Roland Füss

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

University of St. Gallen - School of Finance

Full professor

Unterer Graben 21

St.Gallen, CH-9000

Switzerland

http://www.sbf.unisg.ch/en/Lehrstuehle/Lehrstuhl_Fuess.aspx

SCHOLARLY PAPERS

49

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85

CROSSREF CITATIONS

41

Scholarly Papers (49)

Changing Risk Perception and the Time-Varying Price of Risk

Review of Finance, Vol. 20, No. 4, 2016.
Number of pages: 38 Posted: 10 Mar 2011 Last Revised: 03 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
Swiss Finance Institute, University of Vienna and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 1,342 (27,968)
Citation 2

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Credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

Scattered Trust - Did the 2007-08 Financial Crisis Change Risk Perceptions?

CEPR Discussion Paper No. DP8714
Number of pages: 52 Posted: 22 Dec 2011
Roland Füss, Thomas Gehrig and Philipp B. Rindler
Swiss Finance Institute, University of Vienna and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 8 (1,124,555)
Citation 1
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ambiguity aversion, counterfactual analysis, credit spreads, quantile regression, structural models

Did the 2007-08 Financial Crisis Change Risk Perceptions?

University of St.Gallen, School of Finance Research Paper No. 171
Posted: 11 Jun 2012 Last Revised: 10 Dec 2016
Roland Füss, Thomas Gehrig and Philipp B. Rindler
Swiss Finance Institute, University of Vienna and EBS Universität für Wirtschaft und Recht - EBS Business School

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credit spreads, structural models, quantile regression, counterfactual analysis, ambiguity aversion

2.

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk (SDSVaR) Approach

Journal of Financial and Quantitative Analysis (JFQA), Vol. 49, No. 3, 2014
Number of pages: 42 Posted: 11 Nov 2010 Last Revised: 08 Jun 2015
Zeno Adams, Roland Füss and Reint Gropp
University of St. Gallen, Swiss Finance Institute and Halle Institute for Economic Research
Downloads 806 (58,463)
Citation 13

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Contagion, state-dependent sensitivity value-at-risk (SDSVaR), quantile

3.

Sentiment Risk Premia in the Cross-Section of Global Equity

University of St.Gallen, School of Finance Research Paper No. 2019/13
Number of pages: 71 Posted: 28 May 2020 Last Revised: 02 Oct 2020
Swiss Finance Institute, Bocconi University, Dept. of Finance and University of St. Gallen
Downloads 682 (72,960)

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Asset pricing, behavioral finance, financial markets, investor sentiment, sentiment risk premium

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Number of pages: 53 Posted: 24 Nov 2011 Last Revised: 29 Jun 2016
Zeno Adams, Roland Füss and Thorsten Glück
University of St. Gallen - School of Finance, Swiss Finance Institute and Wiesbaden Business School
Downloads 309 (183,332)

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Change-point tests; correlation breaks; dynamic conditional correlation (DCC); multivariate GARCH models; spurious conditional correlation

Are Correlations Constant? Empirical and Theoretical Results on Popular Correlation Models in Finance

Journal of Banking and Finance, Forthcoming
Number of pages: 60 Posted: 30 Jun 2016 Last Revised: 15 Jul 2017
Zeno Adams, Roland Füss and Thorsten Glück
University of St. Gallen, Swiss Finance Institute and Wiesbaden Business School
Downloads 288 (197,596)
Citation 7

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Change-point tests, correlation breaks, dynamic conditional correlation (DCC), multivariate GARCH models, spurious conditional correlation

5.

Winning a Deal in Private Equity: Do Educational Ties Matter?

AFFI/EUROFIDAI, Paris December 2016 Finance Meeting EUROFIDAI - AFFI, University of St.Gallen, School of Finance Research Paper No. 2017/15
Number of pages: 49 Posted: 04 Jun 2016 Last Revised: 25 Aug 2019
University of St. Gallen - School of Finance, Swiss Finance Institute, University of Oxford - Said Business School and University of St. Gallen - School of Finance
Downloads 421 (131,477)
Citation 9

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Buyout, Deal Sourcing, Deal Performance, Educational Ties, Investment Choice

6.

The Impact of Macroeconomic Announcements on Implied Volatility

Applied Financial Economics, Vol. 21, No. 21, 2011
Number of pages: 27 Posted: 03 Nov 2010 Last Revised: 22 Mar 2016
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, Deutsche Börse AG and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 388 (144,333)

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Implied volatility, VIX and VDAX indices, bivariate VECH GARCH model, macroeconomic announcements

7.

Electricity Derivatives Pricing with Forward-Looking Information

Journal of Economic Dynamics and Control, 58, September, 34-57 (2015)
Number of pages: 57 Posted: 19 Feb 2013 Last Revised: 29 Mar 2016
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA Centre
Downloads 367 (153,522)
Citation 4

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Electricity Futures, Fundamental Model, Derivatives Pricing, Forward-looking Information, Enlargement of Filtrations

8.

Dynamic Linkages between Hedge Funds and Traditional Financial Assets: Evidence from Emerging Markets

Risk Management in Emerging Markets: Issues, Framework and Modeling (Sabri Boubaker, Bonnie G. Buchanan, and Duc Khuong Nguyen (eds.)), Emerald Group Publishing, Chapter 17, 541-581.
Number of pages: 41 Posted: 25 Mar 2008 Last Revised: 15 Jul 2017
Roland Füss, Dieter G. Kaiser and Felix Schindler
Swiss Finance Institute, Robus Capital Management Limited and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 366 (154,007)

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Emerging markets, Asia, Latin America, Eastern Europe, hedge funds, Johansen cointegration test, asset allocation, portfolio diversification

9.

Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach

SAFE Working Paper No. 20
Number of pages: 49 Posted: 22 May 2013
Zeno Adams, Roland Füss and Reint Gropp
University of St. Gallen - School of Finance, Swiss Finance Institute and Halle Institute for Economic Research
Downloads 320 (178,543)
Citation 18

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Risk spillovers, state-dependent sensitivity value-at-risk (SDSVaR), quantile regression, financial institutions, hedge funds

10.

Financial Crises, Price Discovery, and Information Transmission: A High-Frequency Perspective

EBS Business School Research Paper Series, Working Paper, Paris December 2016 Finance Meeting EUROFIDAI - AFFI
Number of pages: 68 Posted: 02 Dec 2011 Last Revised: 10 Feb 2017
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting, University of Duisburg-Essen and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 318 (179,150)

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Financial crises, macroeconomic announcements, price discovery process, information transmission process, high-frequency data

11.

Electricity Market Coupling in Europe: Status Quo and Future Challenges

University of St.Gallen, School of Finance Research Paper No. 2015/12
Number of pages: 36 Posted: 15 Oct 2014 Last Revised: 13 Mar 2017
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance and University of Reading - ICMA Centre
Downloads 309 (184,560)
Citation 1

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Energy Market Coupling, Electricity Market Reforms, Explicit and Implicit Auction, Price Convergence

12.

Testing the Predictability and Efficiency of Securitized Real Estate Markets

Journal of Real Estate Portfolio Management, Vol. 16, No. 2, pp. 159-179, 2010, ZEW - Centre for European Economic Research Discussion Paper No. 09-054
Number of pages: 39 Posted: 30 Oct 2009 Last Revised: 29 May 2013
Felix Schindler, Nico B. Rottke and Roland Füss
Steinbeis University Berlin - Center for Real Estate Studies, European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate and Swiss Finance Institute
Downloads 293 (195,263)
Citation 5

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securitized real estate, weak-form market efficiency, random walk hypothesis, variance ratio tests, runs test, trading strategies

13.

A Jackknife-Type Estimator for Portfolio Revision

Journal of Banking and Finance, Vol. 43, No. 6, 2014
Number of pages: 49 Posted: 30 May 2011 Last Revised: 22 Mar 2016
Roland Füss, Felix Miebs and Fabian Trübenbach
Swiss Finance Institute, University of Applied Sciences Cologne and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting
Downloads 288 (198,801)
Citation 1

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Portfolio optimization, Portfolio revision, Jackknife, Transaction costs

14.

Electricity Spot and Derivatives Pricing under Market Coupling

University of St.Gallen, School of Finance Research Paper No. 13/23
Number of pages: 41 Posted: 13 Jan 2014 Last Revised: 20 Aug 2017
Swiss Finance Institute, University of St.Gallen - Swiss Institute of Banking and Finance, Zeppelin University, Chair of Finance and University of Reading - ICMA Centre
Downloads 251 (229,128)

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Electricity Pricing, Fundamental Model, Multi-Market Modeling, Derivatives

15.

Corporate Transparency and Bond Liquidity

University of St.Gallen, School of Finance Working Paper No. 2014/4
Number of pages: 50 Posted: 10 Mar 2014
Falko Fecht, Roland Füss and Philipp B. Rindler
Deutsche Bundesbank, Swiss Finance Institute and EBS Universität für Wirtschaft und Recht - EBS Business School
Downloads 243 (236,551)
Citation 1

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Corporate Bonds, Liquidity, Transparency, Information Quality, Financial Crises

16.

Correlated Risk and Volatility Spillovers across U.S. Regional Housing Markets

Number of pages: 32 Posted: 13 Sep 2009 Last Revised: 29 May 2013
Bing Zhu, Roland Füss and Nico B. Rottke
University of Reading - Henley Business School, Swiss Finance Institute and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate
Downloads 233 (245,358)

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Spatial autocorrelation, volatility spillover effects, contagion, dynamic panel estimation, GARCH process

17.

Modelling the Multivariate Dynamic Dependence Structure of Commodity Futures Portfolios

Journal of Commodity Markets, Vol. 6, No. 1, 66-87, 2017
Number of pages: 55 Posted: 08 Sep 2015 Last Revised: 15 Jul 2017
University of St. Gallen - School of Finance, Swiss Finance Institute, NMBU School of Economics and Business and Zeppelin University, Chair of Finance
Downloads 213 (267,016)
Citation 1

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Multivariate dynamic copulas; regime-switching copulas; dynamic conditional correlation (DCC) model; forecast performance; commodity portfolio

18.

Partisan Politics and Stock Market Performance: The Effect of Expected Government Partisanship on Stock Returns in the 2002 German Federal Election

Public Choice, Vol. 135, No. 3-4, pp. 131-150
Number of pages: 30 Posted: 28 Feb 2007 Last Revised: 29 May 2013
Roland Füss and Michael M. Bechtel
Swiss Finance Institute and Washington University in St. Louis
Downloads 208 (272,939)
Citation 10

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Government partisanship, stock market performance, elections, GARCH modeling, political information, price formation

19.

Investing in Your Alumni: Endowments' Investment Choices in Private Equity

Swiss Finance Institute Research Paper No. 23-65
Number of pages: 59 Posted: 13 Mar 2023 Last Revised: 24 Aug 2023
Roland Füss, Stefan Morkoetter and Maria Oliveira
Swiss Finance Institute, University of St. Gallen - School of Finance and University of St. Gallen - School of Finance
Downloads 204 (277,921)

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alumni ties, fund managers, investment choice, private equity, university endowment

20.

The Sources of Risk Spillovers Among U.S. REITs: Financial Characteristics and Regional Proximity

Real Estate Economics, Forthcoming
Number of pages: 49 Posted: 03 Feb 2013 Last Revised: 30 Mar 2016
Zeno Adams, Roland Füss and Felix Schindler
University of St. Gallen, Swiss Finance Institute and Steinbeis University Berlin - Center for Real Estate Studies
Downloads 188 (300,480)

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REITs, fundamental value, geographic diversification, information diffusion, risk spillovers, state-dependent sensitivity VaR (SDSVaR)

21.

Something in the Air: Information Density, News Surprises, and Price Jumps

University of St. Gallen, School of Finance Research Paper No. 2015/17
Number of pages: 87 Posted: 04 Sep 2015 Last Revised: 27 Sep 2016
Swiss Finance Institute, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance, Accounting and Real Estate, EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting and University of Duisburg-Essen
Downloads 180 (310,861)
Citation 2

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Information density, jump identification, macroeconomic announcements, noisy information, price discovery process

22.

Modelling Smooth Transition (Auto)Regression in Rental Prices of U.K. Real Estate Sectors

Number of pages: 45 Posted: 22 Feb 2009
Roland Füss and Michael Stein
Swiss Finance Institute and University of Duisburg-Essen
Downloads 179 (312,398)

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Smooth transition (auto) regression (STAR) models, non-linear estimation technique, (time-varying) rental adjustment process, rental cycle, UK real estate market

23.

Betting on Homes

Swiss Finance Institute Research Paper No. 22-73
Number of pages: 48 Posted: 13 Sep 2022 Last Revised: 15 Sep 2022
Copenhagen Business School, Swiss Finance Institute, University of Cambridge - Department of Land Economy and University of Konstanz - Department of Economics
Downloads 171 (325,108)

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Capital gains; housing market; institutional investors; local markets; risk exposure; upside potential.

24.

Capitalizing on Partisan Politics? The Political Economy of Sector-Specific Redistribution in Germany

Journal of Money, Credit, and Banking, Vol. 42, No. 2-3, pp. 203-235, 2010
Number of pages: 43 Posted: 28 Feb 2007 Last Revised: 29 May 2013
Michael M. Bechtel and Roland Füss
Washington University in St. Louis and Swiss Finance Institute
Downloads 162 (340,729)
Citation 1

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Government partisanship, stock market performance, industrial sectors, German federal elections, GARCH modeling, redistribution

25.

Housing Price Externalities of Photovoltaic Systems: The Relevance of View

Swiss Finance Institute Research Paper No. 23-100
Number of pages: 51 Posted: 31 Oct 2023 Last Revised: 25 Mar 2024
Swiss Finance Institute, University of St.Gallen and University of St. Gallen - School of Finance
Downloads 134 (397,196)

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House Prices; Photovoltaic System; Residential Real Estate; Rents; View Modeling

26.

The Low-Carbon Rent Premium of Residential Buildings

University of St.Gallen, School of Finance Research Paper No. 2022/04
Number of pages: 38 Posted: 11 Jul 2022 Last Revised: 25 Mar 2024
Wüest Partner AG, Swiss Finance Institute, Wüest Partner AG and University of St. Gallen - School of Finance
Downloads 128 (411,448)

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Apartment Net Rents, CO2 Emissions, Capitalization Rates, Energy Efficiency, Sustainability, Residential Buildings

27.

Information Precision and Return Co-Movements in Private Commercial Real Estate Markets

Journal of Banking and Finance, Forthcoming, University of St. Gallen, School of Finance Research Paper No. 2015/20
Number of pages: 53 Posted: 13 Oct 2015 Last Revised: 27 Jul 2022
Roland Füss and Daniel Ruf
Swiss Finance Institute and University of Cambridge - Department of Land Economy
Downloads 128 (413,866)

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Commercial real estate, cross-sectional dependence, opaque markets, spatial econometrics, market transparency

28.

Local House Price Comovements

University of St.Gallen, School of Finance Research Paper No. 2019/06
Number of pages: 43 Posted: 13 Jun 2019
Marcel Fischer, Roland Füss and Simon Stehle
Copenhagen Business School, Swiss Finance Institute and University of Konstanz - Department of Economics
Downloads 127 (416,381)

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housing market, price comovements, urban economics, real estate, repeat sales

29.

Bank Systemic Risk Exposure and Office Market Interconnectedness

Journal of Banking and Finance, Vol. 133, University of St.Gallen, School of Finance Research Paper No. 2018/16
Number of pages: 81 Posted: 31 May 2018 Last Revised: 27 Jul 2022
Roland Füss and Daniel Ruf
Swiss Finance Institute and University of Cambridge - Department of Land Economy
Downloads 127 (413,866)

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Commercial real estate, cross-sectional dependence, financial center, spatial econometrics, systemic risk

30.

An Averaging Framework for Minimum-Variance Portfolios: Optimal Rules for Combining Portfolio Weights

Swiss Finance Institute Research Paper No. 24-10
Number of pages: 66 Posted: 02 Feb 2024 Last Revised: 13 Apr 2024
Swiss Finance Institute, Wiesbaden Business School, University of St. Gallen and University of Applied Sciences Cologne
Downloads 111 (457,810)

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Averaging; diversification; estimation error; portfolio optimization; shrinkage.

31.

When Investors Enjoy Less Policy Risk: Divided Government, Economic Policy Change, and Stock Market Volatility in Germany, 1970-2005

Swiss Political Science Review, Vol. 14, No. 2, pp. 287-314
Number of pages: 28 Posted: 16 Mar 2008 Last Revised: 29 May 2013
Michael M. Bechtel and Roland Füss
Washington University in St. Louis and Swiss Finance Institute
Downloads 102 (486,290)
Citation 2

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Divided Government, Economic Policy, Financial Risk, Volatility, Stock Markets

32.

The Economic Drivers of Differences in House Price Inflation Rate Across MSAs

Journal of Housing Economics, Vol. 31, No. 1, 2016
Number of pages: 47 Posted: 19 Jan 2016 Last Revised: 22 Mar 2016
Roland Füss and Joachim Zietz
Swiss Finance Institute and EBS University of Business and Law, EBS Business School
Downloads 89 (531,182)
Citation 3

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house price inflation, demand and supply factors, federal funds rate, monetary policy

33.

The Role of Spatial and Temporal Structure for Residential Rent Predictions

University of St.Gallen, School of Finance Research Paper No. 2015/23
Number of pages: 44 Posted: 19 Nov 2015
Roland Füss and Jan Koller
Swiss Finance Institute and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 88 (538,689)

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Classification and Regression Tree (CART) Technique, Forecast Evaluation, Hedonic Pricing Model, Rental Prices, Spatiotemporal Autoregressive (STAR) Model

34.

Valuation Effects of Termination of Cross-Listings

Journal of Financial Perspectives, Vol. 2, No. 1, 2014
Number of pages: 22 Posted: 29 Nov 2017 Last Revised: 26 Feb 2023
Roland Füss, Ulrich Hommel and Jan Plagge
Swiss Finance Institute, EBS Business School and Independent
Downloads 54 (694,626)

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35.

Diversifying Estimation Errors: An Efficient Averaging Rule for Portfolio Optimization

University of St.Gallen, School of Finance Research Paper No.2021/05
Posted: 11 Feb 2021 Last Revised: 09 Sep 2023
Swiss Finance Institute, University of St. Gallen, University of Applied Sciences Cologne and Wiesbaden Business School

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Averaging; diversification; estimation error; portfolio optimization; shrinkage

36.

The Sources of Risk Spillovers Among US REITs: Financial Characteristics and Regional Proximity

Real Estate Economics, Forthcoming
Posted: 02 Oct 2013 Last Revised: 05 Apr 2016
Zeno Adams, Roland Füss and Felix Schindler
University of St. Gallen, Swiss Finance Institute and Steinbeis University Berlin - Center for Real Estate Studies

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REITs, fundamental value, geographic diversification, risk spillovers, state-dependent sensitivity VaR (SDSVaR)

37.

Disentangling the Short and Long-Run Effects of Occupied Stock in the Rental Adjustment Process

Journal of Real Estate Finance and Economics, Vol. 44, No. 4, 2012
Posted: 28 Mar 2012 Last Revised: 12 Oct 2013
Zeno Adams and Roland Füss
European Business School (EBS) and Swiss Finance Institute

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Panel cointegration analysis, FMOLS regression, error correction model, urban rent models, German office market

38.

Spatial Linkages in Returns and Volatilities Among U.S. Regional Housing Markets

Real Estate Economics, Vol. 41, No. 1, 29-64.
Posted: 02 Sep 2011 Last Revised: 12 Oct 2013
Bing Zhu, Roland Füss and Nico B. Rottke
University of Reading - Henley Business School, Swiss Finance Institute and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate

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Spatial autocorrelation, volatility spillover effects, contagion, dynamic panel estimation, GARCH process

39.

On the Relationship Among Partisan Effects, Electoral Probability, and Economic Uncertainty

European Business School Research Paper No. 11-13
Posted: 06 Jul 2011 Last Revised: 04 Dec 2016
Roland Füss and Jana Lenz
Swiss Finance Institute and EBS Universität für Wirtschaft und Recht - EBS Business School - Department of Finance and Accounting

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Partisan effects, U.S. presidential election, prediction markets, systematic risk, conditional and implied volatility, instrumental variable estimation

40.

The Predictive Power of Anisotropic Spatial Correlation Modeling in Housing Prices

Journal of Real Estate Finance and Economics, Vol. 42, No. 4, 2011
Posted: 09 Feb 2011
Bing Zhu, Roland Füss and Nico B. Rottke
University of Reading - Henley Business School, Swiss Finance Institute and European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate

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Spatial regression, Hedonic price model, Anisotropic spatial correlation, Simultaneous autoregressive model, Housing market

41.

What Drives CEOs to Take on More Risk? Some Evidence from the Laboratory of REITs

Journal of Applied Corporate Finance, Vol. 23, No. 1, pp. 80-94, 2011.
Posted: 28 Feb 2010 Last Revised: 29 May 2013
Roland Füss, Nico B. Rottke and Joachim Zietz
Swiss Finance Institute, European Business School (EBS) Wiesbaden - Department Finance, Accounting & Real Estate and EBS University of Business and Law, EBS Business School

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Corporate governance, corporate performance, firm value, leverage, managerial ownership, REITs

42.

A Regime Switching Approach to Modeling Rental Prices of UK Real Estate Sectors

Real Estate Economics, Vol. 40, No. 1, 317-350.
Posted: 21 Dec 2009 Last Revised: 12 Oct 2013
Roland Füss, Michael Stein and Joachim Zietz
Swiss Finance Institute, University of Duisburg-Essen and EBS University of Business and Law, EBS Business School

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Regime-switching, non-linear estimation, time-varying rental adjustment process, rental cycle, UK real estate market

43.

Short and Long-term Interactions between Venture Capital Returns and the Macroeconomy: Evidence for the United States

Review of Quantitative Finance and Accounting, Vol. 38, No. 3, 391-410, 2012
Posted: 14 Feb 2009 Last Revised: 29 Mar 2016
Roland Füss and Denis Schweizer
Swiss Finance Institute and Concordia University

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Venture capital investment, macro economy, cointegration test, VECM, Granger causality, variance decomposition

44.

Measuring Funds of Hedge Funds Performance Using Quantile Regressions: Do Experience and Size Matter?

Journal of Alternative Investments, Vol. 12, No. 2, pp. 41-53, 2009
Posted: 29 Aug 2008 Last Revised: 29 May 2013
Swiss Finance Institute, Robus Capital Management Limited and CREST-ENSAE

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Quantile regression, funds of hedge funds, performance, asset under management, fund age, fund manager's experience

45.

Fixed Income Portfolio Allocation Including Hedge Fund Strategies: A Copula Opinion Pooling Approach

Journal of Fixed Income, Vol. 18, No. 4, 78-91.
Posted: 21 Aug 2008 Last Revised: 29 May 2013
Michael Stein, Roland Füss and Wolfgang Drobetz
University of Duisburg-Essen, Swiss Finance Institute and University of Hamburg

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Fixed income portfolios, copula opinion pooling (COP) methodology, portfolio optimization, Monte Carlo simulations, hedge funds, robust Bayesian methods, non-normal return distributions, co-dependent markets, prior and posterior allocation

46.

The Predictive Power of Value-at-Risk Models in Commodity Futures Markets

Journal of Asset Management, Vol. 11, No. 4, pp. 244 - 260, 2010
Posted: 20 Aug 2008 Last Revised: 29 May 2013
Roland Füss, Zeno Adams and Dieter G. Kaiser
Swiss Finance Institute, European Business School (EBS) and Robus Capital Management Limited

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Commodities, risk management, value-at-risk (VaR), GARCH modelling, conditional autoregressive value-at-risk (CAViaR), quantile regression

47.

Macroeconomic Determinants of International Housing Markets

Journal of Housing Economics, Vol. 19, No.1, pp. 38-50, 2010
Posted: 20 Aug 2008 Last Revised: 29 May 2013
Zeno Adams and Roland Füss
European Business School (EBS) and Swiss Finance Institute

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Housing market, macroeconomy, panel cointegration, FMOLS, DOLS

48.

The Nature of Listed Real Estate Companies - Property or Equity Market?

Financial Markets and Portfolio Management, Vol. 22, No. 2, pp. 101-126, 2008
Posted: 25 Mar 2008
University of Freiburg - Department of Banking and Finance, University of Freiburg - Department of Banking and Finance and Swiss Finance Institute

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private real estate, property companies, REITs, equity market, correlation structure, investment horizon, cointegration analysis, Johansen test, stock market

49.

The Tactical and Strategic Value of Hedge Fund Strategies: A Cointegration Approach

Financial Markets and Portfolio Management, Vol. 21, No. 1, pp. 425-444, 2007
Posted: 26 Nov 2007
Roland Füss and Dieter G. Kaiser
Swiss Finance Institute and Robus Capital Management Limited

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Hedge fund strategies, Stock markets, Tactical and strategic asset allocation, Portfolio optimization, Multivariate cointegration analysis, Johansen test