Philippe Masset

Ecole hôtelière de Lausanne

Assistant Professor

Route de Cojonnex 18

Lausanne, 1000

Switzerland

University of Fribourg - Faculty of Economics and Social Science

Ph.D. student

Fribourg, CH 1700

Switzerland

SCHOLARLY PAPERS

7

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Top 8,739

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5,151

CITATIONS
Rank 28,444

SSRN RANKINGS

Top 28,444

in Total Papers Citations

14

Scholarly Papers (7)

1.

Analysis of Financial Time-Series Using Fourier and Wavelet Methods

Number of pages: 36 Posted: 27 Oct 2008
Philippe Masset
Ecole hôtelière de Lausanne
Downloads 1,864 (7,982)
Citation 7

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Spectral analysis, Wavelets

2.

Raise your Glass: Wine Investment and the Financial Crisis

Number of pages: 25 Posted: 22 Aug 2009 Last Revised: 26 Apr 2010
Philippe Masset and Jean-Philippe Weisskopf
Ecole hôtelière de Lausanne and Ecole hôtelière de Lausanne
Downloads 1,450 (12,022)
Citation 11

Abstract:

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wine, alternative assets, financial contagion, portfolio diversification, conditional CAPM

3.

Volatility Stylized Facts

Number of pages: 91 Posted: 08 Apr 2011 Last Revised: 12 Sep 2011
Philippe Masset
Ecole hôtelière de Lausanne
Downloads 711 (34,420)

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Volatility dynamics, Stylized facts, Bull and bear markets, Emerging and mature markets

4.

Wine as an Alternative Asset Class

Number of pages: 25 Posted: 23 Apr 2008 Last Revised: 28 Dec 2009
Ecole hôtelière de Lausanne, University of Lausanne and Ecole hôtelière de Lausanne
Downloads 583 (44,935)
Citation 4

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Wine, Bordeaux, portfolio allocation, alternative assets

5.

Properties of High Frequency DAX Returns: Intraday Patterns, Jumps and their Impact on Subsequent Volatility

Number of pages: 28 Posted: 23 Apr 2008
Philippe Masset
Ecole hôtelière de Lausanne
Downloads 392 (73,466)

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Intraday patterns, price jumps, implied volatility, realized variance, asymetric volatility

6.

A Study of the Evolution of High-End Wines in Switzerland

Number of pages: 13 Posted: 30 Jun 2012
Ecole hôtelière de Lausanne, Ecole hôtelière de Lausanne and Ecole hôtelière de Lausanne
Downloads 148 (195,126)
Citation 2

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wine, alternative assets, portfolio diversification, risk

7.

A High-Frequency Investigation of the Interaction between Volatility and DAX Returns

European Financial Management, Vol. 16, Issue 3, pp. 327-344, June 2010
Number of pages: 18 Posted: 04 Jun 2010
Philippe Masset and Martin Wallmeier
Ecole hôtelière de Lausanne and University of Fribourg - Faculty of Economics and Social Science
Downloads 3 (620,064)
Citation 10
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