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Swiss Finance Institute Research Paper Series
199,916 Total downloads | Link to this page | Subscribe to this eJournal (requires login)

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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
1 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
14 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
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 09, 2014
Working Paper Series
47 downloads

Incl. Electronic Paper Modified Munich Chain-Ladder Method
Michael Merz and Mario V. Wuthrich
University of Hamburg and RiskLab, ETH Zurich
Date Posted: August 30, 2014
Working Paper Series
25 downloads

Incl. Electronic Paper Best-Estimate Claims Reserves in Incomplete Markets
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: August 29, 2014
Working Paper Series
41 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
24 downloads

Incl. Electronic Paper Estimation of the Hawkes Process with Renewal Immigration Using the EM Algorithm
Swiss Finance Institute Research Paper No. 14-52
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
Working Paper Series
14 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
54 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
23 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
54 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
10 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
19 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
11 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
59 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
18 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
75 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
20 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
30 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
Working Paper Series
693 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
57 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
44 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
115 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
41 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
38 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
176 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
32 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
48 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
81 downloads

Incl. Electronic Paper The Perennial Challenge to Abolish 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
Working Paper Series
117 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
53 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
21 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
13 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
43 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
44 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
343 downloads

Incl. Electronic Paper Paths and Indices of Maximal Tail Dependence
Edward Furman , Jianxi Su and Ricardas Zitikis
York University - Department of Mathematics and Statistics , York University - Department of Mathematics & Statistics and University of Western Ontario - Department of Statistical and Actuarial Sciences
Date Posted: May 06, 2014
Working Paper Series
91 downloads

Incl. Electronic Paper The Role of Micro Credit on Women Empowerment Through Poverty Alleviation, Self Employment and Health Nutrition Under Post War Development
Gumbad Business Review, Vol. VI, Issue 2 January-June 2011
Rathiranee Yogendrarajah
University of Jaffna
Date Posted: May 02, 2014
Accepted Paper Series
46 downloads

Incl. Electronic Paper Generalized Risk Premia
Swiss Finance Institute Research Paper No. 14-29
Paul Schneider
University of Lugano - Institute of Finance
Date Posted: April 27, 2014
Working Paper Series
62 downloads

Incl. Electronic Paper Is There Really Excess Comovement? Causal Evidence from FTSE 100 Index Turnover
Christian von Drathen
London School of Economics & Political Science (LSE) - Department of Finance
Date Posted: April 26, 2014
Working Paper Series
38 downloads

Incl. Electronic Paper Heterogeneous Beliefs About Rare Event Risk in the Lucas Orchard
Ilaria Piatti
University of Oxford - Said Business School
Date Posted: April 23, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper Household Inequality, Corporate Capital Structure and Entrepreneurial Dynamism
Swiss Finance Institute Research Paper No. 14-27
Fabio Braggion , Mintra Dwarkasing and Steven Ongena
Tilburg University - Center and Faculty of Economics and Business Administration , Tilburg University and University of Zurich and SFI
Date Posted: April 23, 2014
Working Paper Series
85 downloads

Incl. Electronic Paper Modern Pension Fund Diversification
Marty Anderson , Shan Chen , James Hacking , Mark Lundin , Vaida Maleckaite , Ryan Parham , Mark Steed , Marc Lieberman and Allan Martin
Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Government of Arizona - Arizona Public Service Personnel Retirement System (PSPRS) Trust , Kutak Rock, LLP and Independent
Date Posted: April 19, 2014
Last Revised: July 02, 2014
Working Paper Series
144 downloads

Incl. Electronic Paper The Opacity Risk Premium in Private CDS-Bond Bases
Jovan Stojkovic
University of Lugano - Swiss Finance Institute at the University of Lugano
Date Posted: April 15, 2014
Working Paper Series
30 downloads

Incl. Electronic Paper An Integrated Risk Capital Aggregation Framework Using Nonlinear Classification by Random Forests and Its Proximity Measures
Boris Waelchli
University of Zurich - Department of Banking and Finance
Date Posted: April 14, 2014
Working Paper Series
30 downloads

Role of Derivatives in Corporate Risk Management
Shahid Mahmood
eFT
Date Posted: April 14, 2014
Working Paper Series

Incl. Electronic Paper Financial Bubbles: Mechanisms and Diagnostics
Swiss Finance Institute Research Paper No. 14-28
Didier Sornette and Peter Cauwels
Swiss Finance Institute and ETH Zürich
Date Posted: April 12, 2014
Working Paper Series
176 downloads

Incl. Electronic Paper Bank Loan Announcements and Borrower Stock Returns Before and During the Recent Financial Crisis
Swiss Finance Institute Research Paper No. 14-26
Chunshuo Li and Steven Ongena
Tilburg University - Department of Economics and Management and University of Zurich and SFI
Date Posted: April 10, 2014
Working Paper Series
58 downloads

Incl. Electronic Paper Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models
Swiss Finance Institute Research Paper No. 14-25
Didier Sornette
Swiss Finance Institute
Date Posted: April 07, 2014
Working Paper Series
305 downloads

Incl. Electronic Paper Volume, Volatility and Momentum in Financial Markets
International Research Journal of Applied Finance, Vol 5, Issue 3, pp. 211-223, March 2014
Marcus Davidsson
Independent
Date Posted: April 04, 2014
Accepted Paper Series
109 downloads


 

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