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Swiss Finance Institute Research Paper Series
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Showing Papers 1 - 50 of 621
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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
169 downloads

Incl. Electronic Paper Constrained Random Walk Models for Euro/Swiss Franc Exchange Rates: Theory and Empirics
Swiss Finance Institute Research Paper No. 15-33
Sandro Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: August 22, 2015
Working Paper Series
7 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. 15-32
Didier Sornette , Guilherme Demos , Zhang Qun , Peter Cauwels , Vladimir Filimonov and Qunzhi Zhang
Swiss Finance Institute , ETH Zurich , ETH Zurich , ETH Zürich , Swiss Federal Institute of Technology Zurich (ETH Zurich) and ETH Zurich
Date Posted: August 21, 2015
Working Paper Series
68 downloads

Incl. Electronic Paper The Acceleration Effect and Gamma Factor in Asset Pricing
Swiss Finance Institute Research Paper No. 15-30
Diego Ardila , Zalàn Forrò and Didier Sornette
ETH Zurich , Independent and Swiss Finance Institute
Date Posted: August 21, 2015
Working Paper Series
108 downloads

Incl. Electronic Paper Size and Momentum Profitability in International Stock Markets
Swiss Finance Institute Research Paper No. 15-29
Peter Steffen Schmidt , Urs von Arx , Andreas Schrimpf , Alexander F. Wagner and Andreas Ziegler
University of Zurich - Center für Nachhaltigkeit und unternehmerische Verantwortung (CCRS) , ETH Zürich , Bank for International Settlements (BIS) - Monetary and Economic Department , University of Zurich - Department of Banking and Finance and University of Kassel
Date Posted: August 21, 2015
Last Revised: August 27, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper Multiple Outlier Detection in Samples with Exponential & Pareto Tails: Redeeming the Inward Approach & Detecting Dragon Kings
Swiss Finance Institute Research Paper No. 15-28
Spencer Wheatley and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: August 19, 2015
Working Paper Series
22 downloads

Incl. Electronic Paper Why Investors are Loss Averters During Bull Markets and Gain Seekers During Bear Markets?
Robert F. Bordley and Luisa Tibiletti
University of Michigan at Ann Arbor and University of Turin - Department of Management
Date Posted: August 15, 2015
Working Paper Series
27 downloads

Incl. Electronic Paper Sensitivity of Optimal Consumption Streams
Swiss Finance Institute Research Paper No. 15-27
Martin Herdegen and Johannes Muhle-Karbe
ETH Zurich and ETH Zürich
Date Posted: August 14, 2015
Working Paper Series
12 downloads

Incl. Electronic Paper Measuring Performance and Profitability of a Financial Institution: The Metrics of Funds Transfer Pricing
Morgan Bright Gordon
Accra Institute of Technology
Date Posted: August 13, 2015
Working Paper Series
11 downloads

Incl. Electronic Paper Does Market Irrationality in the Media Affect Stock Returns?
Swiss Finance Institute Research Paper No. 15-25
Rajna Gibson , Christopher Hemmens and Mathieu Trepanier
University of Geneva - Graduate School of Business (HEC-Geneva) , University of Geneva and University of St. Gallen
Date Posted: August 12, 2015
Last Revised: August 19, 2015
Working Paper Series
61 downloads

Incl. Electronic Paper Collateralization, Leverage, and Stressed Expected Loss
Swiss Finance Institute Research Paper No. 15-24
Eric Jondeau and Amir Khalilzadeh
University of Lausanne and University of Lausanne
Date Posted: August 12, 2015
Working Paper Series
14 downloads

Incl. Electronic Paper An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'
Matthew Ames , Guillaume Bagnarosa and Gareth William Peters
University College London - Department of Statistical Science , ESC RennesUniversity College London and University College London
Date Posted: August 04, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Nonparametric Empirical Evidence for Krugman's Target Zone Model
Swiss Finance Institute Research Paper No. 15-22
Sandro Lera and Didier Sornette
ETH Zurich and Swiss Finance Institute
Date Posted: July 24, 2015
Working Paper Series
9 downloads

Incl. Electronic Paper Carry and Trend Following Returns in the Foreign Exchange Market
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: July 22, 2015
Working Paper Series
393 downloads

Incl. Electronic Paper Size Matters – Small is Beautiful: The Impact of Portfolio Diversification and Selection on Risk and Return in Private Equity
Olivier Gottschalg , Dr. Ralf Gleisberg and Ramun Derungs
HEC Paris (Groupe HEC) - Strategy & Business Policy , Akina Ltd. and Akina Ltd.
Date Posted: July 17, 2015
Working Paper Series
48 downloads

Incl. Electronic Paper Consistent Re-Calibration in Yield Curve Modeling: An Example
Swiss Finance Institute Research Paper No. 15-26
Mario V. Wuthrich
RiskLab, ETH Zurich
Date Posted: July 14, 2015
Working Paper Series
48 downloads

Incl. Electronic Paper Agency Conflicts Around the World
Swiss Finance Institute Research Paper No. 15-21, Simon Business School Working Paper No. FR 15-24
Erwan Morellec , Boris Nikolov and Norman Schürhoff
Ecole Polytechnique Fédérale de Lausanne , University of Lausanne and University of Lausanne
Date Posted: July 14, 2015
Working Paper Series
43 downloads

Incl. Electronic Paper The Economic Consequences of Borrower Information Sharing: Relationship Dynamics and Investment
Andrew Sutherland
Massachusetts Institute of Technology (MIT) - Sloan School of Management
Date Posted: July 06, 2015
Working Paper Series
34 downloads

Incl. Electronic Paper Hedging with Small Uncertainty Aversion
Swiss Finance Institute Research Paper No. 15-19
Sebastian Herrmann , Johannes Muhle-Karbe and Frank Thomas Seifried
ETH Zurich , ETH Zürich and University of Trier
Date Posted: July 03, 2015
Last Revised: July 09, 2015
Working Paper Series
79 downloads

Incl. Electronic Paper High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation
Swiss Finance Institute Research Paper No. 15-23
Jakub Rojcek and Alexandre Ziegler
University of Zurich, Department of Banking and Finance and University of Zurich - Department of Banking and Finance
Date Posted: July 01, 2015
Last Revised: July 23, 2015
Working Paper Series
69 downloads

Incl. Electronic Paper Konsumentenschutz Im Crowdfunding (Investor Protection in Crowdfunding)
Rainer Lenz
University of Applied Sciences, Bielefeld
Date Posted: June 26, 2015
Working Paper Series
33 downloads

Incl. Electronic Paper A Bayesian Time-Varying Approach to Risk Neutral Density Estimation
Roberto Casarin , German Molina and Enrique ter Horst
University Ca' Foscari of Venice - Department of Economics , Idalion Capital US LP and IESA
Date Posted: June 21, 2015
Working Paper Series
45 downloads

Incl. Electronic Paper Structured Products: Performance, Costs and Investments
Dietmar Maringer , Walter Pohl and Paolo Vanini
University of Basel , University of Zurich and Zurich Cantonal Bank
Date Posted: June 20, 2015
Working Paper Series
125 downloads

Incl. Electronic Paper Uniqueness of Equilibrium in a Payment System with Liquidation Costs
Swiss Finance Institute Research Paper No. 15-20
Hamed Amini , Damir Filipović and Andreea Minca
Ecole Polytechnique Fédérale de Lausanne , Ecole Polytechnique Fédérale de Lausanne and Cornell University
Date Posted: June 18, 2015
Last Revised: July 09, 2015
Working Paper Series
32 downloads

Incl. Electronic Paper Portfolio Selection with Active Risk Monitoring
Swiss Finance Institute Research Paper No. 15-17
Marc S. Paolella and Pawel Polak
University of Zurich and University of Zurich
Date Posted: June 12, 2015
Working Paper Series
91 downloads

Incl. Electronic Paper Human Capital and Employment Risks Diversification
Swiss Finance Institute Research Paper No. 15-18
Pascal St-Amour
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Date Posted: June 10, 2015
Working Paper Series
15 downloads

Incl. Electronic Paper Evolutionary Behavioural Finance
Swiss Finance Institute Research Paper No. 15-16
Igor V. Evstigneev , Thorsten Hens and Klaus Reiner Schenk-Hoppé
University of Manchester - Economics, School of Social Sciences , University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Date Posted: June 06, 2015
Working Paper Series
94 downloads

Incl. Electronic Paper Locally Phi-Integrable Sigma-Martingale Densities for General Semimartingales
Swiss Finance Institute Research Paper No. 15-15
Tahir Choulli and Martin Schweizer
University of Alberta - Department of Mathematical and Statistical Sciences and Swiss Federal Institute of Technology Zurich - Department of Mathematics
Date Posted: June 06, 2015
Working Paper Series
17 downloads

Incl. Electronic Paper Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
Swiss Finance Institute Research Paper No. 15-13
Amit Goyal and Narasimhan Jegadeesh
University of Lausanne and Emory University - Department of Finance
Date Posted: May 25, 2015
Working Paper Series
379 downloads

Incl. Electronic Paper A Civil Super-Manhattan Project in Nuclear Research for a Safer and Prosperous World
Swiss Finance Institute Research Paper No. 15-14
Didier Sornette
Swiss Finance Institute
Date Posted: May 02, 2015
Working Paper Series
19 downloads

Incl. Electronic Paper Efficient Parallel Solution Methods for High-Dimensional Option Pricing Problems
Peter Schober , Philipp Schröder and Gabriel Wittum
Goethe University Frankfurt - Department of Finance , Goethe Center for Scientific Computing and Goethe Center for Scientific Computing
Date Posted: April 07, 2015
Last Revised: July 24, 2015
Working Paper Series
20 downloads

Incl. Electronic Paper Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
Swiss Finance Institute Research Paper No. 15-12
Giovanni Barone Adesi , Kostas Giannopoulos and Les Vosper
Swiss Finance Institute at the University of Lugano , Neapolis University, Pafos and LCH.Clearnet (Retired)
Date Posted: April 04, 2015
Working Paper Series
66 downloads

Incl. Electronic Paper History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect
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
Last Revised: July 01, 2015
Working Paper Series
33 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
199 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
Last Revised: April 29, 2015
Working Paper Series
39 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
98 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
Last Revised: April 09, 2015
Working Paper Series
65 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
86 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
111 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
58 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
128 downloads

Incl. Electronic Paper The Shadow Cost of Repos 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
Last Revised: July 01, 2015
Working Paper Series
89 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
103 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
37 downloads

Incl. Electronic Paper Do Situational Social Norms Crowd Out Intrinsic Preferences? An Experiment Regarding the Choice of Honesty
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
Last Revised: April 13, 2015
Working Paper Series
38 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
100 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
49 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
20 downloads

Incl. Electronic Paper Fed Funds Futures Variance Futures
Swiss Finance Institute Research Paper No. 14-66
Damir Filipović and Anders B. Trolle
Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Date Posted: November 28, 2014
Last Revised: August 08, 2015
Working Paper Series
99 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
27 downloads


 

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