Sofonias Alemu Korsaye

University of Geneva - Geneva Finance Research Institute (GFRI)

40 Boulevard du Pont d'Arve

Geneva 4, Geneva 1211

Switzerland

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

3

DOWNLOADS

666

SSRN CITATIONS

1

CROSSREF CITATIONS

5

Scholarly Papers (3)

The Global Factor Structure of Exchange Rates

Swiss Finance Institute Research Paper No. 20-107, Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 83 Posted: 14 Oct 2020 Last Revised: 28 Oct 2021
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Boston University - Department of Finance & Economics
Downloads 253 (171,409)

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International asset pricing, stochastic discount factor, factor models, financial frictions, market segmentation, incomplete markets, capital flows

The Global Factor Structure of Exchange Rates

NBER Working Paper No. w27892
Number of pages: 52 Posted: 07 Oct 2020 Last Revised: 18 Sep 2022
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Boston University - Department of Finance & Economics
Downloads 7 (869,502)

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The Global Factor Structure of Exchange Rates

CEPR Discussion Paper No. DP15337
Number of pages: 54 Posted: 03 Nov 2020
Sofonias Alemu Korsaye, Fabio Trojani and Andrea Vedolin
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and Boston University - Department of Finance & Economics
Downloads 1 (952,777)
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Capital Flows, factor models, Financial Frictions, incomplete markets, International Asset Pricing, Lasso, Market Segmentation, regularization, Stochastic discount factor

2.

Smart SDFs

Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 63 Posted: 29 Oct 2019
Sofonias Alemu Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva - Geneva Finance Research Institute (GFRI) and University of Geneva
Downloads 208 (207,169)
Citation 7

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3.

Smart Stochastic Discount Factors

Swiss Finance Institute Research Paper No. 21-51
Number of pages: 75 Posted: 08 Jul 2021 Last Revised: 06 Aug 2021
Sofonias Alemu Korsaye, Alberto Quaini and Fabio Trojani
University of Geneva - Geneva Finance Research Institute (GFRI), University of Geneva and University of Geneva
Downloads 197 (217,645)

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SDF, Convex Pricing Constraints, Minimum Dispersion SDF, Market Frictions, SDF regularization, Arbitrage Pricing Theory