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

DOWNLOADS
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SSRN RANKINGS

Top 8,981

in Total Papers Downloads

5,309

SSRN CITATIONS
Rank 30,539

SSRN RANKINGS

Top 30,539

in Total Papers Citations

4

CROSSREF CITATIONS

18

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 1,926 (8,103)
Citation 10

Abstract:

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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 1,493 (12,231)
Citation 21

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 753 (33,673)

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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 587 (47,093)
Citation 2

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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 399 (75,967)
Citation 1

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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 (205,188)
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 (652,946)
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