thomas Geelen
Ecole Polytechnique Fédérale de Lausanne
Date Posted: February 12, 2016
Working Paper Series
10 downloads

Incl. Electronic Paper Birds of a Feather – Do Hedge Fund Managers Flock Together?
Marc Gerritzen , Jens Carsten Jackwerth and Alberto Plazzi
University of Konstanz - Department of Economics and University of Lugano - Institute of Finance
Date Posted: February 10, 2016
Working Paper Series
7 downloads

Incl. Electronic Paper Leverage and Risk Taking
Swiss Finance Institute Research Paper No. 15-49
Santiago Moreno-Bromberg and Guillaume Roger
University of Zurich - Department of Banking and Finance and University of Sydney - School of Economics
Date Posted: February 05, 2016
Last Revised: February 09, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index
Swiss Finance Institute Research Paper No. 16-05
Qunzhi Zhang , Didier Sornette , Mehmet Balcilar , Rangan Gupta , Zeynel Abidin Ozdemir and I. Hakan Yetkiner
ETH Zurich , Swiss Finance Institute , Eastern Mediterranean University , University of Pretoria - Department of Economics , Gazi University and Izmir University of Economics
Date Posted: February 05, 2016
Working Paper Series
45 downloads

Incl. Electronic Paper On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints
Swiss Finance Institute Research Paper No. 16-06
O. Scaillet
University of Geneva GSEM and GFRI
Date Posted: February 05, 2016
Working Paper Series
3 downloads

Incl. Electronic Paper A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
Swiss Finance Institute Research Paper No. 16-04
Maximilian Adelmann , Lucio Fernandez Arjona , Janos Mayer and Karl Schmedders
University of Zurich , Zurich Insurance Group , University of Zurich - Institute of Business Administration and Swiss Finance Institute
Date Posted: February 04, 2016
Working Paper Series
14 downloads

Incl. Electronic Paper Liquidity Risk Contagion in the Interbank Market
Andrea Eross , Andrew Urquhart and Simon Wolfe
Southampton Business School and University of Southampton - Southampton Business School
Date Posted: February 03, 2016
Working Paper Series
22 downloads

Incl. Electronic Paper Employment Protection and Investment Opportunities
Swiss Finance Institute Research Paper No. 16-07
Claudio F. Loderer , Urs Waelchli and Jonas Zeller
University of Berne - Institute for Financial Management , Rochester-Bern Executive Programs and University of Berne – Institute for Financial Management
Date Posted: February 03, 2016
Last Revised: February 12, 2016
Working Paper Series
25 downloads

Incl. Electronic Paper Fourier Analysis for Mathematical Finance
Silika Prohl
Princeton University
Date Posted: February 02, 2016
Working Paper Series
115 downloads

Incl. Electronic Paper Shadow Banks and Systemic Risks
Rui Gong and Frank H. Page Jr.
Indiana University and Indiana University, Bloomington - Department of Economics
Date Posted: January 31, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles
Swiss Finance Institute Research Paper No. 16-03
Maximilian Seyrich and Didier Sornette
Technische Universität Berlin (TU Berlin) and Swiss Finance Institute
Date Posted: January 27, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Levy-Driven Libor Model and its Numerical Approximation
Silika Prohl
Princeton University
Date Posted: January 27, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Real Options and Contingent Convertibles with Regime Switching
Pengfei Luo and Zhaojun Yang
Hunan University - School of Finance and Statistics and Hunan University - School of Business Administration
Date Posted: January 25, 2016
Working Paper Series
13 downloads

Incl. Electronic Paper Does the Pricing Kernel Anomaly Reflect Forward Looking Beliefs?
Swiss Finance Institute Research Paper No. 15-66
Carlo Sala
Swiss Finance Institute at the University of Lugano
Date Posted: January 23, 2016
Last Revised: February 09, 2016
Working Paper Series
18 downloads

Incl. Electronic Paper Economically Consistent Valuations and Put-Call Parity
Swiss Finance Institute Research Paper No. 16-02
Martin Herdegen and Martin Schweizer
ETH Zurich and ETH Zürich - Department of Mathematics
Date Posted: January 22, 2016
Working Paper Series
31 downloads

Incl. Electronic Paper Measuring House Price Bubbles
Swiss Finance Institute Research Paper No. 16-01
Steven C. Bourassa , Martin Hoesli and Elias Oikarinen
Florida Atlantic University , University of Geneva - Graduate School of Business (HEC-Geneva) and University of Turku, Department of Economics
Date Posted: January 16, 2016
Working Paper Series
75 downloads

Incl. Electronic Paper Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models
Swiss Finance Institute Research Paper, Forthcoming
Patrick Gagliardini , Eric Ghysels and Mirco Rubin
University of Lugano and Swiss Finance Institute , University of North Carolina Kenan-Flagler Business School and Università della Svizzera Italiana and Swiss Finance Institute
Date Posted: January 12, 2016
Working Paper Series
21 downloads

Incl. Electronic Paper Countercyclical Foreign Currency Borrowing: Eurozone Firms in 2007-2009
Swiss Finance Institute Research Paper No. 15-63
Philippe Bacchetta and Ouarda Merrouche
University of Lausanne and University of Lausanne
Date Posted: January 07, 2016
Working Paper Series
9 downloads

Incl. Electronic Paper Asset Management
Paolo Vanini
Zurcher Kantonalbank - Corporate Risk Control
Date Posted: January 02, 2016
Last Revised: February 12, 2016
Working Paper Series
209 downloads

Incl. Electronic Paper How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?
Swiss Finance Institute Research Paper No. 15-65
Matthias Efing , Rüdiger Fahlenbrach , Christoph Herpfer and Philipp Krueger
Swiss Finance Institute , Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute and University of Geneva
Date Posted: January 01, 2016
Last Revised: January 08, 2016
Working Paper Series
201 downloads

Incl. Electronic Paper Are Financial-Conglomerate-Affiliated Hedge Funds Special?
Swiss Finance Institute Research Paper No. 15-68, Swedish House of Finance Research Paper No. 16-04
Francesco A. Franzoni and Mariassunta Giannetti
University of Lugano and Stockholm School of Economics
Date Posted: January 01, 2016
Last Revised: January 20, 2016
Working Paper Series
38 downloads

Incl. Electronic Paper Secular Bipolar Growth Rate of the Real US GDP Per Capita: Implications for Understanding Past and Future Economic Growth
Swiss Finance Institute Research Paper No. 15-62
Sandro Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: December 16, 2015
Working Paper Series
28 downloads

Incl. Electronic Paper Birth or Burst of Financial Bubbles: Which One is Easier to Diagnose?
Swiss Finance Institute Research Paper No. 15-57
Guilherme Demos , Qunzhi Zhang and Didier Sornette
ETH Zurich , ETH Zurich and Swiss Finance Institute
Date Posted: December 06, 2015
Working Paper Series
62 downloads

Incl. Electronic Paper Statistical Testing of DeMark Technical Indicators on Commodity Futures
Swiss Finance Institute Research Paper No. 15-56
Marco Lissandrin , Donnacha Daly and Didier Sornette
ETH Zurich , ETH Zurich and Swiss Finance Institute
Date Posted: December 06, 2015
Working Paper Series
398 downloads

Incl. Electronic Paper Liquidity Management in Banking: What is the Role of Leverage?
Swiss Finance Institute Research Paper No. 15-51
Quynh Anh Vo
University of Zurich - Department of Banking and Finance
Date Posted: November 28, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper VaR and CVaR Implied in Option Prices
Swiss Finance Institute Research Paper No. 15-45
Giovanni Barone-Adesi
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: November 27, 2015
Last Revised: January 25, 2016
Working Paper Series
150 downloads

Incl. Electronic Paper Divergence and the Price of Uncertainty
Swiss Finance Institute Research Paper No. 15-60
Paul Schneider and Fabio Trojani
Swiss Finance Institute and University of Geneva
Date Posted: November 25, 2015
Working Paper Series
72 downloads

Incl. Electronic Paper Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging
Swiss Finance Institute Research Paper No. 15-52
Sebastian Herrmann and Johannes Muhle-Karbe
ETH Zurich and ETH Zürich
Date Posted: November 24, 2015
Last Revised: January 04, 2016
Working Paper Series
63 downloads

Incl. Electronic Paper Real-Time Prediction and Post-Mortem Analysis of the Shanghai 2015 Stock Market Bubble and Crash
Swiss Finance Institute Research Paper No. 15-31
Didier Sornette , Guilherme Demos , Qun Zhang , Peter Cauwels , Vladimir Filimonov and Qunzhi Zhang
Swiss Finance Institute , ETH Zurich , South China University of Technology , ETH Zürich , Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zurich
Date Posted: November 22, 2015
Working Paper Series
166 downloads

Incl. Electronic Paper Has the Pricing of Stocks Become More Global?
Swiss Finance Institute Research Paper No. 15-48
Ivan Petzev , Andreas Schrimpf and Alexander F. Wagner
University of Zurich - Department of Banking and Finance , Bank for International Settlements (BIS) - Monetary and Economic Department and University of Zurich - Department of Banking and Finance
Date Posted: November 19, 2015
Working Paper Series
100 downloads

Incl. Electronic Paper Average Skewness Matters!
Swiss Finance Institute Research Paper No. 15-47
Eric Jondeau and Qunzi Zhang
University of Lausanne and Shandong University
Date Posted: November 12, 2015
Working Paper Series
410 downloads

Incl. Electronic Paper The Impact of Treasury Supply on Financial Sector Lending and Stability
Swiss Finance Institute Research Paper No. 15-46
Arvind Krishnamurthy and Annette Vissing-Jorgensen
Northwestern University - Kellogg School of Management and
Date Posted: November 11, 2015
Working Paper Series
45 downloads

Incl. Electronic Paper Herding and Stochastic Volatility
Swiss Finance Institute Research Paper No. 15-59
Walter Farkas , Ciprian Necula and Boris Waelchli
University of Zurich, Department of Banking and Finance , University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: November 05, 2015
Working Paper Series
41 downloads

Incl. Electronic Paper 'Speculative Influence Network' During Financial Bubbles: Application to Chinese Stock Markets
Swiss Finance Institute Research Paper No. 15-45
Li Lin and Didier Sornette
East China University of Science and Technology (ECUST) and Swiss Finance Institute
Date Posted: November 05, 2015
Working Paper Series
31 downloads

Incl. Electronic Paper A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing
Swiss Finance Institute Research Paper No. 15-54
Walter Farkas , Elise Gourier , Robert Huitema and Ciprian Necula
University of Zurich, Department of Banking and Finance , Queen Mary, University of London , University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: October 25, 2015
Last Revised: December 01, 2015
Working Paper Series
94 downloads

Incl. Electronic Paper An Anatomy of the Equity Premium
Swiss Finance Institute Research Paper No. 15-61
Paul Schneider
Swiss Finance Institute
Date Posted: October 22, 2015
Last Revised: January 23, 2016
Working Paper Series
100 downloads

Incl. Electronic Paper Informed Trading and Option Prices: Evidence from Activist Trading
Swiss Finance Institute Research Paper No. 15-55
Pierre Collin-Dufresne , Vyacheslav Fos and Dmitriy Muravyev
Ecole Polytechnique Fédérale de Lausanne - Swiss Finance Institute , Boston College - Department of Finance and Boston College
Date Posted: October 19, 2015
Last Revised: December 01, 2015
Working Paper Series
95 downloads

Incl. Electronic Paper Optimal Rebalancing Frequencies for Multidimensional Portfolios
Swiss Finance Institute Research Paper No. 15-44
Ibrahim Ekren , Ren Liu and Johannes Muhle-Karbe
ETH Zurich , ETH Zürich and ETH Zürich
Date Posted: October 18, 2015
Working Paper Series
96 downloads

Incl. Electronic Paper Conditioning the Information in Portfolio Optimization
Swiss Finance Institute Research Paper No. 15-50
Carlo Sala and Giovanni Barone-Adesi
Swiss Finance Institute at the University of Lugano and University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: October 16, 2015
Working Paper Series
36 downloads

Incl. Electronic Paper Early Warning Signals of Financial Crises with Multi-Scale Quantile Regressions of Log-Periodic Power Law Singularities
Swiss Finance Institute Research Paper No. 15-43
Qun Zhang , Qunzhi Zhang and Didier Sornette
South China University of Technology , ETH Zurich and Swiss Finance Institute
Date Posted: October 14, 2015
Working Paper Series
130 downloads

Incl. Electronic Paper What Affects Children's Outcomes: House Characteristics or Homeownership?
Swiss Finance Institute Research Paper No. 15-42
Steven C. Bourassa , Donald R. Haurin and Martin Hoesli
Florida Atlantic University , Ohio State University (OSU) - Economics and University of Geneva - Graduate School of Business (HEC-Geneva)
Date Posted: October 04, 2015
Working Paper Series
36 downloads

Incl. Electronic Paper Sentiment Lost: The Effect of Projecting the Empirical Pricing Kernel Onto a Smaller Filtration Set
Swiss Finance Institute Research Paper No. 15-58
Carlo Sala and Giovanni Barone-Adesi
Swiss Finance Institute at the University of Lugano and University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: October 02, 2015
Last Revised: January 22, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Liquidity, Innovation, and Endogenous Growth
Swiss Finance Institute Research Paper No. 15-41
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and Federal Reserve Board
Date Posted: September 26, 2015
Last Revised: January 15, 2016
Working Paper Series
93 downloads

Incl. Electronic Paper Technological Progress and Ownership Structure
Swiss Finance Institute Research Paper No. 15-39
Heng Geng , Harald Hau and Sandy Lai
University of Hong Kong , University of Hong Kong
Date Posted: September 20, 2015
Working Paper Series
44 downloads

Incl. Electronic Paper A Result on Integral Functionals with Infinitely Many Constraints
Swiss Finance Institute Research Paper No. 15-38
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and ETH Zürich - Department of Mathematics
Date Posted: September 20, 2015
Working Paper Series
29 downloads

Incl. Electronic Paper A Dynamic Equilibrium Model of ETFs
Swiss Finance Institute Research Paper No. 15-37
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Date Posted: September 19, 2015
Working Paper Series
100 downloads

Incl. Electronic Paper The Price of the Smile and Variance Risk Premia
Swiss Finance Institute Research Paper No. 15-36
Peter H. Gruber , Claudio Tebaldi and Fabio Trojani
University of Lugano - Institute of Finance , Bocconi University, IGIER and CAREFIN and University of Geneva
Date Posted: September 18, 2015
Last Revised: September 25, 2015
Working Paper Series
83 downloads

Incl. Electronic Paper Information and Inventories in High-Frequency Trading
Swiss Finance Institute Research Paper No. 15-35
Johannes Muhle-Karbe and Kevin Webster
ETH Zürich and Princeton University
Date Posted: September 02, 2015
Working Paper Series
183 downloads

Incl. Electronic Paper Stochastic Claims Reserving Manual: Advances in Dynamic Modeling
Swiss Finance Institute Research Paper No. 15-34
Mario V. Wuthrich and Michael Merz
RiskLab, ETH Zurich and University of Hamburg
Date Posted: August 23, 2015
Working Paper Series
400 downloads


 

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