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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 709
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Incl. Electronic Paper Old-Age Provision: Past, Present, Future
European Actuarial Journal, Forthcoming, Swiss Finance Institute Research Paper No. 16-55
Hansjoerg Albrecher, Paul Embrechts, Damir Filipović, Glenn W. Harrison, Pablo Koch-Medina, Stéphane Loisel, Paolo Vanini and Joël Wagner
University of Lausanne, Swiss Federal Institute of Technology Zurich, Ecole Polytechnique Fédérale de Lausanne, Georgia State University - J. Mack Robinson College of Business, University of Zurich - Department of Banking and Finance, University of Lyon 1 - Institute of Finance and Insurance Science (ISFA), University of Basel and University of Lausanne - Department of Actuarial Science (HEC Lausanne)
Date Posted: September 17, 2016
Last Revised: September 20, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper A Model of Price Impact and Market Maker Latency
Swiss Finance Institute Research Paper No. 16-56
Jakub Rojcek
University of Zurich, Department of Banking and Finance
Date Posted: September 15, 2016
Last Revised: September 22, 2016
Working Paper Series
50 downloads

Incl. Electronic Paper Does Corporate Governance Matter? Evidence from the AGR Governance Rating
Swiss Finance Institute Research Paper No. 16-54
Alberto Plazzi and Walter N. Torous
USI-Lugano and Massachusetts Institute of Technology
Date Posted: September 09, 2016
Last Revised: September 21, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?
Swiss Finance Institute Research Paper No. 16-52
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: August 04, 2016
Working Paper Series
24 downloads

Incl. Electronic Paper A Diagnostic Criterion for Approximate Factor Structure
Swiss Finance Institute Research Paper No. 16-51
Patrick Gagliardini, Elisa Ossola and O. Scaillet
University of Lugano and Swiss Finance Institute, University of Lugano and University of Geneva GSEM and GFRI
Date Posted: August 03, 2016
Working Paper Series
20 downloads

Incl. Electronic Paper Market Integration and Global Crashes
Swiss Finance Institute Research Paper No. 16-49
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Board of Governors of the Federal Reserve System
Date Posted: July 25, 2016
Working Paper Series
27 downloads

Incl. Electronic Paper Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy
Swiss Finance Institute Research Paper No. 16-47
Harald Hau, Yi Huang and Gewei Wang
University of Geneva - Geneva Finance Research Institute, Graduate Institute of International and Development Studies and Graduate Institute of International and Development Studies (IHEID)
Date Posted: July 22, 2016
Last Revised: July 25, 2016
Working Paper Series
55 downloads

Incl. Electronic Paper On the American Swaption in the Linear-Rational Framework
Swiss Finance Institute Research Paper No. 16-44
Damir Filipović and Yerkin Kitapbayev
Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Date Posted: July 08, 2016
Last Revised: July 12, 2016
Working Paper Series
36 downloads

Incl. Electronic Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
Swiss Finance Institute Research Paper No. 16-41
Lorenzo Camponovo, O. Scaillet and Fabio Trojani
University of St. Gallen, University of Geneva GSEM and GFRI and University of Geneva
Date Posted: July 06, 2016
Working Paper Series
69 downloads

Incl. Electronic Paper A False Sense of Security: Why U.S. Banks Diversify and Does it Help?
Swiss Finance Institute Research Paper No. 16-43
Priyank Gandhi, Patrick Christian Kiefer and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, UCLA Anderson School of Management and USI-Lugano
Date Posted: July 02, 2016
Last Revised: July 08, 2016
Working Paper Series
78 downloads

Incl. Electronic Paper Aggregate Bank Capital and Credit Dynamics
Swiss Finance Institute Research Paper No. 16-42
Nataliya Klimenko, Sebastian Pfeil, Jean-Charles Rochet and Gianni De Nicolo
University of Zurich, University of Bonn, University of Zurich - Swiss Banking Institute (ISB) and International Monetary Fund and CESifo
Date Posted: June 30, 2016
Working Paper Series
95 downloads

Incl. Electronic Paper Quantification of the Evolution of Firm Size Distributions Due to Mergers and Acquisitions
Swiss Finance Institute Research Paper No. 16-39
Sandro Claudio Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: June 22, 2016
Last Revised: July 14, 2016
Working Paper Series
65 downloads

Incl. Electronic Paper Real Estate Research in Europe
Swiss Finance Institute Research Paper No. 16-40
Martin Hoesli
University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 17, 2016
Working Paper Series
58 downloads

Incl. Electronic Paper Exact Smooth Term Structure Estimation
Swiss Finance Institute Research Paper No. 16-38
Damir Filipović and Sander Willems
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: June 14, 2016
Working Paper Series
69 downloads

Incl. Electronic Paper Risk Factors of European Non-Listed Real Estate Fund Returns
Swiss Finance Institute Research Paper No. 16-37
Jean-Christophe Delfim and Martin Hoesli
University of Geneva and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 14, 2016
Working Paper Series
68 downloads

Incl. Electronic Paper Managing Inventory with Proportional Transaction Costs
Swiss Finance Institute Research Paper No. 16-48
Florent Gallien, Serge Kassibrakis, Semyon Malamud and Filippo Passerini
Swissquote Bank, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Swissquote Bank
Date Posted: June 03, 2016
Last Revised: July 25, 2016
Working Paper Series
55 downloads

Incl. Electronic Paper High Frequency House Price Indexes with Scarce Data
Swiss Finance Institute Research Paper No. 16-45
Steven C. Bourassa and Martin Hoesli
Florida Atlantic University and University of Geneva - Geneva School of Economics and Management (GSEM)
Date Posted: June 03, 2016
Last Revised: August 04, 2016
Working Paper Series
40 downloads

Incl. Electronic Paper Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market
Swiss Finance Institute Research Paper No. 16-50
Umit Yilmaz
Swiss Finance Institute at the University of Lugano
Date Posted: May 28, 2016
Last Revised: August 03, 2016
Working Paper Series
54 downloads

Incl. Electronic Paper The Choice of Valuation Techniques in Practice: Education versus Profession
Swiss Finance Institute Research Paper No. 16-36
Lilia Mukhlynina and Kjell G. Nyborg
University of Zurich - Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: May 27, 2016
Working Paper Series
176 downloads

Incl. Electronic Paper The Jacobi Stochastic Volatility Model
Swiss Finance Institute Research Paper No. 16-35
Damien Ackerer, Damir Filipović and Sergio Pulido
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, UMR CNRS 8071
Date Posted: May 21, 2016
Last Revised: June 17, 2016
Working Paper Series
154 downloads

Incl. Electronic Paper The Impact of Merger Legislation on Bank Mergers
Swiss Finance Institute Research Paper No. 16-33
Elena Carletti, Steven Ongena, Jan-Peter Siedlarek and Giancarlo Spagnolo
Bocconi University - Department of Finance, University of Zurich - Department of Banking and Finance, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Stockholm School of Economics (SITE)
Date Posted: May 21, 2016
Last Revised: July 09, 2016
Working Paper Series
84 downloads

Incl. Electronic Paper Linear Credit Risk Models
Swiss Finance Institute Research Paper No. 16-34
Damien Ackerer and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: May 21, 2016
Last Revised: June 01, 2016
Working Paper Series
153 downloads

Incl. Electronic Paper New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'
Swiss Finance Institute Research Paper No. 16-32
Vanessa Kummer, Maik Meusel, Philipp Renner and Karl Schmedders
University of Zurich, University of Zurich, Stanford University - The Hoover Institution on War, Revolution and Peace and University of Zurich
Date Posted: May 14, 2016
Working Paper Series
23 downloads

Incl. Electronic Paper Risk and Resilience Management in Social-Economic Systems
Swiss Finance Institute Research Paper No. 16-30
Tatyana Kovalenko and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: May 13, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Calibration of Quantum Decision Theory, Aversion to Large Losses and Predictability of Probabilistic Choices
Swiss Finance Institute Research Paper No. 16-31
Sabine Vincent, Tatyana Kovalenko, Vyacheslav I. Yukalov and Didier Sornette
ETH Zurich, ETH Zurich, Joint Institute for Nuclear Research and Swiss Finance Institute
Date Posted: May 13, 2016
Working Paper Series
73 downloads

Incl. Electronic Paper Dating the Financial Cycle: A Wavelet Proposition
Swiss Finance Institute Research Paper No. 16-29
Diego Ardila and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: May 05, 2016
Last Revised: May 07, 2016
Working Paper Series
103 downloads

Incl. Electronic Paper Dynamic Principal-Agent Models
Swiss Finance Institute Research Paper No. 16-26
Philipp Renner and Karl Schmedders
Stanford University - The Hoover Institution on War, Revolution and Peace and University of Zurich
Date Posted: April 14, 2016
Working Paper Series
82 downloads

Incl. Electronic Paper Replicating Portfolio Approach to Capital Calculation
Swiss Finance Institute Research Paper No. 16-25
Mathieu Cambou and Damir Filipović
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: April 13, 2016
Last Revised: May 10, 2016
Working Paper Series
144 downloads

Incl. Electronic Paper On the Relation between Linearity-Generating Processes and Linear-Rational Models
Swiss Finance Institute Research Paper No. 16-23
Damir Filipović, Martin Larsson and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne, ETH Zurich - Department of Mathematics and Ecole Polytechnique Fédérale de Lausanne
Date Posted: March 24, 2016
Working Paper Series
90 downloads

Incl. Electronic Paper Empty Creditors and Strong Shareholders: The Real Effects of Credit Risk Trading
Swiss Finance Institute Research Paper No. 16-17
Stefano Colonnello, Matthias Efing and Francesca Zucchi
Otto-von-Guericke Universität Magdeburg, HEC Paris - Finance Department and Federal Reserve Board
Date Posted: March 19, 2016
Last Revised: June 03, 2016
Working Paper Series
112 downloads

Incl. Electronic Paper Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks
Swiss Finance Institute Research Paper No. 16-28
Urs Birchler, René Hegglin, Michael R. Reichenecker and Alexander F. Wagner
University of Zurich - Faculty of Economics, Business Administration and Information Technology, University of Zurich - Department of Banking and Finance, UBS AG and University of Zurich - Department of Banking and Finance
Date Posted: March 15, 2016
Working Paper Series
70 downloads

Incl. Electronic Paper Equity is Cheap for Large Financial Institutions: The International Evidence
Swiss Finance Institute Research Paper No. 16-22
Priyank Gandhi, Hanno N. Lustig and Alberto Plazzi
Mendoza College of Business, University of Notre Dame, Stanford Graduate School of Business and USI-Lugano
Date Posted: March 14, 2016
Last Revised: June 12, 2016
Working Paper Series
267 downloads

Incl. Electronic Paper The Quality-Assuring Role of Mutual Fund Advisory Fees
Swiss Finance Institute Research Paper No. 16-16, George Mason Law & Economics Research Paper No. 16-22
Michel A. Habib and D. Bruce Johnsen
University of Zurich and George Mason University - School of Law
Date Posted: March 12, 2016
Last Revised: April 29, 2016
Working Paper Series
47 downloads

Incl. Electronic Paper Price Impact of Aggressive Liquidity Provision
Swiss Finance Institute Research Paper No. 16-21
Ramazan Gencay, Soheil Mahmoodzadeh, Jakub Rojcek and Michael C Tseng
Simon Fraser University, University of Cambridge - Faculty of Economics, University of Zurich, Department of Banking and Finance and Simon Fraser University (SFU) - Department of Economics
Date Posted: March 11, 2016
Last Revised: May 01, 2016
Working Paper Series
137 downloads

Incl. Electronic Paper Why Does Fast Loan Growth Predict Poor Performance for Banks?
Charles A. Dice Center Working Paper No. 2016-7, Fisher College of Business Working Paper No. 2016-03-07, Swiss Finance Institute Research Paper No. 16-24
Rüdiger Fahlenbrach, Robert Prilmeier and René M. Stulz
Ecole Polytechnique Fédérale de Lausanne, Tulane University - A.B. Freeman School of Business and Ohio State University (OSU) - Department of Finance
Date Posted: March 09, 2016
Working Paper Series
255 downloads

Incl. Electronic Paper Real Estate Company Reactions to Financial Market Regulation
Swiss Finance Institute Research Paper No. 16-20
Martin Hoesli, Stanimira Milcheva and Alex Moss
University of Geneva - Geneva School of Economics and Management (GSEM), University of Reading - Henley Business School and University of Reading - Henley Business School
Date Posted: March 09, 2016
Working Paper Series
50 downloads

Incl. Electronic Paper Discrete-Time Option Pricing with Stochastic Liquidity
Swiss Finance Institute Research Paper No. 16-15
Markus Leippold and Steven Schaerer
University of Zurich - Department of Banking and Finance and University of Zurich, Students
Date Posted: March 08, 2016
Last Revised: September 07, 2016
Working Paper Series
86 downloads

Incl. Electronic Paper Rollover Traps
Swiss Finance Institute Research Paper No. 16-19
Marco Della Seta, Erwan Morellec and Francesca Zucchi
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Ecole Polytechnique Fédérale de Lausanne and Federal Reserve Board
Date Posted: March 07, 2016
Last Revised: September 23, 2016
Working Paper Series
57 downloads

Incl. Electronic Paper Forecasting Financial Returns with a Structural Macroeconomic Model
Swiss Finance Institute Research Paper No. 16-13
Eric Jondeau and Michael Rockinger
University of Lausanne and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: March 03, 2016
Working Paper Series
136 downloads

Incl. Electronic Paper Corporate Policies with Permanent and Transitory Shocks
Swiss Finance Institute Research Paper No. 16-18
Jean-Paul Decamps, Sebastian Gryglewicz, Erwan Morellec and Stephane Villeneuve
University of Toulouse 1 - Toulouse School of Economics (TSE), Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Ecole Polytechnique Fédérale de Lausanne and University of Toulouse 1 - Toulouse School of Economics (TSE)
Date Posted: March 02, 2016
Working Paper Series
50 downloads

Incl. Electronic Paper Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles
Swiss Finance Institute Research Paper No. 16-12
Vladimir Filimonov, Guilherme Demos and Didier Sornette
Swiss Federal Institute of Technology Zurich (ETH Zurich), ETH Zurich and Swiss Finance Institute
Date Posted: March 01, 2016
Working Paper Series
76 downloads

Incl. Electronic Paper WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application
Swiss Finance Institute Research Paper No. 16-53
Giovanni Barone-Adesi, Chiara Legnazzi and Carlo Sala
Swiss Finance Institute, Swiss Finance Institute and Swiss Finance Institute at the University of Lugano
Date Posted: February 24, 2016
Last Revised: September 06, 2016
Working Paper Series
85 downloads

Incl. Electronic Paper A Bayesian Estimate of the Pricing Kernel
Swiss Finance Institute Research Paper No. 16-14
Giovanni Barone-Adesi, Chiara Legnazzi and Antonietta Mira
Swiss Finance Institute, Swiss Finance Institute and Swiss Finance Institute, University of Lugano
Date Posted: February 19, 2016
Last Revised: March 02, 2016
Working Paper Series
99 downloads

Incl. Electronic Paper Quantum Decision Theory in Simple Risky Choices
Swiss Finance Institute Research Paper No. 16-09
Maroussia Favre, Amrei Wittwer, Hans Rudolf Heinimann, Vyacheslav I. Yukalov and Didier Sornette
ETH Zürich - Department of Management, Technology, and Economics (D-MTEC), University of Zurich - Collegium Helveticum, ETH Zurich, Joint Institute for Nuclear Research and Swiss Finance Institute
Date Posted: February 15, 2016
Working Paper Series
106 downloads

Incl. Electronic Paper Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles
Swiss Finance Institute Research Paper No. 16-08
Didier Sornette, Sandra Andraszewicz, Ryan O. Murphy, Philipp B. Rindler and Dorsa Sanadgol
Swiss Finance Institute, ETH Zurich, University of Zurich - Department of Economics, EBS Universität für Wirtschaft und Recht - EBS Business School and ETH Zurich
Date Posted: February 14, 2016
Working Paper Series
58 downloads

Incl. Electronic Paper Is Industrial Production Still the Dominant Factor for the US Economy?
Swiss Finance Institute Research Paper No. 16-11
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 University of Bristol
Date Posted: February 13, 2016
Last Revised: September 17, 2016
Working Paper Series
44 downloads

Incl. Electronic Paper Debt Maturity and Lumpy Debt
Thomas Geelen
Ecole Polytechnique Fédérale de Lausanne
Date Posted: February 12, 2016
Last Revised: May 28, 2016
Working Paper Series
87 downloads

Incl. Electronic Paper Birds of a Feather – Do Hedge Fund Managers Flock Together?
Swiss Finance Institute Research Paper No. 16-10
Marc Gerritzen, Jens Carsten Jackwerth and Alberto Plazzi
University of Konstanz - Department of Economics, University of Konstanz - Department of Economics and USI-Lugano
Date Posted: February 10, 2016
Last Revised: June 03, 2016
Working Paper Series
157 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
69 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
220 downloads


 

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