Publications
by members of
Geneva Finance Research Institute (GFRI)
Université de Genève
Genève, Switzerland
(University of Geneva)
These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.| Working papers | Journal articles | Chapters |
Working papers
2023
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023.
"Latent Factor Analysis in Short Panels,"
Papers
2306.14004, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2023. "Latent Factor Analysis in Short Panels," Swiss Finance Institute Research Paper Series 23-44, Swiss Finance Institute.
2022
- Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022.
"A penalized two-pass regression to predict stock returns with time-varying risk premia,"
Papers
2208.00972, arXiv.org.
- Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Journal of Econometrics, Elsevier, vol. 237(2).
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
- Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022.
"Eigenvalue tests for the number of latent factors in short panels,"
Papers
2210.16042, arXiv.org.
- Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
- Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022.
"Non-Standard Errors,"
Swiss Finance Institute Research Paper Series
22-09, Swiss Finance Institute.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian Brownlees & Javier Gil-Bazo, 2021. "Non-Standard Errors," Working Papers 1303, Barcelona School of Economics.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," IWH Discussion Papers 11/2021, Halle Institute for Economic Research (IWH).
- Albert J. et al. Menkveld, 2021. "Non-Standard Errors," CESifo Working Paper Series 9453, CESifo.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Post-Print halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Cambridge Working Papers in Economics 2182, Faculty of Economics, University of Cambridge.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-standard errors," SAFE Working Paper Series 327, Leibniz Institute for Financial Research SAFE.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
- Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021. "Non-Standard Errors," CEPR Discussion Papers 16751, C.E.P.R. Discussion Papers.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-DÃaz & Menachem Abudy & To, 2021. "Non-Standard Errors," Working Paper Series, Social and Economic Sciences 2021-11, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021. "Non-standard errors," Economics Working Papers 1807, Department of Economics and Business, Universitat Pompeu Fabra.
- Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021. "Non-Standard Errors," Working Papers 2021:17, Lund University, Department of Economics.
- Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Frömmel & et al, 2021. "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 21/1032, Ghent University, Faculty of Economics and Business Administration.
- Ferrara, Gerardo & Jurkatis, Simon, 2021. "Non-standard errors," Bank of England working papers 955, Bank of England.
- Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021. "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03500882, HAL.
- Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021. "Non-Standard Errors," Janeway Institute Working Papers 2112, Faculty of Economics, University of Cambridge.
- Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021. "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne 21033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Leonie Bräuer & Harald Hau, 2022.
"Can Time-Varying Currency Risk Hedging Explain Exchange Rates?,"
CESifo Working Paper Series
10065, CESifo.
- Leonie Bräuer & Harald Hau, 2022. "Can Time-Varying Currency Risk Hedging Explain Exchange Rates?," Swiss Finance Institute Research Paper Series 22-77, Swiss Finance Institute.
- Heng Geng & Harald Hau & Roni Michaely & Binh Nguyen, 2022. "Do Institutional Directors Matter?," Swiss Finance Institute Research Paper Series 22-89, Swiss Finance Institute.
- Tony Berrada & Leonie Engelhardt & Rajna Gibson & Philipp Krueger, 2022. "The Economics of Sustainability Linked Bonds," Swiss Finance Institute Research Paper Series 22-26, Swiss Finance Institute.
- Jan Muckenhaupt & Martin Hoesli & Bing Zhu, 2022. "Tenant Industry Sector and European Listed Real Estate Performance," Swiss Finance Institute Research Paper Series 22-08, Swiss Finance Institute.
- Rajna Gibson & Martin Hoesli & Jiajun Shan, 2022. "The Valuation of Illiquid Assets: A Focus on Private Equity and Real Estate," Swiss Finance Institute Research Paper Series 22-12, Swiss Finance Institute.
2021
- Gaetan Bakalli & Davide Cucci & Ahmed Radi & Naser El-Sheimy & Roberto Molinari & O. Scaillet & Stéphane Guerrier, 2021. "Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration," Swiss Finance Institute Research Paper Series 21-70, Swiss Finance Institute.
- Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021.
"Skill, scale, and value creation in the mutual fund industry,"
Working Papers
unige:150822, University of Geneva, Geneva School of Economics and Management.
- Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
- Tony Berrada, 2021. "Can the variance after-effect distort stock returns?," Swiss Finance Institute Research Paper Series 21-16, Swiss Finance Institute.
- Heng Geng & Harald Hau & Roni Michaely & Binh Nguyen, 2021. "The Effect of Board Overlap on Firm Behavior," Swiss Finance Institute Research Paper Series 21-40, Swiss Finance Institute.
- Harald Hau & Yi Huang & Hongzhe Shan & Zixia Sheng, 2021. "FinTech Credit and Entrepreneurial Growth," Swiss Finance Institute Research Paper Series 21-47, Swiss Finance Institute.
- Heng Geng & Harald Hau & Roni Michaely & Binh Nguyen, 2021. "Does Board Overlap Promote Coordination Between Firms?," Swiss Finance Institute Research Paper Series 21-79, Swiss Finance Institute.
- Philipp Krueger & Daniel Metzger & Jiaxin Wu, 2021. "The Sustainability Wage Gap," Swiss Finance Institute Research Paper Series 21-17, Swiss Finance Institute.
- Philipp Krueger & Zacharias Sautner & Dragon Yongjun Tang & Rui Zhong, 2021. "The Effects of Mandatory ESG Disclosure Around the World," Swiss Finance Institute Research Paper Series 21-44, Swiss Finance Institute.
- François Derrien & Philipp Krueger & Augustin Landier & Tianhao Yao, 2021. "How Do ESG Incidents Affect Firm Value?," Swiss Finance Institute Research Paper Series 21-84, Swiss Finance Institute.
- François Derrien & Philipp Krueger & Augustin Landier & Tianhao Yao, 2021. "ESG News, Future Cash Flows, and Firm Value," Working Papers hal-03857579, HAL.
- Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Scognamiglio, 2021. "Structured Additive Regression and Tree Boosting," Swiss Finance Institute Research Paper Series 21-83, Swiss Finance Institute.
- Louis Johner & Martin Hoesli, 2021. "Real Estate Portfolio Diversification across U.S. Gateway and Non-Gateway Markets," ERES eres2021_214, European Real Estate Society (ERES).
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2021. "Revisiting metropolitan house price-income relationships," Swiss Finance Institute Research Paper Series 21-32, Swiss Finance Institute.
- Martin Hoesli & Louis Johner, 2021. "Portfolio Diversification across U.S. Gateway and Non-Gateway Real Estate Markets," Swiss Finance Institute Research Paper Series 21-89, Swiss Finance Institute.
- Graeme Newell & Jufri Marzuki & Martin Hoesli & Rose Neng Lai, 2021.
"The Performance of Non-Listed Opportunity Real Estate Funds in China,"
Swiss Finance Institute Research Paper Series
21-27, Swiss Finance Institute.
- Graeme Newell & Muhammad Jufri Marzuki & Martin Hoesli & Rose Neng Lai, 2023. "The performance of non-listed opportunity real estate funds in China," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 41(6), pages 583-600, February.
- Steven C. Bourassa & Martijn Dröes & Martin Hoesli, 2021. "Hedonic Models and Market Segmentation," Swiss Finance Institute Research Paper Series 21-62, Swiss Finance Institute.
- Martin Hoesli & Richard Malle, 2021. "Commercial Real Estate Prices and Covid-19," Swiss Finance Institute Research Paper Series 21-08, Swiss Finance Institute.
2020
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020.
"A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data,"
Papers
2001.04867, arXiv.org, revised Jan 2022.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet, 2020.
"Saddlepoint approximations for spatial panel data models,"
Papers
2001.10377, arXiv.org, revised Jul 2021.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet, 2023. "Saddlepoint Approximations for Spatial Panel Data Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(542), pages 1164-1175, April.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & O. Scaillet, 2019. "Saddlepoint Approximations for Spatial Panel Data Models," Swiss Finance Institute Research Paper Series 19-18, Swiss Finance Institute, revised Mar 2019.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020.
"Spanning analysis of stock market anomalies under Prospect Stochastic Dominance,"
Papers
2004.02670, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Swiss Finance Institute Research Paper Series 20-18, Swiss Finance Institute.
- Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
- Chenxu Li & O. Scaillet & Yiwen Shen, 2020.
"Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets,"
Swiss Finance Institute Research Paper Series
20-22, Swiss Finance Institute.
- Li, Chenxu & Scaillet, Olivier & Shen, Yiwen, 2020. "Decomposition of optimal dynamic portfolio choice with wealth-dependent utilities in incomplete markets," Working Papers unige:138414, University of Geneva, Geneva School of Economics and Management.
- Roberto Molinari & Gaetan Bakalli & Stéphane Guerrier & Cesare Miglioli & Samuel Orso & O. Scaillet, 2020. "Swag: A Wrapper Method for Sparse Learning," Swiss Finance Institute Research Paper Series 20-49, Swiss Finance Institute.
- David Ardia & Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2020. "Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified," Swiss Finance Institute Research Paper Series 20-82, Swiss Finance Institute, revised May 2023.
- Rajna Gibson & Simon Glossner & Philipp Krueger & Pedro Matos & Tom Steffen, 2020. "Responsible Institutional Investing Around the World," Swiss Finance Institute Research Paper Series 20-13, Swiss Finance Institute.
- John V. Duca & Martin Hoesli & Joaquim Montezuma, 2020. "The Resilience and Realignment of House Prices in the Era of Covid-19," Swiss Finance Institute Research Paper Series 20-121, Swiss Finance Institute.
- Martin Hoesli, 2020. "An Investigation of the Synchronization in Global House Prices," Swiss Finance Institute Research Paper Series 20-06, Swiss Finance Institute.
2019
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2019.
"Estimation of Large Dimensional Conditional Factor Models in Finance,"
Swiss Finance Institute Research Paper Series
19-46, Swiss Finance Institute.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "Estimation of large dimensional conditional factor models in finance," Working Papers unige:125031, University of Geneva, Geneva School of Economics and Management.
- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019.
"Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures,"
Swiss Finance Institute Research Paper Series
19-48, Swiss Finance Institute.
- Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
- Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print hal-03526444, HAL.
- Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
- Laurent Barras & O. Scaillet & Russ Wermers, 2019. "Reassessing False Discoveries in Mutual Fund Performance: Skill, Luck, or Lack of Power? A Reply," Swiss Finance Institute Research Paper Series 19-61, Swiss Finance Institute.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet, 2019.
"Bank Bonus Pay as a Risk Sharing Contract,"
CESifo Working Paper Series
7495, CESifo.
- Matthias Efing & Harald Hau & Patrick Kampkktter & Jean-Charles Rochet, 2018. "Bank Bonus Pay as a Risk Sharing Contract," Working Papers hal-01847442, HAL.
- Efing, Matthias & Hau, Harald & Kampkötter, Patrick & Rochet, Jean-Charles, 2018. "Bank Bonus Pay as a Risk Sharing Contract," HEC Research Papers Series 1285, HEC Paris.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet, 2018. "Bank Bonus Pay as a Risk Sharing Contract," Swiss Finance Institute Research Paper Series 18-72, Swiss Finance Institute.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Jean-Charles Rochet, 2023. "Bank Bonus Pay as a Risk Sharing Contract," Post-Print hal-04050667, HAL.
- Harald Hau & Difei Ouyang, 2019. "Local Capital Scarcity and Small Firm Growth: Evidence from Real Estate Booms in China," CESifo Working Paper Series 7928, CESifo.
- Emirhan Ilhan & Philipp Krueger & Zacharias Sautner & Laura T. Starks, 2019. "Institutional Investors’ Views and Preferences on Climate Risk Disclosure," Swiss Finance Institute Research Paper Series 19-66, Swiss Finance Institute.
- Rajna Gibson & Philipp Krueger & Nadine Riand & Peter Steffen Schmidt, 2019. "ESG Rating Disagreement and Stock Returns," Swiss Finance Institute Research Paper Series 19-67, Swiss Finance Institute.
- Jean-Christophe Delfim & Martin Hoesli, 2019.
"Robust Desmoothed Real Estate Returns,"
Swiss Finance Institute Research Paper Series
19-32, Swiss Finance Institute.
- Jean‐Christophe Delfim & Martin Hoesli, 2021. "Robust desmoothed real estate returns," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Real Estate in Mixed-Asset Portfolios for Various Investment Horizons," ERES eres2019_174, European Real Estate Society (ERES).
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Real Estate Performance, the Macroeconomy and Leverage," Swiss Finance Institute Research Paper Series 19-33, Swiss Finance Institute.
- Martijn Droes & Martin Hoesli & Steven C. Bourassa, 2019. "Heterogeneous Households and Market Segmentation in a Hedonic Framework," ERES eres2019_218, European Real Estate Society (ERES).
- Martin Hoesli & Elias Oikarinen, 2019.
"Does listed real estate behave like direct real estate: updated and broader evidence,"
ERES
eres2019_68, European Real Estate Society (ERES).
- Martin Hoesli & Elias Oikarinen, 2021. "Does listed real estate behave like direct real estate? Updated and broader evidence," Applied Economics, Taylor & Francis Journals, vol. 53(26), pages 3023-3042, June.
2018
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018.
"Spanning Tests for Markowitz Stochastic Dominance,"
Papers
1810.10800, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning tests for Markowitz stochastic dominance," Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Ines Chaieb & Hugues Langlois & O. Scaillet, 2018.
"Time-Varying Risk Premia in Large International Equity Markets,"
Swiss Finance Institute Research Paper Series
18-04, Swiss Finance Institute, revised Jun 2018.
- Langlois, Hugues & Chaieb, Ines & Scaillet, O., 2018. "Time-Varying Risk Premia in Large International Equity Markets," HEC Research Papers Series 1250, HEC Paris, revised 29 May 2019.
- Laurent Barras & Patrick Gagliardini & O. Scaillet, 2018.
"The Cross-Sectional Distribution of Fund Skill Measures,"
Swiss Finance Institute Research Paper Series
18-66, Swiss Finance Institute.
- Barras, Laurent & Gagliardini, Patrick & Scaillet, Olivier, 2018. "The Cross-Sectional Distribution of Fund Skill Measures," Working Papers unige:110006, University of Geneva, Geneva School of Economics and Management.
- Nelson Camanho & Harald Hau & Hélène Rey, 2018.
"Global Portfolio Rebalancing and Exchange Rates,"
Swiss Finance Institute Research Paper Series
18-03, Swiss Finance Institute, revised Jun 2018.
- Nelson Camanho & Harald Hau & Hélène Rey, 2022. "Global Portfolio Rebalancing and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5228-5274.
- Rey, Hélène & Camanho, Nelson & Hau, Harald, 2020. "Global Portfolio Rebalancing and Exchange Rates," CEPR Discussion Papers 15617, C.E.P.R. Discussion Papers.
- Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," NBER Working Papers 24320, National Bureau of Economic Research, Inc.
- Harald Hau & Difei Ouyang, 2018. "Capital Scarcity and Industrial Decline: Evidence from 172 Real Estate Booms in China," Swiss Finance Institute Research Paper Series 18-38, Swiss Finance Institute, revised May 2018.
- Harald Hau & Gabriela Hrasko, 2018. "Are CoCo Bonds a Good Substitute for Equity? Evidence from European Banks," Swiss Finance Institute Research Paper Series 18-67, Swiss Finance Institute.
- Matthias Efing & Harald Hau & Patrick Kampkktter & Jean-Charles Rochet & Peter Ebbes & Oded Netzer, 2018. "Using Social Network Activity Data to Identify and Target Job Seekers," Working Papers hal-01933858, HAL.
- Philipp Krueger & Zacharias Sautner & Laura T. Starks, 2018.
"The Importance of Climate Risks for Institutional Investors,"
Swiss Finance Institute Research Paper Series
18-58, Swiss Finance Institute.
- Philipp Krueger & Zacharias Sautner & Laura T Starks, 2020. "The Importance of Climate Risks for Institutional Investors," The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1067-1111.
- Jean-Christophe Delfim & Martin Hoesli, 2018. "Real Estate Risk Factors and Portfolio Allocation," ERES eres2018_124, European Real Estate Society (ERES).
- Jean-Christophe Delfim & Martin Hoesli, 2018. "A Robust Regime-Switching Desmoothing Model," ERES eres2018_123, European Real Estate Society (ERES).
- Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Scognamiglio, 2018. "Different automated valuation modelling techniques evaluated over time," ERES eres2018_40, European Real Estate Society (ERES).
- Michael Mayer & Steven C. Bourassa & Martin Hoesli & Donato Flavio Scognamiglio, 2018. "Estimation and Updating Methods for Hedonic Valuation," Swiss Finance Institute Research Paper Series 18-76, Swiss Finance Institute.
2017
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017.
"High-Frequency Jump Analysis of the Bitcoin Market,"
Papers
1704.08175, arXiv.org, revised Jun 2017.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020. "High-Frequency Jump Analysis of the Bitcoin Market," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
- Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017. "High-frequency jump analysis of the bitcoin market," Working Papers unige:93900, University of Geneva, Geneva School of Economics and Management.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
- Langlois, Hugues & Chaieb, Ines & Errunza, Vihang R., 2017.
"Is Liquidity Risk Priced in Partially Segmented Markets?,"
HEC Research Papers Series
1254, HEC Paris, revised 04 Jun 2018.
- Ines Chaieb & Vihang R. Errunza & Hugues Langlois, 2018. "Is Liquidity Risk Priced in Partially Segmented Markets?," Swiss Finance Institute Research Paper Series 18-05, Swiss Finance Institute, revised Jun 2018.
- Harald Hau & Yi Huang & Gewei Wang, 2017.
"Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy,"
CESifo Working Paper Series
6637, CESifo.
- Harald Hau & Yi Huang & Gewei Wang, 2020. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(6), pages 2639-2671.
- Harald Hau & Yi Huang & Gewei Wang, 2016. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," IHEID Working Papers 08-2016, Economics Section, The Graduate Institute of International Studies.
- Hau, Harald & Huang, Yi & Wang, Gewei, 2016. "Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy," CEPR Discussion Papers 11429, C.E.P.R. Discussion Papers.
- Harald Hau & Yi Huang & Gewei Wang, 2016. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," Swiss Finance Institute Research Paper Series 16-47, Swiss Finance Institute.
- Ernest Dautovic & Harald Hau & Yi Huang, 2017.
"The Consumption Response to Minimum Wages: Evidence from Chinese Households,"
Swiss Finance Institute Research Paper Series
17-01, Swiss Finance Institute.
- Hau, Harald & Dautović, Ernest & Huang, Yi, 2017. "The Consumption Response to Minimum Wages: Evidence from Chinese Households," CEPR Discussion Papers 12057, C.E.P.R. Discussion Papers.
- Dautović, Ernest & Hau, Harald & Huang, Yi, 2019. "Consumption response to minimum wages: evidence from Chinese households," Working Paper Series 2333, European Central Bank.
- Ernest Dautovic & Harald Hau & Yi Huang, 2017. "The Consumption Response to Minimum Wages: Evidence from Chinese Households," IHEID Working Papers 01-2017, Economics Section, The Graduate Institute of International Studies.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Swiss Finance Institute Research Paper Series
17-70, Swiss Finance Institute.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021. "Discriminatory Pricing of Over-the-Counter Derivatives," Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Rajna Gibson & Philipp Krueger, 2017. "The Sustainability Footprint of Institutional Investors," Swiss Finance Institute Research Paper Series 17-05, Swiss Finance Institute.
- Elias Oikarinen & Steven Bourassa & Martin Hoesli & Janne Engblom, 2017.
"Revisiting the House Price-Income Relationship,"
ERES
eres2017_173, European Real Estate Society (ERES).
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017. "Revisiting the House Price-Income Relationship," LARES lares_2017_paper_26, Latin American Real Estate Society (LARES).
- Martin Hoesli & Jean-Christophe Delfim, 2017. "Risk Factors of U.S. Real Estate Investments," ERES eres2017_61, European Real Estate Society (ERES).
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017.
"U.S. Metropolitan House Price Dynamics,"
Swiss Finance Institute Research Paper Series
17-72, Swiss Finance Institute.
- Oikarinen, Elias & Bourassa, Steven C. & Hoesli, Martin & Engblom, Janne, 2018. "U.S. metropolitan house price dynamics," Journal of Urban Economics, Elsevier, vol. 105(C), pages 54-69.
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017. "U.S. Metropolitan House Price Dynamics," LARES lares_2017_paper_25, Latin American Real Estate Society (LARES).
2016
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016.
"Early exercise decision in American options with dividends, stochastic volatility and jumps,"
Papers
1612.03031, arXiv.org.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"A diagnostic criterion for approximate factor structure,"
Papers
1612.04990, arXiv.org, revised Aug 2017.
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019. "A diagnostic criterion for approximate factor structure," Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2016.
"Predictability Hidden by Anomalous Observations,"
Papers
1612.05072, arXiv.org.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2018. "Predictability Hidden by Anomalous Observations," School of Economics Discussion Papers 0418, School of Economics, University of Surrey.
- Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
- Olivier Scaillet, 2016.
"On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints,"
Swiss Finance Institute Research Paper Series
16-06, Swiss Finance Institute.
- Olivier Scaillet, 2016. "On ill‐posedness of nonparametric instrumental variable regression with convexity constraints," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 232-236, June.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016.
"Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy,"
Swiss Finance Institute Research Paper Series
16-41, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
- Ines Chaieb & Vihang R. Errunza & Rajna Gibson, 2016. "How Does Sovereign Bond Market Integration Relate to Fundamentals and CDS Spreads?," Swiss Finance Institute Research Paper Series 16-52, Swiss Finance Institute.
- Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016.
"Sticky Expectations and the Profitability Anomaly,"
Swiss Finance Institute Research Paper Series
16-60, Swiss Finance Institute.
- Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019. "Sticky Expectations and the Profitability Anomaly," Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
- Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
- Thesmar , David & Bouchaud, Jean-Philippe & Krueger , Philipp & Landier , Augustin, 2016.
"Sticky Expectations and Stock Market Anomalies,"
HEC Research Papers Series
1136, HEC Paris.
- Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and Stock Market Anomalies," Working Papers hal-01993418, HAL.
- Elias Oikarinen & Steven Bourassa & Martin Hoesli & Janne Engblom, 2016. "U.S. Metropolitan Area House Price Dynamics," ERES eres2016_143, European Real Estate Society (ERES).
- Martin Hoesli & Stanimira Milcheva & Alex Moss, 2016. "Real Estate Company Reactions to Financial Market Regulation," Swiss Finance Institute Research Paper Series 16-20, Swiss Finance Institute.
- Jean-Christophe Delfim & Martin Hoesli, 2016.
"Risk Factors of European Non-Listed Real Estate Fund Returns,"
Swiss Finance Institute Research Paper Series
16-37, Swiss Finance Institute.
- Jean-Christophe Delfim & Martin Hoesli, 2016. "Risk factors of European non-listed real estate fund returns," Journal of Property Research, Taylor & Francis Journals, vol. 33(3), pages 190-213, July.
- Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016.
"Measuring House Price Bubbles,"
Swiss Finance Institute Research Paper Series
16-01, Swiss Finance Institute.
- Steven C. Bourassa & Martin Hoesli & Elias Oikarinen, 2019. "Measuring House Price Bubbles," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(2), pages 534-563, June.
- Steven C. Bourassa & Martin Hoesli, 2016.
"High Frequency House Price Indexes with Scarce Data,"
Swiss Finance Institute Research Paper Series
16-45, Swiss Finance Institute, revised Aug 2016.
- Hoesli, Martin E. & Bourassa, Steven, 2016. "High Frequency House Price Indexes with Scarce Data," Working Papers unige:84700, University of Geneva, Geneva School of Economics and Management.
- Steven C. Bourassa & Martin Hoesli, 2016. "High Frequency House Price Indexes with Scarce Data," Swiss Finance Institute Research Paper Series 16-27, Swiss Finance Institute.
- Martin Hoesli, 2016. "Real Estate Research in Europe," Swiss Finance Institute Research Paper Series 16-40, Swiss Finance Institute.
- Jean-Christophe Delfim & Martin Hoesli, 2016. "European non-listed real estate fund risk factors," ERES eres2016_310, European Real Estate Society (ERES).
2015
- Peter H. GRUBER & Claudio TEBALDI & Fabio TROJANI, 2015. "The Price of the Smile and Variance Risk Premia," Swiss Finance Institute Research Paper Series 15-36, Swiss Finance Institute.
- Paul Schneider & Fabio Trojani, 2015. "Divergence and the Price of Uncertainty," Swiss Finance Institute Research Paper Series 15-60, Swiss Finance Institute.
- Heng GENG & Harald HAU & Sandy LAI, 2015.
"Technological Progress and Ownership Structure,"
Swiss Finance Institute Research Paper Series
15-39, Swiss Finance Institute.
- Hau, Harald & Lai, Sandy & Geng, Heng, 2016. "Technological Progress and Ownership Structure," CEPR Discussion Papers 11064, C.E.P.R. Discussion Papers.
- Philipp KRÜGER, 2015. "Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment," Swiss Finance Institute Research Paper Series 15-40, Swiss Finance Institute.
- Matthias EFING & Rüdiger FAHLENBRACH & Christoph HERPFER & Philipp KRÜGER, 2015. "How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?," Swiss Finance Institute Research Paper Series 15-65, Swiss Finance Institute, revised Jan 2016.
- Steven C. BOURASSA & Donald R. HAURIN & Martin HOESLI, 2015.
"What Affects Children's Outcomes: House Characteristics or Homeownership?,"
Swiss Finance Institute Research Paper Series
15-42, Swiss Finance Institute.
- Steven C. Bourassa & Donald R. Haurin & Martin Hoesli, 2016. "What affects children’s outcomes: house characteristics or homeownership?," Housing Studies, Taylor & Francis Journals, vol. 31(4), pages 427-444, June.
2014
- Ines CHAIEB & Vihang ERRUNZA & Rajna GIBSON BRANDON, 2014. "Integration of Sovereign Bonds Markets: Time Variation and Maturity Effects," Swiss Finance Institute Research Paper Series 14-47, Swiss Finance Institute.
- Ines CHAIEB & Vihang ERRUNZA, 2014. "Exchange Risk and Market Integration," Swiss Finance Institute Research Paper Series 14-10, Swiss Finance Institute.
- Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014.
"Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks,"
CESifo Working Paper Series
4984, CESifo.
- Efing, Matthias & Hau, Harald & Kampkötter, Patrick & Steinbrecher, Johannes, 2015. "Incentive pay and bank risk-taking: Evidence from Austrian, German, and Swiss banks," Journal of International Economics, Elsevier, vol. 96(S1), pages 123-140.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
- Hau, Harald & Steinbrecher, Johannes & Kampkötter, Patrick & Efing, Matthias, 2014. "Incentive Pay and Bank Risk-Taking:Evidence from Austrian, German, and Swiss Banks," CEPR Discussion Papers 10217, C.E.P.R. Discussion Papers.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," NBER Working Papers 20468, National Bureau of Economic Research, Inc.
- Matthias EFING & Harald HAU & Patrick KAMPKÖTTER & Johannes STEINBRECHER, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," Swiss Finance Institute Research Paper Series 14-55, Swiss Finance Institute, revised Dec 2014.
- Harald Hau & Sandy Lai, 2014.
"Asset Allocation and Monetary Policy: Evidence from the Eurozone,"
CESifo Working Paper Series
5005, CESifo.
- Hau, Harald & Lai, Sandy, 2016. "Asset allocation and monetary policy: Evidence from the eurozone," Journal of Financial Economics, Elsevier, vol. 120(2), pages 309-329.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Working Papers 222013, Hong Kong Institute for Monetary Research.
- Hau, Harald & Lai, Sandy, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CEPR Discussion Papers 9581, C.E.P.R. Discussion Papers.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Swiss Finance Institute Research Paper Series 13-39, Swiss Finance Institute, revised Dec 2018.
- Alain Chaney & Martin Hoesli, 2014. "Multifamiliy Asset and Space Markets and Linkages with the Economy," ERES eres2014_71, European Real Estate Society (ERES).
- Martin HOESLI & Anjeza KADILLI & Kustrim REKA, 2014.
"Commonality in Liquidity and Real Estate Securities,"
Swiss Finance Institute Research Paper Series
14-30, Swiss Finance Institute.
- Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017. "Commonality in Liquidity and Real Estate Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 65-105, July.
- Martin HOESLI & Alain CHANEY, 2014.
"Multifamily Residential Asset and Space Markets and Linkages with the Economy,"
Swiss Finance Institute Research Paper Series
14-32, Swiss Finance Institute.
- Alain Chaney & Martin Hoesli, 2015. "Multifamily residential asset and space markets and linkages with the economy," Journal of Property Research, Taylor & Francis Journals, vol. 32(1), pages 50-76, March.
2013
- Tony Berrada & Jerome Detemple & Marcel Rindisbacher, 2013. "Asset Pricing with Regime-Dependent Preferences and Learning," Swiss Finance Institute Research Paper Series 13-44, Swiss Finance Institute, revised Oct 2013.
- Matthias Efing & Harald Hau, 2013.
"Structured Debt Ratings: Evidence on Conflicts of Interest,"
Swiss Finance Institute Research Paper Series
13-21, Swiss Finance Institute.
- Efing, Matthias & Hau, Harald, 2015. "Structured debt ratings: Evidence on conflicts of interest," Journal of Financial Economics, Elsevier, vol. 116(1), pages 46-60.
- Hau, Harald & Efing, Matthias, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," CEPR Discussion Papers 9465, C.E.P.R. Discussion Papers.
- Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2013.
"Robust Hedonic Price Indexes,"
Swiss Finance Institute Research Paper Series
13-49, Swiss Finance Institute.
- Steven C Bourassa & Eva Cantoni & Martin Hoesli, 2016. "Robust hedonic price indexes," International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 9(1), pages 47-65, March.
- Martin Hoesli & Elias Oikarinen, 2013. "Are Public and Private Asset Returns and Risks the Same? Evidence from Real Estate Data," Swiss Finance Institute Research Paper Series 13-56, Swiss Finance Institute, revised Jan 2015.
- Martin Hoesli & Reka Kustrim, 2013.
"Contagion Channels between Real Estate and Financial Markets,"
Swiss Finance Institute Research Paper Series
13-12, Swiss Finance Institute.
- Martin Hoesli & Kustrim Reka, 2015. "Contagion Channels between Real Estate and Financial Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
2012
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2012.
"Valuing American Options Using Fast Recursive Projections,"
Swiss Finance Institute Research Paper Series
12-26, Swiss Finance Institute.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2015. "Valuing American options using fast recursive projections," DEM Discussion Paper Series 15-20, Department of Economics at the University of Luxembourg.
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2016. "Valuing American options using fast recursive projections," Working Papers unige:82087, University of Geneva, Geneva School of Economics and Management.
- Cosma, Antonio & Galluccio, Stefano & Scaillet, Olivier, 2012. "Valuing American options using fast recursive projections," Working Papers unige:41856, University of Geneva, Geneva School of Economics and Management.
- Ilaria Piatti & Fabio Trojani, 2012.
"Dividend Growth Predictability and the Price-Dividend Ratio,"
Swiss Finance Institute Research Paper Series
12-42, Swiss Finance Institute.
- Ilaria Piatti & Fabio Trojani, 2020. "Dividend Growth Predictability and the Price–Dividend Ratio," Management Science, INFORMS, vol. 66(1), pages 130-158, January.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012.
"Bank ratings-What determines their quality?,"
Working Papers
12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau, 2012.
"The Exchange Rate Effect of Multi-Currency Risk Arbitrage,"
Swiss Finance Institute Research Paper Series
12-07, Swiss Finance Institute.
- Hau, Harald, 2014. "The exchange rate effect of multi-currency risk arbitrage," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
- Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
- Peter G. Dunne & Harald Hau & Michael Moore, 2012.
"Dealer Intermediation between Markets,"
Swiss Finance Institute Research Paper Series
12-29, Swiss Finance Institute.
- Peter G. Dunne & Harald Hau & Michael J. Moore, 2015. "Dealer Intermediation Between Markets," Journal of the European Economic Association, European Economic Association, vol. 13(5), pages 770-804, October.
- Hau, Harald & Lai, Sandy, 2012.
"Real Effects of Stock Underpricing,"
CEPR Discussion Papers
8820, C.E.P.R. Discussion Papers.
- Hau, Harald & Lai, Sandy, 2013. "Real effects of stock underpricing," Journal of Financial Economics, Elsevier, vol. 108(2), pages 392-408.
- Martin Hoesli & Elias Oikarinen, 2012.
"Are REITs real estate? Evidence from international sector level data,"
ERES
eres2012_232, European Real Estate Society (ERES).
- Hoesli, Martin & Oikarinen, Elias, 2012. "Are REITs real estate? Evidence from international sector level data," Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series 12-15, Swiss Finance Institute.
- Alain Chaney & Martin Hoesli, 2012.
"Transaction-Based and Appraisal-Based Capitalization Rate Determinants,"
Swiss Finance Institute Research Paper Series
12-28, Swiss Finance Institute.
- Alain Chaney & Martin Hoesli, 2015. "Transaction-Based and Appraisal-Based Capitalization Rate Determinants," International Real Estate Review, Global Social Science Institute, vol. 18(1), pages 1-43.
- Steven C. Bourassa & Donald R. Haurin & Patric H. Hendershott & Martin Hoesli, 2012. "Mortgage Interest Deductions and Homeownership: An International Survey," Swiss Finance Institute Research Paper Series 12-06, Swiss Finance Institute.
- Martin Hoesli & Eva Liljeblom & Anders Löflund, 2012.
"The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight,"
Swiss Finance Institute Research Paper Series
12-22, Swiss Finance Institute.
- Martin Hoesli & Eva Liljeblom & Anders Loflund, 2014. "The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight," International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 1-22.
2011
- Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, 2011.
"Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels,"
Swiss Finance Institute Research Paper Series
11-32, Swiss Finance Institute.
- Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015. "Testing for symmetry and conditional symmetry using asymmetric kernels," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
- Pierre BAJGROWICZ & Olivier SCAILLET, 2011. "We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics," Swiss Finance Institute Research Paper Series 11-36, Swiss Finance Institute.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011.
"Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets,"
Swiss Finance Institute Research Paper Series
11-40, Swiss Finance Institute.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, May.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.
- Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
- Ines CHAIEB & Stefano MAZZOTTA, 2011. "The unconditional and conditional exchange rate exposure of U.S. firms," Swiss Finance Institute Research Paper Series 11-15, Swiss Finance Institute.
- Fabio TROJANI & Christian WIEHENKAMP & Jan WRAMPELMEYER, 2011. "Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much," Swiss Finance Institute Research Paper Series 11-33, Swiss Finance Institute.
- Harald HAU & Sandy LAI, 2011.
"The Role of Equity Funds in the Financial Crisis Propagation,"
Swiss Finance Institute Research Paper Series
11-35, Swiss Finance Institute.
- Harald Hau & Sandy Lai, 2017. "The Role of Equity Funds in the Financial Crisis Propagation," Review of Finance, European Finance Association, vol. 21(1), pages 77-108.
- Hau, Harald & Lai, Sandy, 2012. "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers 8819, C.E.P.R. Discussion Papers.
- Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011.
"The WACC Fallacy: The Real Effects of Using a Unique Discount Rate,"
TSE Working Papers
11-222, Toulouse School of Economics (TSE).
- Philipp Krüger & Augustin Landier & David Thesmar, 2015. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Journal of Finance, American Finance Association, vol. 70(3), pages 1253-1285, June.
- David Thesmar & P. Kruger & Augustin Landier, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Post-Print hal-00578326, HAL.
- Steven C. BOURASSA & Donald R. HAURIN & Patric H. HENDERSHOTT & Martin HOESLI, 2011. "Comprehensive model of household tenure choice," Swiss Finance Institute Research Paper Series 11-49, Swiss Finance Institute.
- Martin Hoesli & Kustrim Reka, 2011.
"Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets,"
ERES
eres2011_63, European Real Estate Society (ERES).
- Martin Hoesli & Kustrim Reka, 2013. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
- Martin Hoesli & Elias Oikarinen, 2011. "Are Reits Real Estate? Evidence from Sector Level Data," ERES eres2011_221, European Real Estate Society (ERES).
- Steven C. BOURASSA & Eva CANTONI & Martin HOESLI, 2011.
"Robust Repeat Sales Indexes,"
Swiss Finance Institute Research Paper Series
11-46, Swiss Finance Institute.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2013. "Robust Repeat Sales Indexes," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(3), pages 517-541, September.
2010
- Alain CHANEY & Martin HOESLI, 2010.
"The Interest Rate Sensitivity of Real Estate,"
Swiss Finance Institute Research Paper Series
10-13, Swiss Finance Institute, revised Feb 2010.
- Alain Chaney & Martin Hoesli, 2010. "The interest rate sensitivity of real estate," Journal of Property Research, Taylor & Francis Journals, vol. 27(1), pages 61-85, May.
- Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2010. "Response speeds of direct and securitized real estate to shocks in the fundamentals," Discussion Papers 60, Aboa Centre for Economics.
- Martin HOESLI & Kustrim REKA, 2010. "Volatility Spillovers, Asymmetry and Extreme Events in Securitized Real Estate Returns," Swiss Finance Institute Research Paper Series 10-40, Swiss Finance Institute.
- Bourassa, Steven & Hoesli, Martin & Scognamiglio, Donato, 2010. "Housing finance, prices, and tenure in Switzerland," MPRA Paper 45990, University Library of Munich, Germany.
- Kustrim Reka & Martin Hoesli, 2010. "Analysis Of The Asymmetric Volatility Spillovers In Real Estate Stock Returns," ERES eres2010_056, European Real Estate Society (ERES).
- Camilo SERRANO & Martin HOESLI, 2010. "Housing and its Role in the Household Portfolio in Colombia," Swiss Finance Institute Research Paper Series 10-01, Swiss Finance Institute.
2009
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2009. "Robust Resampling Methods for Time Series," Swiss Finance Institute Research Paper Series 09-38, Swiss Finance Institute.
- Semyon MALAMUD & Fabio TROJANI, 2009. "Variance Covariance Orders and Median Preserving," Swiss Finance Institute Research Paper Series 09-13, Swiss Finance Institute.
- Harald Hau & Marcel Thum, 2009. "Subprime Crisis and Board (In-)Competence: Private vs. Public Banks in Germany," CESifo Working Paper Series 2640, CESifo.
- Elias OIKARINEN & Martin HOESLI & Camilo SERRANO, 2009. "Linkages Between Direct and Securitized Real Estate," Swiss Finance Institute Research Paper Series 09-26, Swiss Finance Institute.
- Camilo SERRANO & Martin HOESLI, 2009.
"Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables,"
Swiss Finance Institute Research Paper Series
09-08, Swiss Finance Institute.
- Camilo Serrano & Martin Hoesli, 2009. "Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables," ERES eres2009_265, European Real Estate Society (ERES).
- Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO, 2009. "The Swiss Housing Market," Swiss Finance Institute Research Paper Series 09-16, Swiss Finance Institute.
- Martin Hoesli & Steven Bourassa & Eva Cantoni, 2009.
"Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods,"
ERES
eres2009_153, European Real Estate Society (ERES).
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2010. "Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods," Journal of Real Estate Research, American Real Estate Society, vol. 32(2), pages 139-160.
- Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2009. "Linkages Between Direct and Indirect Real Estate Returns," ERES eres2009_340, European Real Estate Society (ERES).
- Patricia FRASER & Martin HOESLI & Lynn MCALEVEY, 2009. "House Prices,Disposable Income,and Permanent and Temporary Shocks," Swiss Finance Institute Research Paper Series 09-42, Swiss Finance Institute.
2008
- Victor Chernozhukov & Patrick Gagliardini & Olivier Scaillet, 2008. "Nonparametric Instrumental Variable Estimators of Structural Quantile Effects," Swiss Finance Institute Research Paper Series 08-03, Swiss Finance Institute, revised Aug 2009.
- Pierre Bajgrowicz & Olivier Scaillet, 2008.
"Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs,"
Swiss Finance Institute Research Paper Series
08-05, Swiss Finance Institute, revised Jul 2009.
- Bajgrowicz, Pierre & Scaillet, Olivier, 2012. "Technical trading revisited: False discoveries, persistence tests, and transaction costs," Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2008.
"False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,"
Swiss Finance Institute Research Paper Series
08-18, Swiss Finance Institute.
- Laurent Barras & Olivier Scaillet & Russ Wermers, 2010. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
- Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
- Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB 05-014.RS, ULB -- Universite Libre de Bruxelles.
- Amine LAHIANI & Olivier SCAILLET, 2008.
"Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,"
Swiss Finance Institute Research Paper Series
08-42, Swiss Finance Institute.
- Lahiani, A. & Scaillet, O., 2009. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
- Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2008. "Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data," Swiss Finance Institute Research Paper Series 08-45, Swiss Finance Institute.
- Tony BERRADA & Julien HUGONNIER, 2008.
"Incomplete information, idiosyncratic volatility and stock returns,"
Swiss Finance Institute Research Paper Series
08-23, Swiss Finance Institute.
- Berrada, Tony & Hugonnier, Julien, 2013. "Incomplete information, idiosyncratic volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
- Davide La Vecchia & Fabio Trojani, 2008.
"Infinitesimal Robustness for Diffusions,"
University of St. Gallen Department of Economics working paper series 2008
2008-09, Department of Economics, University of St. Gallen.
- La Vecchia, Davide & Trojani, Fabio, 2010. "Infinitesimal Robustness for Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 703-712.
- Rey, Hélène & Hau, Harald, 2008.
"Home Bias at the Fund Level,"
CEPR Discussion Papers
6721, C.E.P.R. Discussion Papers.
- Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
- Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," NBER Working Papers 14172, National Bureau of Economic Research, Inc.
- Rey, Hélène & Hau, Harald, 2008.
"Global Portfolio Rebalancing Under the Microscope,"
CEPR Discussion Papers
6901, C.E.P.R. Discussion Papers.
- Harald Hau & Hélène Rey, 2008. "Global Portfolio Rebalancing Under the Microscope," NBER Working Papers 14165, National Bureau of Economic Research, Inc.
- Dunne, Peter G & Hau, Harald & Moore, Michael, 2008. "A Tale of Two Platforms: Dealer Intermediation in the European Sovereign Bond Market," CEPR Discussion Papers 6969, C.E.P.R. Discussion Papers.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2008.
"Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions,"
Swiss Finance Institute Research Paper Series
08-01, Swiss Finance Institute.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2008. "Predicting House Prices With Spatial Dependence: Impacts Of Alternative Submarket Definitions," ERES eres2008_111, European Real Estate Society (ERES).
- Camilo SERRANO & Martin HOESLI, 2008. "Global Securitized Real Estate Benchmarks and Performance," Swiss Finance Institute Research Paper Series 08-39, Swiss Finance Institute.
- Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Philippe SORMANI, 2008.
"Constant-Quality House Price Indexes for Switzerland,"
Swiss Finance Institute Research Paper Series
08-10, Swiss Finance Institute.
- Steven C. Bourassa & Martin Hoesli & Donato Scognamiglio & Philippe Sormani, 2008. "Constant-Quality House Price Indexes for Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(IV), pages 561-575, December.
- Camilo Serrano & Martin Hoesli, 2008.
"Are Securitized Real Estate Returns more Predictable than Stock Returns?,"
Swiss Finance Institute Research Paper Series
08-27, Swiss Finance Institute.
- Camilo Serrano & Martin Hoesli, 2010. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
- Camilo Serrano & Martin Hoesli, 2008. "Are Securitized Real Estate Returns More Predictable Than Stock Returns?," ERES eres2008_252, European Real Estate Society (ERES).
2007
- Patrick Gagliardini & Olivier Scaillet, 2007.
"A Specification Test For Nonparametric Instrumental Variable Regression,"
Swiss Finance Institute Research Paper Series
07-13, Swiss Finance Institute.
- Patrick GAGLIARDINI & Olivier SCAILLET, 2017. "A Specification Test for Nonparametric Instrumental Variable Regression," Annals of Economics and Statistics, GENES, issue 128, pages 151-202.
- Bruno Rémillard & Olivier Scaillet, 2007.
"Testing For Equality Between Two Copulas,"
Swiss Finance Institute Research Paper Series
07-24, Swiss Finance Institute.
- Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007.
"Ambiguity Aversion and the Term Structure of Interest Rates,"
University of St. Gallen Department of Economics working paper series 2007
2007-29, Department of Economics, University of St. Gallen.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009. "Ambiguity Aversion and the Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4157-4188, October.
- Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
- Francesco Audrino & Fabio Trojani, 2007.
"Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent,"
University of St. Gallen Department of Economics working paper series 2007
2007-24, Department of Economics, University of St. Gallen.
- Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall.
- Loriano Mancini & Fabio Trojani, 2007.
"Robust Value at Risk Prediction,"
University of St. Gallen Department of Economics working paper series 2007
2007-36, Department of Economics, University of St. Gallen.
- Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
- Hau, Harald, 2007. "A Generalized Portfolio Approach to Limited Risk Arbitrage: Evidence from the MSCI Global Index Change," CEPR Discussion Papers 6094, C.E.P.R. Discussion Papers.
- Steven C. Bourassa & Martin Hoesli, 2007.
"Why Do the Swiss Rent?,"
Swiss Finance Institute Research Paper Series
07-04, Swiss Finance Institute.
- Steven Bourassa & Martin Hoesli, 2010. "Why Do the Swiss Rent?," The Journal of Real Estate Finance and Economics, Springer, vol. 40(3), pages 286-309, April.
- Steven Bourassa & Martin Hoesli, 2007. "Why Do Swiss Rent?," ERES eres2007_166, European Real Estate Society (ERES).
- Camilo Serrano & Martin Hoesli, 2007. "Forecasting EREIT Returns," Swiss Finance Institute Research Paper Series 07-35, Swiss Finance Institute.
2006
- Alexey Medvedev & Olivier Scaillet, 2006.
"Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility,"
Swiss Finance Institute Research Paper Series
06-08, Swiss Finance Institute.
- Alexey Medvedev & Olivier Scaillet, 2007. "Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 427-459.
- P. Gagliardini & O. Scaillet, 2006. "Tikhonov Regularization for Functional Minimum Distance Estimators," Swiss Finance Institute Research Paper Series 06-30, Swiss Finance Institute, revised Nov 2006.
- J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet, 2006.
"Local Transformation Kernel Density Estimation of Loss Distributions,"
Swiss Finance Institute Research Paper Series
06-32, Swiss Finance Institute, revised Jun 2007.
- Gustafsson, J. & Hagmann, M. & Nielsen, J. P. & Scaillet, O., 2009. "Local Transformation Kernel Density Estimation of Loss Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 161-175.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006.
"Robust Subsampling,"
Swiss Finance Institute Research Paper Series
06-33, Swiss Finance Institute.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
- Tony Berrada, 2006. "Bounded Rationality and Asset Pricing," Swiss Finance Institute Research Paper Series 06-07, Swiss Finance Institute.
- Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006. "The Inflation Hedging Characteristics of US and UK Investments: A Multifactor Error Correction Approach," Swiss Finance Institute Research Paper Series 06-04, Swiss Finance Institute.
- Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2006. "The Inflation Hedging Characteristics of US and UK Investments:Â A Multi-Factor Error Correction Approach," Real Estate & Planning Working Papers rep-wp2006-01, Henley Business School, University of Reading.
- Patricia Fraser & Martin Hoesli & Lynn Mc Alevey, 2006.
"House Prices and Bubbles in New Zealand,"
Swiss Finance Institute Research Paper Series
06-20, Swiss Finance Institute.
- Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008. "House Prices and Bubbles in New Zealand," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 71-91, July.
2005
- S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005.
"Theory and Calibration of Swap Market Models,"
FAME Research Paper Series
rp107, International Center for Financial Asset Management and Engineering.
- S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet, 2007. "Theory And Calibration Of Swap Market Models," Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 111-141, January.
- Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
- Michel Denuit & Anne-Cécile Goderniaux & Olivier Scaillet, 2005. "A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives," FAME Research Paper Series rp143, International Center for Financial Asset Management and Engineering.
- Antonio Cosma & Olivier Scaillet & Rainer von Sachs, 2005. "Multiariate Wavelet-based sahpe preserving estimation for dependant observation," FAME Research Paper Series rp144, International Center for Financial Asset Management and Engineering.
- Olivier Scaillet, 2005.
"Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters,"
FAME Research Paper Series
rp145, International Center for Financial Asset Management and Engineering.
- Scaillet, Olivier, 2007. "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
- Olivier Scaillet & Nikolas Topaloglou, 2005.
"Testing for Stochastic Dominance Efficiency,"
FAME Research Paper Series
rp154, International Center for Financial Asset Management and Engineering.
- Scaillet, Olivier & Topaloglou, Nikolas, 2010. "Testing for Stochastic Dominance Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 169-180.
- Nikolas Topaloglou & Olivier Scaillet & University of Geneva, 2006. "Testing foe Stochastic Dominance Efficiency," Computing in Economics and Finance 2006 74, Society for Computational Economics.
- Philippe HUBER & Olivier SCAILLET & Maria-Pia VICTORIA-FESER, 2005. "A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements," FAME Research Paper Series rp159, International Center for Financial Asset Management and Engineering.
- Tony Berrada & Julien Hugonnier & Marcel Rindisbacher, 2005. "Trading Volumes in Dynamically Efficient Markets," FAME Research Paper Series rp139, International Center for Financial Asset Management and Engineering.
- Fabio Trojani & Markus Leippold & Paolo Vanini, 2005.
"Learning and Asset Prices under Ambiguous Information,"
University of St. Gallen Department of Economics working paper series 2005
2005-03, Department of Economics, University of St. Gallen.
- Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
- Fabio Trojani & Francesco Audrino, 2005.
"A general multivariate threshold GARCH model with dynamic conditional correlations,"
University of St. Gallen Department of Economics working paper series 2005
2005-04, Department of Economics, University of St. Gallen.
- Audrino, Francesco & Trojani, Fabio, 2011. "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 138-149.
- Francesco Audrino & Fabio Trojani, 2011. "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 138-149, January.
- Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen.
- Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005.
"Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models,"
University of St. Gallen Department of Economics working paper series 2005
2005-01, Department of Economics, University of St. Gallen.
- Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 628-641, June.
- Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen.
- Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics.
- Massa, Massimo & Hau, Harald & Peress, Joël, 2005.
"Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,"
CEPR Discussion Papers
4862, C.E.P.R. Discussion Papers.
- Harald Hau & Massimo Massa & Joel Peress, 2010. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1681-1717, April.
- Martin Hoesli & Elion Jani & André Bender, 2005.
"Monte Carlo Simulations for Real Estate Valuation,"
FAME Research Paper Series
rp148, International Center for Financial Asset Management and Engineering.
- Elion Jani & Martin Hoesli & André Bender, 2005. "Monte Carlo Simulations for Real Estate Valuation," ERES eres2005_212, European Real Estate Society (ERES).
- Angela Black & Patricia Fraser & Martin Hoesli, 2005. "House Prices, Fundamentals and Inflation," FAME Research Paper Series rp129, International Center for Financial Asset Management and Engineering.
- Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN, 2005.
"House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics,"
FAME Research Paper Series
rp160, International Center for Financial Asset Management and Engineering.
- Steven C. Bourassa & Donald R. Haurin & Jessica L. Haurin & Martin Hoesli & Jian Sun, 2009. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 259-278, June.
- Steven Bourassa & Donald Haurin & Jessica Haurin & Martin Hoesli & Jian Sun, 2007. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Working Papers 07-03, Ohio State University, Department of Economics.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2005. "Spatial Dependence, Housing Submarkets, and House Prices," FAME Research Paper Series rp151, International Center for Financial Asset Management and Engineering.
- Martin Hoesli & Jon Lekander, 2005. "Suggested vs. Actual Institutional Allocattion to Real Estate in Europe: A Matter of Size," FAME Research Paper Series rp149, International Center for Financial Asset Management and Engineering.
- Philippe Gaud & Martin HOesli & André Bender, 2005.
"Debt Equity Choice in Europe,"
FAME Research Paper Series
rp152, International Center for Financial Asset Management and Engineering.
- Gaud, Philippe & Hoesli, Martin & Bender, Andre, 2007. "Debt-equity choice in Europe," International Review of Financial Analysis, Elsevier, vol. 16(3), pages 201-222.
- Martin Hoesli & Jon Lekander, 2005. "Suggested vs. Actual Institutional Allocations to Real Estate: A Matter of Size?," ERES eres2005_196, European Real Estate Society (ERES).
2004
- Matthias Hagmann & Olivier Scaillet, 2004.
"Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators,"
Royal Economic Society Annual Conference 2004
25, Royal Economic Society.
- Hagmann, M. & Scaillet, O., 2007. "Local multiplicative bias correction for asymmetric kernel density estimators," Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
- Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering.
- Jean-David FERMANIAN & Olivier SCAILLET, 2004. "Some Statistical Pitfalls In Copula Modeling For Financial Applications," FAME Research Paper Series rp108, International Center for Financial Asset Management and Engineering.
- Olivier SCAILLET, 2004. "Nonparametric Estimation of Conditional Expected Shortfall," FAME Research Paper Series rp112, International Center for Financial Asset Management and Engineering.
- Alexey MEDVEDEV & Olivier SCAILLET, 2004. "A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics," FAME Research Paper Series rp93, International Center for Financial Asset Management and Engineering.
- Rey, Hélène & Hau, Harald, 2004.
"Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows and Exchange Rates?,"
CEPR Discussion Papers
4517, C.E.P.R. Discussion Papers.
- Harald Hau & Hélène Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
- Harald Hau & Helene Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," NBER Working Papers 10476, National Bureau of Economic Research, Inc.
- Dunne, Peter G & Hau, Harald & Moore, Michael, 2004. "Macroeconomic Order Flows: Explaining Equity and Exchange Rate Returns," CEPR Discussion Papers 4806, C.E.P.R. Discussion Papers.
- Helene Rey (Princeton) & Harald Hau (INSEAD), 2004. "Exchange rates, equity returns and capital flows," Econometric Society 2004 North American Winter Meetings 623, Econometric Society.
- Séverine CAUCHIE & Martin HOESLI, 2004.
"The Integration of Securitized Real Estate and Financial Assets,"
FAME Research Paper Series
rp111, International Center for Financial Asset Management and Engineering.
- Severine Cauchie & Martin Hoesli, 2004. "The integration of securitized real estate and financial assets," ERES eres2004_574, European Real Estate Society (ERES).
- Philippe GAUD & Martin HOESLI & André BENDER, 2004. "Further Evidence on Debt-Equity Choice," FAME Research Paper Series rp114, International Center for Financial Asset Management and Engineering.
- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004.
"A Simple Alternative House Price Index Method,"
FAME Research Paper Series
rp119, International Center for Financial Asset Management and Engineering.
- Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006. "A simple alternative house price index method," Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
2003
- Jean-David Fermanian & Olivier Scaillet, 2003.
"Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements,"
Working Papers
2003-33, Center for Research in Economics and Statistics.
- Fermanian, Jean-David & Scaillet, Olivier, 2005. "Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
- Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003.
"Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases,"
LIDAM Discussion Papers IRES
2003004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2007. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," Annals of Operations Research, Springer, vol. 152(1), pages 141-165, July.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," THEMA Working Papers 2003-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases," FAME Research Paper Series rp66, International Center for Financial Asset Management and Engineering.
- Olivier Scaillet., 2003.
"Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility,"
THEMA Working Papers
2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Peng Cheng & Olivier Scaillet, 2002. "Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility," FAME Research Paper Series rp67, International Center for Financial Asset Management and Engineering.
- Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
- Jean-David FERMANIAN & Olivier SCAILLET, 2003.
"Nonparametric Estimation of Copulas for Time Series,"
FAME Research Paper Series
rp57, International Center for Financial Asset Management and Engineering.
- Fermanian, Jean-David & Scaillet, Olivier, 2003. "Nonparametric estimation of copulas for time series," Working Papers unige:41797, University of Geneva, Geneva School of Economics and Management.
- Olivier RENAULT & Olivier SCAILLET, 2003.
"On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities,"
FAME Research Paper Series
rp83, International Center for Financial Asset Management and Engineering.
- Renault, Olivier & Scaillet, Olivier, 2004. "On the way to recovery: A nonparametric bias free estimation of recovery rate densities," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December.
- Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements," FAME Research Paper Series rp89, International Center for Financial Asset Management and Engineering.
- Rey, Hélène & Hau, Harald, 2003.
"Exchange Rates, Equity Prices and Capital Flows,"
CEPR Discussion Papers
3735, C.E.P.R. Discussion Papers.
- Harald Hau & Hélène Rey, 2006. "Exchange Rates, Equity Prices, and Capital Flows," The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
- Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
- Foort HAMELINK & Martin HOESLI, 2003.
"Maximum Drawdown and the Allocation to Real Estate,"
FAME Research Paper Series
rp87, International Center for Financial Asset Management and Engineering.
- Foort Hamelink & Martin Hoesli, 2004. "Maximum drawdown and the allocation to real estate," Journal of Property Research, Taylor & Francis Journals, vol. 21(1), pages 5-29, January.
- Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2003.
"International Evidence on Real Estate as a Portfolio Diversifier,"
FAME Research Paper Series
rp70, International Center for Financial Asset Management and Engineering.
- Witold Witkiewicz & Hoesli Martin & Lekander Jon, 2003. "International Evidence on Real Estate as a Portfolio Diversifier," ERES eres2003_295, European Real Estate Society (ERES).
- Steven C. BOURASSA & Martin HOESLI & Jian SUN, 2003. "The Price of Aesthetic Externalities," FAME Research Paper Series rp98, International Center for Financial Asset Management and Engineering.
- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2003.
"What’s in a View?,"
FAME Research Paper Series
rp79, International Center for Financial Asset Management and Engineering.
- Steven C Bourassa & Martin Hoesli & Jian Sun, 2004. "What's in a View?," Environment and Planning A, , vol. 36(8), pages 1427-1450, August.
- Steven Bourassa & Hoesli Martin & Sun Jian, 2003. "Whatís in a View?," ERES eres2003_124, European Real Estate Society (ERES).
- Åke GUNNELIN & Patric H. HENDERSHOTT & Martin HOESLI & Bo SÖDERBERG, 2003.
"Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates,"
FAME Research Paper Series
rp90, International Center for Financial Asset Management and Engineering.
- Åke Gunnelin & Patric H. Hendershott & Martin Hoesli & Bo Söderberg, 2004. "Determinants of Cross‐Sectional Variation in Discount Rates, Growth Rates and Exit Cap Rates," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 217-237, June.
- Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003.
"The Determinants of Stock Returns in a Small Open Economy,"
FAME Research Paper Series
rp54, International Center for Financial Asset Management and Engineering.
- Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
- Philippe Gaud & Elion Jani & Martin Hoesli & André Bender, 2003.
"The capital structure of Swiss companies: an empirical analysis using dynamic panel data,"
FAME Research Paper Series
rp68, International Center for Financial Asset Management and Engineering.
- Philippe Gaud & Elion Jani & Martin Hoesli & André Bender, 2005. "The Capital Structure of Swiss Companies: an Empirical Analysis Using Dynamic Panel Data," European Financial Management, European Financial Management Association, vol. 11(1), pages 51-69, January.
- Martin Hoesli & Hamelink Foort, 2003. "The Maximum drawdown as a Risk Measure: the Role of Real Estate in the Optimal Portfolio," ERES eres2003_172, European Real Estate Society (ERES).
2002
- Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET, 2002.
"Testing for Concordance Ordering,"
FAME Research Paper Series
rp41, International Center for Financial Asset Management and Engineering.
- Cebrián, Ana C. & Denuit, Michel & Scaillet, Olivier, 2004. "Testing for Concordance Ordering," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 151-173, May.
- Michel DENUIT & Olivier SCAILLET, 2002. "Nonparametric Tests Dependence For Positive Quadrant," FAME Research Paper Series rp44, International Center for Financial Asset Management and Engineering.
- Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002.
"A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities,"
FAME Research Paper Series
rp48, International Center for Financial Asset Management and Engineering.
- Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
- Sbuelz, A. & Trojani, F., 2002. "Equilibrium Asset Pricing with Time-Varying Pessimism," Discussion Paper 2002-102, Tilburg University, Center for Economic Research.
- Hau, Harald, 2002.
"The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse,"
CEPR Discussion Papers
3651, C.E.P.R. Discussion Papers.
- Harald Hau, 2006. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
- Englund, Peter & Gunnelin, Åke & Hoesli, Martin & Söderberg, Bo, 2002.
"Implicit Forward Rents as Predictors of Future Rents,"
SIFR Research Report Series
12, Institute for Financial Research.
- Peter Englund & Åke Gunnelin & Martin Hoesli & Bo Söderberg, 2004. "Implicit Forward Rents as Predictors of Future Rents," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 183-215, June.
- Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002. "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series rp59, International Center for Financial Asset Management and Engineering.
- Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG, 2002.
"Do Housing Submarkets Really Matter?,"
FAME Research Paper Series
rp58, International Center for Financial Asset Management and Engineering.
- Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003. "Do housing submarkets really matter?," Journal of Housing Economics, Elsevier, vol. 12(1), pages 12-28, March.
- Hamelink, Foort & Hoesli, Martin, 2002.
"What Factors Determine International Real Estate Security Returns?,"
SIFR Research Report Series
7, Institute for Financial Research.
- Foort Hamelink & Martin Hoesli, 2004. "What Factors Determine International Real Estate Security Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(3), pages 437-462, September.
- Foort Hamelink & Martin Hoesli, 2002. "What Factors Determine International Real Estate Security Returns?," ERES eres2002_196, European Real Estate Society (ERES).
- Foort HAMELINK & Martin HOESLI, 2003. "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series rp50, International Center for Financial Asset Management and Engineering.
- Hamelink, F. & Hoesli, M., 2002. "What factors determine real estate security returns?," Serie Research Memoranda 0017, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
2001
- Han Hong & Olivier Scaillet & Elie Tamer, 2001.
"A Fast Subsampling Method for Nonlinear Dynamic Models,"
Working Papers
2001-39, Center for Research in Economics and Statistics.
- Hong, H. & Scaillet, O., 2006. "A fast subsampling method for nonlinear dynamic models," Journal of Econometrics, Elsevier, vol. 133(2), pages 557-578, August.
- Hong, H. & Scaillet, O. & Tamer, E., 2001. "A fast Subsampling Method for Nonlinear Dynamic Models," Papers 2001.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- DENUIT, Michel & SAILLET, Olivier, 2001. "Nonparametric Tests for Positive Quadrant Dependence," LIDAM Discussion Papers IRES 2001009, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Apr 2001.
- Olivier SCAILLET, 2001.
"Density Estimation Using Inverse and Reciprocal Inverse Guassian Kernels,"
LIDAM Discussion Papers IRES
2001017, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- O. Scaillet, 2001. "Density Estimation Using Inverse and Reciprocal Inverse Gaussian Kernels," THEMA Working Papers 2001-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bender, A. & Hoesli, M., 2001. "Le Benchmarking Immobilier un outil de gestion de performant," Papers 2001.11, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Thion, B. & Favarger, P. & Hoesli, M., 2001.
"Indices des ventes repetees et modification de l'environnement immobilier,"
Papers
2001.02, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Bernard Thion & Philippe Favarger & Martin Hoesli, 2001. "Indices des ventes répétées et modification de l'environnement immobilier," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(5), pages 809-830.
- Din, A. & Hoesli, M. & Bender, A., 2001.
"Environmental Variables and Real Estate Prices,"
Papers
2001.04, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Allan Din & Martin Hoesli & Andre Bender, 2001. "Environmental Variables and Real Estate Prices," Urban Studies, Urban Studies Journal Limited, vol. 38(11), pages 1989-2000, October.
2000
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000.
"Sensitivity Analysis of Values at Risk,"
Working Papers
2000-05, Center for Research in Economics and Statistics.
- Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity analysis of Values at Risk," Post-Print hal-03676327, HAL.
- Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.
- C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," LIDAM Discussion Papers IRES 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 2000.
"An Empirical Investigation in Credit Spread Indices,"
Working Papers
2000-59, Center for Research in Economics and Statistics.
- Olivier Scaillet & Olivier Renault & Jean-Luc Prigent, 2000. "An Empirical Investigation in Credit Spread Indices," FMG Discussion Papers dp363, Financial Markets Group.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 2000. "An Empirical Investigation in Credit Spread Indices," LIDAM Discussion Papers IRES 2000028, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Geert Dhaene & Olivier Scaillet, 2000.
"Reversed Score and Likelihood Ratio Tests,"
Working Papers
2000-60, Center for Research in Economics and Statistics.
- Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," LIDAM Discussion Papers IRES 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Geert Dhaene & Olivier Scaillet, 2000. "Reversed Score and Likelihood Ratio Tests," Econometric Society World Congress 2000 Contributed Papers 1746, Econometric Society.
- J.L. Prigent & O. Scaillet, 2000.
"Weak Convergence of Hedging Strategies of Contingent Claims,"
THEMA Working Papers
2000-50, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Jean-Luc PRIGENT & Olivier SCAILLET, 2002. "Weak Convergence of Hedging Strategies of Contingent Claims," FAME Research Paper Series rp39, International Center for Financial Asset Management and Engineering.
- J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Hau, Harald, 2000.
"Real Exchange Rate Volatility and Economic Openness: Theory and Evidence,"
CEPR Discussion Papers
2356, C.E.P.R. Discussion Papers.
- Hau, Harald, 2002. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-630, August.
- Moore, Michael & Hau, Harald & Killeen, William, 2000. "The Euro as an International Currency: Explaining Puzzling First Evidence," CEPR Discussion Papers 2510, C.E.P.R. Discussion Papers.
- Hoesli, M., 2000. "Role de l'immobilier dans la diversification d'un portefeuille : une analyse de la stabilite des conclusions," Papers 2000.22, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Hamelink, F. & Hoesli, M. & Lizieri, C. & MacGregor, B.D., 2000. "Homogenenous Commercial Property Market Groupings and Portfolio Construction in the UK," Papers 2000.02, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Bender, A. & Hoesli, M. & Gaud, P., 2000. "Fonds de placement immobiliers et societes anonymes d'investissement immobilier Analyse comparative et conditions de developpement," Papers 2000.20, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Fraser, P. & Hamelink, F. & Hoesli, M. & MacGregor, B., 2000.
"Time-Varying Betas and Cross-Sectional Return-Risk Relation: Evidence from the UK,"
Papers
2000.03, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Patricia Fraser & Foort Hamelink & Martin Hoesli & Bryan Macgregor, 2004. "Time-varying betas and the cross-sectional return-risk relation: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 255-276.
- Bernard Thion & Philippe Favarger & Martin Hoesli, 2000. "111 ´ Repeat Sales ª, Indicateurs De Prix Et Modification De Líenvironnement Immobilier," ERES eres2000_111, European Real Estate Society (ERES).
1999
- CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999.
"Bartlett identities tests,"
LIDAM Discussion Papers CORE
1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1999. "Bartlett Identities Tests," Working Papers 99-32, Center for Research in Economics and Statistics.
- Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," LIDAM Discussion Papers IRES 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
- Jean-Paul Laurent & Olivier Scaillet, 1999.
"Variance Optimal Cap Pricing Models,"
Working Papers
99-07, Center for Research in Economics and Statistics.
- Laurent, J.P. & Scaillet, O., 1997. "Variance Optimal Cap Pricing Models," LIDAM Discussion Papers IRES 1999002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 01 Jan 1999.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999.
"Option Pricing with Discrete Rebalancing,"
Working Papers
99-61, Center for Research in Economics and Statistics.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004. "Option pricing with discrete rebalancing," Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering.
- Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, 2004. "Option pricing with discrete rebalancing," Post-Print hal-03679686, HAL.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999.
"An Autoregressive Conditional Binomial Option Pricing Model,"
Working Papers
99-65, Center for Research in Economics and Statistics.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2000. "An auto-regressive conditional binomial option pricing model," LSE Research Online Documents on Economics 119095, London School of Economics and Political Science, LSE Library.
- Olivier Renault & Jean-Luc Prigent & Olivier Scaillet, 2000. "An Autoregressive Conditional Binomial Option Pricing Model," FMG Discussion Papers dp364, Financial Markets Group.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "An autoregressive conditional binomial option pricing model under stochastic rates," THEMA Working Papers 99-40, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Hau, Harald, 1999. "Information and Geography: Evidence from the German Stock Market," CEPR Discussion Papers 2297, C.E.P.R. Discussion Papers.
- Bender, A. & Hoesli, M., 1999. "Indices et evaluation de l'immobilier: developpements recents," Papers 99.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Bender, A. & Din, A. & Hoesli, M. & Brocher, S., 1999. "Environmental Preferences of Homeowners: Further Evidence using the AHP Method," Papers 99.10, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
1998
- Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998.
"Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates,"
Working Papers
98-51, Center for Research in Economics and Statistics.
- O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Finance and Stochastics, Springer, vol. 4(1), pages 81-93.
- J.-P. Lesne & Jean-Luc Prigent & O. Scaillet, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Post-Print hal-03679673, HAL.
- Bender, A. & Din, A. & Hoesli, M. & Laakso, J., 1998. "Environmental Quality Perceptions of Urban Commercial Real Estate," Papers 98.7, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
1997
- Christian Gourieroux & Olivier Scaillet, 1997.
"Multiregime Term Structure Models,"
Working Papers
97-50, Center for Research in Economics and Statistics.
- Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," LIDAM Discussion Papers IRES 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997.
- Anderson, Ronald & Reinard, Davy & Scaillet, Olivier, 1997. "A New Index of Belgian Shares," LIDAM Discussion Papers IRES 1997016, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- J. P. Lesne & J. L. Prigent & O. Scaillet, 1997. "Convergence of discrete time options pricing models under stochastic," THEMA Working Papers 97-34, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Lesne, J.P. & Prigent, J.L. & Scaillet, O., 1997. "Convergence of Discrete Time Options Pricing Models under Stochastic Rates," Papers 9734, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- Christian Gourieroux & Olivier Scaillet & Ariane Szafarz, 1997. "Econométrie de la Finance: approches historiques," ULB Institutional Repository 2013/651, ULB -- Universite Libre de Bruxelles.
- Hoesli, M & MacGregor, B, 1997. "Inflation Hedging Versus Inflation Protection in the US and the UK," Papers 97.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Bourassa, S.C. & Hoesli, M. & Macgregor, R.D., 1997. "Defining Residential Submarkets: Evidence from Sydney and Melbourne," Papers 97.14, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Hoesli, M, 1997. "An Examination of the Role of Geneva and Zurich Housing in Swiss Institutional Portfolios," Papers 97.03, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
1996
- Giliberto, M. & Hamelink, F. & Hoesli, M. & Macgregor, B., 1996. "Optimal Diversification Within Multi-Asset Portfolio Using a Conditional Heteroscedasticity Approach: Evidence from the US and the UK," Papers 96.12, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Hoesli, M. & Favarger, P., 1996.
"Real Estate Price Indices and Performance: The Case of Geneva,"
Papers
96.13, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Martin Hoesli & Philippe Favarger & Carmelo Giaccotto, 1997. "Real Estate Price Indices and Performance: The Case of Geneva," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(I), pages 29-48, March.
- Hoesli, M. & Macgregor, B. & Matysiak, G. & Nanthakumaran, N., 1996.
"The Short Term Inflation Hedging Characteristics of UK Real Estate,"
Papers
96.15, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Hoesli, Martin & MacGregor, Bryan D. & Matysiak, George & Nanthakumaran, Nanda, 1997. "The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 27-57, July.
- Hoesli, M. & Lizieri, C. & Macgregor, B., 1996.
"The Spatial Dimensions of the Investment preformance of UK Commercial Property,"
Papers
96.14, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Martin Hoesli & Colin Lizieri & Bryan MacGregor, 1997. "The Spatial Dimensions of the Investment Performance of UK Commercial Property," Urban Studies, Urban Studies Journal Limited, vol. 34(9), pages 1475-1494, August.
- Bender, A. & Din, A. & Favarger, P. & Hoesli, M. & Laakso, J., 1996.
"An Analysis of Perceptions Concerning the Environmental Quality of Housing in Geneva,"
Papers
96.18, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Andre Bender & Allan Din & Philippe Favarger & Martin Hoesli & Janne Laakso, 1997. "An Analysis of Perceptions Concerning the Environmental Quality of Housing in Geneva," Urban Studies, Urban Studies Journal Limited, vol. 34(3), pages 503-513, March.
- Bender, A.R. & Hoesli, M., 1996. "Analyse de la rentabilite de l'investissement immobilier, comment tirer parti d'une evaluation periodique des biens," Papers 96.19, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- M. Hoesli & G. Matysiak & Bryan D. Macgregor & N. Nanthakumaran, 1996. "Property's Inflation Hedging Characteristics: A Cointegrating Vector Approach," ERES eres1996_146, European Real Estate Society (ERES).
- Martin Hoesli & Bryan D. Macgregor & Colin Lizieri, 1996. "Portfolio Diversification Strategies and Urban Structure: Lessons from Cluster Analytic Procedures," ERES eres1996_100, European Real Estate Society (ERES).
1995
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1995.
"Quasi Indirect Inference for Diffusion Processes,"
LIDAM Discussion Papers CORE
1995005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel, 1998. "Quasi-Indirect Inference For Diffusion Processes," Econometric Theory, Cambridge University Press, vol. 14(2), pages 161-186, April.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1998. "Quasi-indirect inference for diffusion processes," LIDAM Reprints CORE 1327, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Foort Hamelink & Martin Hoesli, 1995. "The Role of Real Estate in the Mixed-Asset Portfolio: A Reexamination using a QTARCh Methodology," ERES eres1995_116, European Real Estate Society (ERES).
- Martin Hoesli & Bryan D. Macgregor & N. Nanthakumaran, 1995. "The Inflation Hedging Characteristics of UK Real Estate (Some Conceptual and Empirical Elaborations)," ERES eres1995_134, European Real Estate Society (ERES).
- Martin Hoesli & J. Laakso & A. Bender & A. Din & P. Favarager, 1995. "An Empirical Study of Perception Concerning Environmental Quality of Real Estate," ERES eres1995_160, European Real Estate Society (ERES).
1994
- BROZE, Laurence & MELARD, Guy & SCAILLET, Olivier, 1994. "Forecast Intervals in ARCH Exponential Smoothing," LIDAM Discussion Papers CORE 1994081, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.
- P. Eichholtz & M. Hoesli & Bryan D. Macgregor & N. Nanthakumaran, 1994. "Real Estate Diversification: by sector or by region," ERES eres1994_108, European Real Estate Society (ERES).
1993
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel, 1993.
"Testing for Continuous-Time Models of the Short-Term Interest Rate,"
LIDAM Discussion Papers CORE
1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
- Broze, L. & Scaillet, O. & Zakoïan, J.-M., 1995. "Testing for continuous-time models of the short-term interest rate," LIDAM Reprints CORE 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Martin Hoesli, 1993.
"International evidence on real estate securities as an inflation hedge,"
ERES
eres1993_108, European Real Estate Society (ERES).
- Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997. "International Evidence on Real Estate Securities as an Inflation Hedge," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221, June.
Journal articles
2023
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023.
"A higher-order correct fast moving-average bootstrap for dependent data,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
- Bakalli, Gaetan & Guerrier, Stéphane & Scaillet, Olivier, 2023.
"A penalized two-pass regression to predict stock returns with time-varying risk premia,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Gaetan Bakalli & St'ephane Guerrier & Olivier Scaillet, 2022. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Papers 2208.00972, arXiv.org.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2021. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Swiss Finance Institute Research Paper Series 21-09, Swiss Finance Institute.
- Gaetan Bakalli & Stéphane Guerrier & Olivier Scaillet, 2023. "A penalized two-pass regression to predict stock returns with time-varying risk premia," Post-Print hal-04325655, HAL.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet, 2023.
"Saddlepoint Approximations for Spatial Panel Data Models,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 118(542), pages 1164-1175, April.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & Olivier Scaillet, 2020. "Saddlepoint approximations for spatial panel data models," Papers 2001.10377, arXiv.org, revised Jul 2021.
- Chaonan Jiang & Davide La Vecchia & Elvezio Ronchetti & O. Scaillet, 2019. "Saddlepoint Approximations for Spatial Panel Data Models," Swiss Finance Institute Research Paper Series 19-18, Swiss Finance Institute, revised Mar 2019.
- Matthias Efing & Rüdiger Fahlenbrach & Christoph Herpfer & Philipp Krueger, 2023. "How Do Investors and Firms React to a Large, Unexpected Currency Appreciation Shock?," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 12(3), pages 488-538.
- Emirhan Ilhan & Philipp Krueger & Zacharias Sautner & Laura T Starks, 2023. "Climate Risk Disclosure and Institutional Investors," The Review of Financial Studies, Society for Financial Studies, vol. 36(7), pages 2617-2650.
2022
- Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022.
"Skill, Scale, and Value Creation in the Mutual Fund Industry,"
Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.
- Barras, Laurent & Scaillet, Olivier & Gagliardini, Patrick, 2021. "Skill, scale, and value creation in the mutual fund industry," Working Papers unige:150822, University of Geneva, Geneva School of Economics and Management.
- Nelson Camanho & Harald Hau & Hélène Rey, 2022.
"Global Portfolio Rebalancing and Exchange Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5228-5274.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," Swiss Finance Institute Research Paper Series 18-03, Swiss Finance Institute, revised Jun 2018.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Rey, Hélène & Camanho, Nelson & Hau, Harald, 2020. "Global Portfolio Rebalancing and Exchange Rates," CEPR Discussion Papers 15617, C.E.P.R. Discussion Papers.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Nelson Camanho & Harald Hau & Hélène Rey, 2018. "Global Portfolio Rebalancing and Exchange Rates," NBER Working Papers 24320, National Bureau of Economic Research, Inc.
- Rajna Gibson Brandon & Simon Glossner & Philipp Krueger & Pedro Matos & Tom Steffen, 2022. "Do Responsible Investors Invest Responsibly? [Why and how investors use ESG information: evidence from a global survey]," Review of Finance, European Finance Association, vol. 26(6), pages 1389-1432.
2021
- Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
- Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021.
"Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures,"
Management Science, INFORMS, vol. 67(9), pages 5730-5754, September.
- Denisa Banulescu-Radu & Christophe Hurlin & Jérémy Leymarie & Olivier Scaillet, 2021. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Post-Print hal-03526444, HAL.
- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & O. Scaillet, 2019. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Swiss Finance Institute Research Paper Series 19-48, Swiss Finance Institute.
- Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
- Denisa Banulescu & Christophe Hurlin & Jeremy Leymarie & Olivier Scaillet, 2020. "Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures," Working Papers halshs-03088668, HAL.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2021.
"Discriminatory Pricing of Over-the-Counter Derivatives,"
Management Science, INFORMS, vol. 67(11), pages 6660-6677, November.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory pricing of over-the-counter derivatives," ESRB Working Paper Series 61, European Systemic Risk Board.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Peter Hoffmann & Sam Langfield & Yannick Timmer, 2017. "Discriminatory Pricing of Over-the-Counter Derivatives," Swiss Finance Institute Research Paper Series 17-70, Swiss Finance Institute.
- Harald Hau & Peter Hoffmann & Sam Langfield & Mr. Yannick Timmer, 2019. "Discriminatory Pricing of Over-the-Counter Derivatives," IMF Working Papers 2019/100, International Monetary Fund.
- Hau, Harald & Hoffmann, Peter & Langfield, Sam & Timmer, Yannick, 2017. "Discriminatory Pricing of Over-The-Counter Derivatives," CEPR Discussion Papers 12525, C.E.P.R. Discussion Papers.
- Timo Busch & Peter Bruce-Clark & Jeroen Derwall & Robert Eccles & Tessa Hebb & Andreas Hoepner & Christian Klein & Philipp Krueger & Falko Paetzold & Bert Scholtens & Olaf Weber, 2021. "Impact investments: a call for (re)orientation," SN Business & Economics, Springer, vol. 1(2), pages 1-13, February.
- Jean‐Christophe Delfim & Martin Hoesli, 2021.
"Robust desmoothed real estate returns,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(1), pages 75-105, March.
- Jean-Christophe Delfim & Martin Hoesli, 2019. "Robust Desmoothed Real Estate Returns," Swiss Finance Institute Research Paper Series 19-32, Swiss Finance Institute.
- Martin Hoesli & Elias Oikarinen, 2021.
"Does listed real estate behave like direct real estate? Updated and broader evidence,"
Applied Economics, Taylor & Francis Journals, vol. 53(26), pages 3023-3042, June.
- Martin Hoesli & Elias Oikarinen, 2019. "Does listed real estate behave like direct real estate: updated and broader evidence," ERES eres2019_68, European Real Estate Society (ERES).
- Steven C Bourassa & Martin Hoesli & Louis Merlin & John Renne, 2021. "Big data, accessibility and urban house prices," Urban Studies, Urban Studies Journal Limited, vol. 58(15), pages 3176-3195, November.
2020
- Cosma, Antonio & Galluccio, Stefano & Pederzoli, Paola & Scaillet, Olivier, 2020.
"Early Exercise Decision in American Options with Dividends, Stochastic Volatility, and Jumps,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 55(1), pages 331-356, February.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & O. Scaillet, 2016. "Early Exercise Decision in American Options with Dividends, Stochastic Volatility and Jumps," Swiss Finance Institute Research Paper Series 16-73, Swiss Finance Institute.
- Antonio Cosma & Stefano Galluccio & Paola Pederzoli & Olivier Scaillet, 2016. "Early exercise decision in American options with dividends, stochastic volatility and jumps," Papers 1612.03031, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020.
"Spanning tests for Markowitz stochastic dominance,"
Journal of Econometrics, Elsevier, vol. 217(2), pages 291-311.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Papers 1810.10800, arXiv.org.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2018. "Spanning tests for markowitz stochastic dominance," Working Papers unige:102836, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2018. "Spanning Tests for Markowitz Stochastic Dominance," Swiss Finance Institute Research Paper Series 18-08, Swiss Finance Institute.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2020.
"High-Frequency Jump Analysis of the Bitcoin Market,"
Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 209-232.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Papers 1704.08175, arXiv.org, revised Jun 2017.
- Scaillet, Olivier & Treccani, Adrien & Trevisan, Christopher, 2017. "High-frequency jump analysis of the bitcoin market," Working Papers unige:93900, University of Geneva, Geneva School of Economics and Management.
- Olivier Scaillet & Adrien Treccani & Christopher Trevisan, 2017. "High-Frequency Jump Analysis of the Bitcoin Market," Swiss Finance Institute Research Paper Series 17-19, Swiss Finance Institute.
- Harald Hau & Yi Huang & Gewei Wang, 2020.
"Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(6), pages 2639-2671.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Yi Huang & Gewei Wang, 2016. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," IHEID Working Papers 08-2016, Economics Section, The Graduate Institute of International Studies.
- Harald Hau & Yi Huang & Gewei Wang, 2017. "Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy," CESifo Working Paper Series 6637, CESifo.
- Hau, Harald & Huang, Yi & Wang, Gewei, 2016. "Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy," CEPR Discussion Papers 11429, C.E.P.R. Discussion Papers.
- Harald Hau & Yi Huang & Gewei Wang, 2016. "Firm Response to Competitive Shocks: Evidence from China’s Minimum Wage Policy," Swiss Finance Institute Research Paper Series 16-47, Swiss Finance Institute.
- Valentin Jouvenot & Philipp Krueger, 2020. "Divulgation des émissions carbone au sein des marchés boursiers européens," Revue d'économie financière, Association d'économie financière, vol. 0(2), pages 157-176.
- Philipp Krueger & Zacharias Sautner & Laura T Starks, 2020.
"The Importance of Climate Risks for Institutional Investors,"
The Review of Financial Studies, Society for Financial Studies, vol. 33(3), pages 1067-1111.
- Philipp Krueger & Zacharias Sautner & Laura T. Starks, 2018. "The Importance of Climate Risks for Institutional Investors," Swiss Finance Institute Research Paper Series 18-58, Swiss Finance Institute.
- Martin Hoesli & Stanimira Milcheva & Alex Moss, 2020. "Is Financial Regulation Good or Bad for Real Estate Companies? – An Event Study," The Journal of Real Estate Finance and Economics, Springer, vol. 61(3), pages 369-407, October.
2019
- Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2019.
"A diagnostic criterion for approximate factor structure,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 503-521.
- Patrick Gagliardini & Elisa Ossola & O. Scaillet, 2016. "A Diagnostic Criterion for Approximate Factor Structure," Swiss Finance Institute Research Paper Series 16-51, Swiss Finance Institute, revised Dec 2016.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org, revised Aug 2017.
- Harald Hau & Yi Huang & Hongzhe Shan & Zixia Sheng, 2019. "How FinTech Enters China's Credit Market," AEA Papers and Proceedings, American Economic Association, vol. 109, pages 60-64, May.
- Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019.
"Sticky Expectations and the Profitability Anomaly,"
Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
- Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
- Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
- Steven C. Bourassa & Martin Hoesli & Elias Oikarinen, 2019.
"Measuring House Price Bubbles,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(2), pages 534-563, June.
- Steven C. BOURASSA & Martin HOESLI & Elias OIKARINEN, 2016. "Measuring House Price Bubbles," Swiss Finance Institute Research Paper Series 16-01, Swiss Finance Institute.
2018
- Berrada, Tony & Detemple, Jérôme & Rindisbacher, Marcel, 2018. "Asset pricing with beliefs-dependent risk aversion and learning," Journal of Financial Economics, Elsevier, vol. 128(3), pages 504-534.
- Oikarinen, Elias & Bourassa, Steven C. & Hoesli, Martin & Engblom, Janne, 2018.
"U.S. metropolitan house price dynamics,"
Journal of Urban Economics, Elsevier, vol. 105(C), pages 54-69.
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017. "U.S. Metropolitan House Price Dynamics," Swiss Finance Institute Research Paper Series 17-72, Swiss Finance Institute.
- Elias Oikarinen & Steven C. Bourassa & Martin Hoesli & Janne Engblom, 2017. "U.S. Metropolitan House Price Dynamics," LARES lares_2017_paper_25, Latin American Real Estate Society (LARES).
2017
- Patrick GAGLIARDINI & Olivier SCAILLET, 2017.
"A Specification Test for Nonparametric Instrumental Variable Regression,"
Annals of Economics and Statistics, GENES, issue 128, pages 151-202.
- Patrick Gagliardini & Olivier Scaillet, 2007. "A Specification Test For Nonparametric Instrumental Variable Regression," Swiss Finance Institute Research Paper Series 07-13, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017.
"Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy,"
Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
- Scaillet, Olivier & Trojani, Fabio & Camponovo, Lorenzo, 2016. "Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Working Papers unige:84999, University of Geneva, Geneva School of Economics and Management.
- Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, 2016. "Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Swiss Finance Institute Research Paper Series 16-41, Swiss Finance Institute.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 505-505.
- Harald Hau & Sandy Lai, 2017.
"Local Asset Price Dynamics and Monetary Policy in the Eurozone,"
ifo DICE Report, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 15(01), pages 14-16, April.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Sandy Lai, 2017.
"The Role of Equity Funds in the Financial Crisis Propagation,"
Review of Finance, European Finance Association, vol. 21(1), pages 77-108.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Harald HAU & Sandy LAI, 2011. "The Role of Equity Funds in the Financial Crisis Propagation," Swiss Finance Institute Research Paper Series 11-35, Swiss Finance Institute.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald & Lai, Sandy, 2012. "The Role of Equity Funds in the Financial Crisis Propagation," CEPR Discussion Papers 8819, C.E.P.R. Discussion Papers.
- Martin Hoesli & Anjeza Kadilli & Kustrim Reka, 2017.
"Commonality in Liquidity and Real Estate Securities,"
The Journal of Real Estate Finance and Economics, Springer, vol. 55(1), pages 65-105, July.
- Martin HOESLI & Anjeza KADILLI & Kustrim REKA, 2014. "Commonality in Liquidity and Real Estate Securities," Swiss Finance Institute Research Paper Series 14-30, Swiss Finance Institute.
2016
- Pierre Bajgrowicz & Olivier Scaillet & Adrien Treccani, 2016. "Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News," Management Science, INFORMS, vol. 62(8), pages 2198-2217, August.
- Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016.
"Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets,"
Econometrica, Econometric Society, vol. 84, pages 985-1046, May.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-41, Swiss Finance Institute.
- Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, 2011. "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
- Ossola, Elisa & Gagilardini, Patrick & Scaillet, Olivier, 2015. "Time-varying risk premium in large cross-sectional equity datasets," Working Papers unige:76321, University of Geneva, Geneva School of Economics and Management.
- Olivier Scaillet, 2016.
"On ill‐posedness of nonparametric instrumental variable regression with convexity constraints,"
Econometrics Journal, Royal Economic Society, vol. 19(2), pages 232-236, June.
- Olivier Scaillet, 2016. "On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints," Swiss Finance Institute Research Paper Series 16-06, Swiss Finance Institute.
- Hau, Harald & Lai, Sandy, 2016.
"Asset allocation and monetary policy: Evidence from the eurozone,"
Journal of Financial Economics, Elsevier, vol. 120(2), pages 309-329.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Working Papers 222013, Hong Kong Institute for Monetary Research.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Sandy Lai, 2014. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CESifo Working Paper Series 5005, CESifo.
- Hau, Harald & Lai, Sandy, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," CEPR Discussion Papers 9581, C.E.P.R. Discussion Papers.
- Harald Hau & Sandy Lai, 2013. "Asset Allocation and Monetary Policy: Evidence from the Eurozone," Swiss Finance Institute Research Paper Series 13-39, Swiss Finance Institute, revised Dec 2018.
- Steven C Bourassa & Eva Cantoni & Martin Hoesli, 2016.
"Robust hedonic price indexes,"
International Journal of Housing Markets and Analysis, Emerald Group Publishing Limited, vol. 9(1), pages 47-65, March.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2013. "Robust Hedonic Price Indexes," Swiss Finance Institute Research Paper Series 13-49, Swiss Finance Institute.
- Jean-Christophe Delfim & Martin Hoesli, 2016.
"Risk factors of European non-listed real estate fund returns,"
Journal of Property Research, Taylor & Francis Journals, vol. 33(3), pages 190-213, July.
- Jean-Christophe Delfim & Martin Hoesli, 2016. "Risk Factors of European Non-Listed Real Estate Fund Returns," Swiss Finance Institute Research Paper Series 16-37, Swiss Finance Institute.
- Steven C. Bourassa & Donald R. Haurin & Martin Hoesli, 2016.
"What affects children’s outcomes: house characteristics or homeownership?,"
Housing Studies, Taylor & Francis Journals, vol. 31(4), pages 427-444, June.
- Steven C. BOURASSA & Donald R. HAURIN & Martin HOESLI, 2015. "What Affects Children's Outcomes: House Characteristics or Homeownership?," Swiss Finance Institute Research Paper Series 15-42, Swiss Finance Institute.
2015
- Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015.
"Testing for symmetry and conditional symmetry using asymmetric kernels,"
Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
- Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, 2011. "Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels," Swiss Finance Institute Research Paper Series 11-32, Swiss Finance Institute.
- Gianluca Oderda & Tony Berrada & Reda Jurg Messikh & Olivier Pictet, 2015. "Beta-arbitrage strategies: when do they work, and why?," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 185-203, February.
- Peter G. Dunne & Harald Hau & Michael J. Moore, 2015.
"Dealer Intermediation Between Markets,"
Journal of the European Economic Association, European Economic Association, vol. 13(5), pages 770-804, October.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Peter G. Dunne & Harald Hau & Michael Moore, 2012. "Dealer Intermediation between Markets," Swiss Finance Institute Research Paper Series 12-29, Swiss Finance Institute.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2015.
"The Dose Makes the Poison – an Analysis of the Influence of Bonus Payments on Profitability and Risk-Taking by Banks,"
ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 68(03), pages 23-31, February.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Efing, Matthias & Hau, Harald & Kampkötter, Patrick & Steinbrecher, Johannes, 2015.
"Incentive pay and bank risk-taking: Evidence from Austrian, German, and Swiss banks,"
Journal of International Economics, Elsevier, vol. 96(S1), pages 123-140.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks," NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140, National Bureau of Economic Research, Inc.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Hau, Harald & Steinbrecher, Johannes & Kampkötter, Patrick & Efing, Matthias, 2014. "Incentive Pay and Bank Risk-Taking:Evidence from Austrian, German, and Swiss Banks," CEPR Discussion Papers 10217, C.E.P.R. Discussion Papers.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," NBER Working Papers 20468, National Bureau of Economic Research, Inc.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," CESifo Working Paper Series 4984, CESifo.
- Matthias EFING & Harald HAU & Patrick KAMPKÖTTER & Johannes STEINBRECHER, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," Swiss Finance Institute Research Paper Series 14-55, Swiss Finance Institute, revised Dec 2014.
- Efing, Matthias & Hau, Harald, 2015.
"Structured debt ratings: Evidence on conflicts of interest,"
Journal of Financial Economics, Elsevier, vol. 116(1), pages 46-60.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & Efing, Matthias, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," CEPR Discussion Papers 9465, C.E.P.R. Discussion Papers.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Matthias Efing & Harald Hau, 2013. "Structured Debt Ratings: Evidence on Conflicts of Interest," Swiss Finance Institute Research Paper Series 13-21, Swiss Finance Institute.
- Philipp Krüger & Augustin Landier & David Thesmar, 2015.
"The WACC Fallacy: The Real Effects of Using a Unique Discount Rate,"
Journal of Finance, American Finance Association, vol. 70(3), pages 1253-1285, June.
- Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," TSE Working Papers 11-222, Toulouse School of Economics (TSE).
- David Thesmar & P. Kruger & Augustin Landier, 2011. "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Post-Print hal-00578326, HAL.
- Krüger, Philipp, 2015. "Corporate goodness and shareholder wealth," Journal of Financial Economics, Elsevier, vol. 115(2), pages 304-329.
- Alain Chaney & Martin Hoesli, 2015.
"Multifamily residential asset and space markets and linkages with the economy,"
Journal of Property Research, Taylor & Francis Journals, vol. 32(1), pages 50-76, March.
- Martin HOESLI & Alain CHANEY, 2014. "Multifamily Residential Asset and Space Markets and Linkages with the Economy," Swiss Finance Institute Research Paper Series 14-32, Swiss Finance Institute.
- Martin Hoesli & Kustrim Reka, 2015.
"Contagion Channels between Real Estate and Financial Markets,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 101-138, March.
- Martin Hoesli & Reka Kustrim, 2013. "Contagion Channels between Real Estate and Financial Markets," Swiss Finance Institute Research Paper Series 13-12, Swiss Finance Institute.
- Alain Chaney & Martin Hoesli, 2015.
"Transaction-Based and Appraisal-Based Capitalization Rate Determinants,"
International Real Estate Review, Global Social Science Institute, vol. 18(1), pages 1-43.
- Alain Chaney & Martin Hoesli, 2012. "Transaction-Based and Appraisal-Based Capitalization Rate Determinants," Swiss Finance Institute Research Paper Series 12-28, Swiss Finance Institute.
2014
- Gilles Criton & Olivier Scaillet, 2014. "Hedge Fund Managers: Luck and Dynamic Assessment," Bankers, Markets & Investors, ESKA Publishing, issue 129, pages 28-38, March-Apr.
- Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia," Journal of Finance, American Finance Association, vol. 69(1), pages 101-137, February.
- Andrea Buraschi & Fabio Trojani & Andrea Vedolin, 2014. "Economic Uncertainty, Disagreement, and Credit Markets," Management Science, INFORMS, vol. 60(5), pages 1281-1296, May.
- Andrea Buraschi & Robert Kosowski & Fabio Trojani, 2014. "When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 581-616.
- Hau, Harald, 2014.
"The exchange rate effect of multi-currency risk arbitrage,"
Journal of International Money and Finance, Elsevier, vol. 47(C), pages 304-331.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald, 2009. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," CEPR Discussion Papers 7348, C.E.P.R. Discussion Papers.
- Harald Hau, 2012. "The Exchange Rate Effect of Multi-Currency Risk Arbitrage," Swiss Finance Institute Research Paper Series 12-07, Swiss Finance Institute.
- Martin Hoesli & Eva Liljeblom & Anders Loflund, 2014.
"The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight,"
International Real Estate Review, Global Social Science Institute, vol. 17(1), pages 1-22.
- Martin Hoesli & Eva Liljeblom & Anders Löflund, 2012. "The Effect of Lock-Ups on the Suggested Real Estate Portfolio Weight," Swiss Finance Institute Research Paper Series 12-22, Swiss Finance Institute.
2013
- Berrada, Tony & Hugonnier, Julien, 2013.
"Incomplete information, idiosyncratic volatility and stock returns,"
Journal of Banking & Finance, Elsevier, vol. 37(2), pages 448-462.
- Tony BERRADA & Julien HUGONNIER, 2008. "Incomplete information, idiosyncratic volatility and stock returns," Swiss Finance Institute Research Paper Series 08-23, Swiss Finance Institute.
- Chaieb, Ines & Mazzotta, Stefano, 2013. "Unconditional and conditional exchange rate exposure," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 781-808.
- Francesca Carrieri & Ines Chaieb & Vihang Errunza, 2013. "Do Implicit Barriers Matter for Globalization?," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1694-1739.
- Ines Chaieb & Vihang Errunza & Basma Majerbi, 2013. "Do emerging markets provide currency diversification benefits?," International Journal of Banking, Accounting and Finance, Inderscience Enterprises Ltd, vol. 5(1/2), pages 102-120.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2013.
"Bank ratings: what determines their quality? [Bank risk during the financial crisis: do business models matter?],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 28(74), pages 289-333.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau, 2013.
"Europas Bankenunion oder der Triumph der Hoffnung über die Erfahrung,"
Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 14(3-4), pages 186-197, August.
- Hau Harald, 2013. "Europas Bankenunion oder der Triumph der Hoffnung über die Erfahrung," Perspektiven der Wirtschaftspolitik, De Gruyter, vol. 14(3-4), pages 186-197, August.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald & Lai, Sandy, 2013.
"Real effects of stock underpricing,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 392-408.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald & Lai, Sandy, 2012. "Real Effects of Stock Underpricing," CEPR Discussion Papers 8820, C.E.P.R. Discussion Papers.
- Martin Hoesli & Kustrim Reka, 2013.
"Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets,"
The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 1-35, July.
- Martin Hoesli & Kustrim Reka, 2011. "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES eres2011_63, European Real Estate Society (ERES).
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2013.
"Robust Repeat Sales Indexes,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 41(3), pages 517-541, September.
- Steven C. BOURASSA & Eva CANTONI & Martin HOESLI, 2011. "Robust Repeat Sales Indexes," Swiss Finance Institute Research Paper Series 11-46, Swiss Finance Institute.
2012
- Patrick Gagliardini & Olivier Scaillet, 2012. "Nonparametric Instrumental Variable Estimation of Structural Quantile Effects," Econometrica, Econometric Society, vol. 80(4), pages 1533-1562, July.
- Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012.
"Robust subsampling,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
- Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
- Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
- Bajgrowicz, Pierre & Scaillet, Olivier, 2012.
"Technical trading revisited: False discoveries, persistence tests, and transaction costs,"
Journal of Financial Economics, Elsevier, vol. 106(3), pages 473-491.
- Pierre Bajgrowicz & Olivier Scaillet, 2008. "Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs," Swiss Finance Institute Research Paper Series 08-05, Swiss Finance Institute, revised Jul 2009.
- Camilo Serrano & Martin Hoesli, 2012. "Fractional Cointegration Analysis of Securitized Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 44(3), pages 319-338, April.
- Hoesli, Martin & Oikarinen, Elias, 2012.
"Are REITs real estate? Evidence from international sector level data,"
Journal of International Money and Finance, Elsevier, vol. 31(7), pages 1823-1850.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series 12-15, Swiss Finance Institute.
- Martin Hoesli & Elias Oikarinen, 2012. "Are REITs real estate? Evidence from international sector level data," ERES eres2012_232, European Real Estate Society (ERES).
2011
- Audrino, Francesco & Trojani, Fabio, 2011.
"A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 138-149.
- Francesco Audrino & Fabio Trojani, 2011. "A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 138-149, January.
- Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen.
- Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen.
- Loriano Mancini & Fabio Trojani, 2011.
"Robust Value at Risk Prediction,"
Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," Swiss Finance Institute Research Paper Series 07-31, Swiss Finance Institute.
- Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen.
- Stephan Paul & Christian Farruggio & Gerhard Schick & Jan Weder & Jochen Zimmermann & Harald Hau & Bernd Lucke, 2011.
"Banks under Pressure: Are there Ways Out of the New Banking Crisis?,"
ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 64(22), pages 03-18, November.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau, 2011.
"Global versus Local Asset Pricing: A New Test of Market Integration,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(12), pages 3891-3940.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2011. "The Long-Run Dynamics between Direct and Securitized Real Estate," Journal of Real Estate Research, American Real Estate Society, vol. 33(1), pages 73-104.
- Bourassa, Steven C. & Hoesli, Martin & Scognamiglio, Donato & Zhang, Sumei, 2011. "Land leverage and house prices," Regional Science and Urban Economics, Elsevier, vol. 41(2), pages 134-144, March.
2010
- Scaillet, Olivier & Topaloglou, Nikolas, 2010.
"Testing for Stochastic Dominance Efficiency,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 169-180.
- Olivier Scaillet & Nikolas Topaloglou, 2005. "Testing for Stochastic Dominance Efficiency," FAME Research Paper Series rp154, International Center for Financial Asset Management and Engineering.
- Nikolas Topaloglou & Olivier Scaillet & University of Geneva, 2006. "Testing foe Stochastic Dominance Efficiency," Computing in Economics and Finance 2006 74, Society for Computational Economics.
- Laurent Barras & Olivier Scaillet & Russ Wermers, 2010.
"False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas,"
Journal of Finance, American Finance Association, vol. 65(1), pages 179-216, February.
- Barras, Laurent & Scaillet, Olivier & Wermers, Russ, 2009. "False discoveries in mutual fund performance: Measuring luck in estimated alphas," CFR Working Papers 06-02, University of Cologne, Centre for Financial Research (CFR).
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," FAME Research Paper Series rp163, International Center for Financial Asset Management and Engineering.
- Laurent BARRAS & Olivier SCAILLET & Russ WERMERS, 2008. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Swiss Finance Institute Research Paper Series 08-18, Swiss Finance Institute.
- Olivier Scaillet & Laurent Barras & Russell R. Wermers, 2005. "False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas," Working Papers CEB 05-014.RS, ULB -- Universite Libre de Bruxelles.
- Medvedev, Alexey & Scaillet, Olivier, 2010. "Pricing American options under stochastic volatility and stochastic interest rates," Journal of Financial Economics, Elsevier, vol. 98(1), pages 145-159, October.
- Andrea Buraschi & Paolo Porchia & Fabio Trojani, 2010. "Correlation Risk and Optimal Portfolio Choice," Journal of Finance, American Finance Association, vol. 65(1), pages 393-420, February.
- La Vecchia, Davide & Trojani, Fabio, 2010.
"Infinitesimal Robustness for Diffusions,"
Journal of the American Statistical Association, American Statistical Association, vol. 105(490), pages 703-712.
- Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen.
- Dunne, Peter & Hau, Harald & Moore, Michael, 2010.
"International order flows: Explaining equity and exchange rate returns,"
Journal of International Money and Finance, Elsevier, vol. 29(2), pages 358-386, March.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Massimo Massa & Joel Peress, 2010.
"Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1681-1717, April.
- Massa, Massimo & Hau, Harald & Peress, Joël, 2005. "Do Demand Curves for Currencies Slope Down? Evidence from the MSCI Global Index Change," CEPR Discussion Papers 4862, C.E.P.R. Discussion Papers.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Alain Chaney & Martin Hoesli, 2010.
"The interest rate sensitivity of real estate,"
Journal of Property Research, Taylor & Francis Journals, vol. 27(1), pages 61-85, May.
- Alain CHANEY & Martin HOESLI, 2010. "The Interest Rate Sensitivity of Real Estate," Swiss Finance Institute Research Paper Series 10-13, Swiss Finance Institute, revised Feb 2010.
- Steven C. Bourassa & Eva Cantoni & Martin Hoesli, 2010.
"Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods,"
Journal of Real Estate Research, American Real Estate Society, vol. 32(2), pages 139-160.
- Martin Hoesli & Steven Bourassa & Eva Cantoni, 2009. "Predicting House Prices with Spatial Dependence: A Comparison of Alternative Methods," ERES eres2009_153, European Real Estate Society (ERES).
- Steven Bourassa & Martin Hoesli, 2010.
"Why Do the Swiss Rent?,"
The Journal of Real Estate Finance and Economics, Springer, vol. 40(3), pages 286-309, April.
- Steven C. Bourassa & Martin Hoesli, 2007. "Why Do the Swiss Rent?," Swiss Finance Institute Research Paper Series 07-04, Swiss Finance Institute.
- Steven Bourassa & Martin Hoesli, 2007. "Why Do Swiss Rent?," ERES eres2007_166, European Real Estate Society (ERES).
- Martin Hoesli, 2010. "A Review of “Mass Appraisal Methods: An International Perspective for Property Valuers”," International Journal of Housing Policy, Taylor & Francis Journals, vol. 10(1), pages 102-104.
- Camilo Serrano & Martin Hoesli, 2010.
"Are Securitized Real Estate Returns more Predictable than Stock Returns?,"
The Journal of Real Estate Finance and Economics, Springer, vol. 41(2), pages 170-192, August.
- Camilo Serrano & Martin Hoesli, 2008. "Are Securitized Real Estate Returns more Predictable than Stock Returns?," Swiss Finance Institute Research Paper Series 08-27, Swiss Finance Institute.
- Camilo Serrano & Martin Hoesli, 2008. "Are Securitized Real Estate Returns More Predictable Than Stock Returns?," ERES eres2008_252, European Real Estate Society (ERES).
2009
- Gustafsson, J. & Hagmann, M. & Nielsen, J. P. & Scaillet, O., 2009.
"Local Transformation Kernel Density Estimation of Loss Distributions,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 161-175.
- J. Gustafsson & M. Hagmann & J.P. Nielsen & O. Scaillet, 2006. "Local Transformation Kernel Density Estimation of Loss Distributions," Swiss Finance Institute Research Paper Series 06-32, Swiss Finance Institute, revised Jun 2007.
- Lahiani, A. & Scaillet, O., 2009.
"Testing for threshold effect in ARFIMA models: Application to US unemployment rate data,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 418-428.
- Amine LAHIANI & Olivier SCAILLET, 2008. "Testing for threshold effect in ARFIMA models: Application to US unemployment rate data," Swiss Finance Institute Research Paper Series 08-42, Swiss Finance Institute.
- Rémillard, Bruno & Scaillet, Olivier, 2009.
"Testing for equality between two copulas,"
Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
- Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
- Tony Berrada, 2009. "Bounded Rationality and Asset Pricing with Intermediate Consumption," Review of Finance, European Finance Association, vol. 13(4), pages 693-725.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009.
"Ambiguity Aversion and the Term Structure of Interest Rates,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(10), pages 4157-4188, October.
- Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
- Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen.
- Harald Hau & Marcel Thum, 2009.
"Subprime crisis and board (in-) competence: private versus public banks in Germany [‘Corporate governance and board of directors: Performance effects of changes in board composition’],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 24(60), pages 701-752.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Steven C. Bourassa & Donald R. Haurin & Jessica L. Haurin & Martin Hoesli & Jian Sun, 2009.
"House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 259-278, June.
- Steven Bourassa & Donald Haurin & Jessica Haurin & Martin Hoesli & Jian Sun, 2007. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," Working Papers 07-03, Ohio State University, Department of Economics.
- Steven C. BOURASSA & Donald R. HAURIN & Jessica L. HAURIN & Martin HOESLI & Jian SUN, 2005. "House Price Changes and Idiosyncratic Risk: The Impact of Property Characteristics," FAME Research Paper Series rp160, International Center for Financial Asset Management and Engineering.
2008
- Markus Leippold & Fabio Trojani & Paolo Vanini, 2008.
"Learning and Asset Prices Under Ambiguous Information,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
- Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
- Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November.
- Harald Hau & Helene Rey, 2008.
"Home Bias at the Fund Level,"
American Economic Review, American Economic Association, vol. 98(2), pages 333-338, May.
- Harald Hau & Helene Rey, 2008. "Home Bias at the Fund Level," NBER Working Papers 14172, National Bureau of Economic Research, Inc.
- Rey, Hélène & Hau, Harald, 2008. "Home Bias at the Fund Level," CEPR Discussion Papers 6721, C.E.P.R. Discussion Papers.
- Harald Hau & Marcel Thum, 2008.
"How (in-)competent are the supervisory boards of German banks?,"
ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 61(19), pages 27-29, October.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Martin Hoesli & Colin Lizieri & Bryan MacGregor, 2008. "The Inflation Hedging Characteristics of US and UK Investments: A Multi-Factor Error Correction Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 36(2), pages 183-206, February.
- Patricia Fraser & Martin Hoesli & Lynn McAlevey, 2008.
"House Prices and Bubbles in New Zealand,"
The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 71-91, July.
- Patricia Fraser & Martin Hoesli & Lynn Mc Alevey, 2006. "House Prices and Bubbles in New Zealand," Swiss Finance Institute Research Paper Series 06-20, Swiss Finance Institute.
- Steven C. Bourassa & Martin Hoesli & Donato Scognamiglio & Philippe Sormani, 2008.
"Constant-Quality House Price Indexes for Switzerland,"
Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 144(IV), pages 561-575, December.
- Steven C. BOURASSA & Martin HOESLI & Donato SCOGNAMIGLIO & Philippe SORMANI, 2008. "Constant-Quality House Price Indexes for Switzerland," Swiss Finance Institute Research Paper Series 08-10, Swiss Finance Institute.
- Martin Hoesli & Jon Lekander, 2008. "Real estate portfolio strategy and product innovation in Europe," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 26(2), pages 162-176, March.
2007
- S. Galluccio & J.‐M. Ly & Z. Huang & O. Scaillet, 2007.
"Theory And Calibration Of Swap Market Models,"
Mathematical Finance, Wiley Blackwell, vol. 17(1), pages 111-141, January.
- S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet, 2005. "Theory and Calibration of Swap Market Models," FAME Research Paper Series rp107, International Center for Financial Asset Management and Engineering.
- Peng Cheng & Olivier Scaillet, 2007. "Linear‐Quadratic Jump‐Diffusion Modeling," Mathematical Finance, Wiley Blackwell, vol. 17(4), pages 575-598, October.
- Fernandes, Marcelo & Linton, Oliver & Scaillet, Olivier, 2007. "Semiparametric methods in econometrics," Journal of Econometrics, Elsevier, vol. 141(1), pages 1-4, November.
- Hagmann, M. & Scaillet, O., 2007.
"Local multiplicative bias correction for asymmetric kernel density estimators,"
Journal of Econometrics, Elsevier, vol. 141(1), pages 213-249, November.
- Matthias Hagmann & Olivier Scaillet, 2004. "Local Multiplicative Bias Correction For Asymmetric Kernel Density Estimators," Royal Economic Society Annual Conference 2004 25, Royal Economic Society.
- Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering.
- Scaillet, Olivier, 2007.
"Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters,"
Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
- Olivier Scaillet, 2005. "Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters," FAME Research Paper Series rp145, International Center for Financial Asset Management and Engineering.
- Alexey Medvedev & Olivier Scaillet, 2007.
"Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(2), pages 427-459.
- Alexey Medvedev & Olivier Scaillet, 2006. "Approximation and Calibration of Short-Term Implied Volatilities under Jump-Diffusion Stochastic Volatility," Swiss Finance Institute Research Paper Series 06-08, Swiss Finance Institute.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2007.
"Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases,"
Annals of Operations Research, Springer, vol. 152(1), pages 141-165, July.
- Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," LIDAM Discussion Papers IRES 2003004, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," THEMA Working Papers 2003-28, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003. "Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases," FAME Research Paper Series rp66, International Center for Financial Asset Management and Engineering.
- Berrada, Tony & Hugonnier, Julien & Rindisbacher, Marcel, 2007. "Heterogeneous preferences and equilibrium trading volume," Journal of Financial Economics, Elsevier, vol. 83(3), pages 719-750, March.
- Chaieb, Ines & Errunza, Vihang, 2007. "International asset pricing under segmentation and PPP deviations," Journal of Financial Economics, Elsevier, vol. 86(2), pages 543-578, November.
- Fabio Trojani, 2007.
"Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent,"
Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall.
- Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007 2007-24, Department of Economics, University of St. Gallen.
- Steven Bourassa & Eva Cantoni & Martin Hoesli, 2007. "Spatial Dependence, Housing Submarkets, and House Price Prediction," The Journal of Real Estate Finance and Economics, Springer, vol. 35(2), pages 143-160, August.
- Gaud, Philippe & Hoesli, Martin & Bender, Andre, 2007.
"Debt-equity choice in Europe,"
International Review of Financial Analysis, Elsevier, vol. 16(3), pages 201-222.
- Philippe Gaud & Martin HOesli & André Bender, 2005. "Debt Equity Choice in Europe," FAME Research Paper Series rp152, International Center for Financial Asset Management and Engineering.
2006
- Hong, H. & Scaillet, O., 2006.
"A fast subsampling method for nonlinear dynamic models,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 557-578, August.
- Hong, H. & Scaillet, O. & Tamer, E., 2001. "A fast Subsampling Method for Nonlinear Dynamic Models," Papers 2001.09, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Han Hong & Olivier Scaillet & Elie Tamer, 2001. "A Fast Subsampling Method for Nonlinear Dynamic Models," Working Papers 2001-39, Center for Research in Economics and Statistics.
- Tony Berrada, 2006. "Incomplete Information, Heterogeneity, and Asset Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 136-160.
- Fabio Trojani & Francesco Audrino, 2006.
"Estimating and predicting multivariate volatility thresholds in global stock markets,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369.
- Francesco Audrino & Fabio Trojani, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369, April.
- Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
- Trojani, Fabio, 2006. "Semiparametric Regression for the Applied Econometrician. Adonis Yatchew," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 397-398, March.
- Harald Hau & Hélène Rey, 2006.
"Exchange Rates, Equity Prices, and Capital Flows,"
The Review of Financial Studies, Society for Financial Studies, vol. 19(1), pages 273-317.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Rey, Hélène & Hau, Harald, 2003. "Exchange Rates, Equity Prices and Capital Flows," CEPR Discussion Papers 3735, C.E.P.R. Discussion Papers.
- Harald Hau & Helene Rey, 2002. "Exchange Rate, Equity Prices and Capital Flows," NBER Working Papers 9398, National Bureau of Economic Research, Inc.
- Harald Hau, 2006.
"The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse,"
Journal of the European Economic Association, MIT Press, vol. 4(4), pages 862-890, June.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Hau, Harald, 2002. "The Role of Transaction Costs for Financial Volatility: Evidence from the Paris Bourse," CEPR Discussion Papers 3651, C.E.P.R. Discussion Papers.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Séverine Cauchie & Martin Hoesli, 2006. "Further Evidence of the Integration of Securitized Real Estate and Financial Assets," Journal of Property Research, Taylor & Francis Journals, vol. 23(1), pages 1-38, March.
- Bourassa, Steven C. & Hoesli, Martin & Sun, Jian, 2006.
"A simple alternative house price index method,"
Journal of Housing Economics, Elsevier, vol. 15(1), pages 80-97, March.
- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2004. "A Simple Alternative House Price Index Method," FAME Research Paper Series rp119, International Center for Financial Asset Management and Engineering.
- Angela Black & Patricia Fraser & Martin Hoesli, 2006. "House Prices, Fundamentals and Bubbles," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(9‐10), pages 1535-1555, November.
2005
- Bouezmarni, Taoufik & Scaillet, Olivier, 2005. "Consistency Of Asymmetric Kernel Density Estimators And Smoothed Histograms With Application To Income Data," Econometric Theory, Cambridge University Press, vol. 21(2), pages 390-412, April.
- Fermanian, Jean-David & Scaillet, Olivier, 2005.
"Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements,"
Journal of Banking & Finance, Elsevier, vol. 29(4), pages 927-958, April.
- Jean-David Fermanian & Olivier Scaillet, 2003. "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements," Working Papers 2003-33, Center for Research in Economics and Statistics.
- Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182.
- Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September.
- Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005.
"Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models,"
Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 628-641, June.
- Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen.
- Philippe Gaud & Elion Jani & Martin Hoesli & André Bender, 2005.
"The Capital Structure of Swiss Companies: an Empirical Analysis Using Dynamic Panel Data,"
European Financial Management, European Financial Management Association, vol. 11(1), pages 51-69, January.
- Philippe Gaud & Elion Jani & Martin Hoesli & André Bender, 2003. "The capital structure of Swiss companies: an empirical analysis using dynamic panel data," FAME Research Paper Series rp68, International Center for Financial Asset Management and Engineering.
2004
- O. Scaillet, 2004. "Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 115-129, January.
- Cebrián, Ana C. & Denuit, Michel & Scaillet, Olivier, 2004.
"Testing for Concordance Ordering,"
ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 151-173, May.
- Ana C. CEBRIÁN & Michel DENUIT & Olivier SCAILLET, 2002. "Testing for Concordance Ordering," FAME Research Paper Series rp41, International Center for Financial Asset Management and Engineering.
- Prigent, Jean-Luc & Renault, Olivier & Scaillet, Olivier, 2004.
"Option pricing with discrete rebalancing,"
Journal of Empirical Finance, Elsevier, vol. 11(1), pages 133-161, January.
- Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET, 2002. "Option Pricing with Discrete Rebalancing," FAME Research Paper Series rp55, International Center for Financial Asset Management and Engineering.
- Jean -Luc Prigent & Olivier Renault & Olivier Scaillet, 1999. "Option Pricing with Discrete Rebalancing," Working Papers 99-61, Center for Research in Economics and Statistics.
- Jean-Luc Prigent & Olivier Renault & Olivier Scaillet, 2004. "Option pricing with discrete rebalancing," Post-Print hal-03679686, HAL.
- J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Prigent, J.-L. & Renault, O. & Scaillet, O., 1999. "Option Pricing with Discrete Rebalancing," LIDAM Discussion Papers IRES 1999029, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Oct 1999.
- Renault, Olivier & Scaillet, Olivier, 2004.
"On the way to recovery: A nonparametric bias free estimation of recovery rate densities,"
Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2915-2931, December.
- Olivier RENAULT & Olivier SCAILLET, 2003. "On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities," FAME Research Paper Series rp83, International Center for Financial Asset Management and Engineering.
- Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004.
"A geometric approach to multiperiod mean variance optimization of assets and liabilities,"
Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
- Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002. "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series rp48, International Center for Financial Asset Management and Engineering.
- Fabio Trojani & Paolo Vanini, 2004.
"Robustness and Ambiguity Aversion in General Equilibrium,"
Review of Finance, Springer, vol. 8(2), pages 279-324.
- Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, European Finance Association, vol. 8(2), pages 279-324.
- Harald Hau & Hélène Rey, 2004.
"Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?,"
American Economic Review, American Economic Association, vol. 94(2), pages 126-133, May.
- Rey, Hélène & Hau, Harald, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows and Exchange Rates?," CEPR Discussion Papers 4517, C.E.P.R. Discussion Papers.
- Harald Hau & Helene Rey, 2004. "Can Portfolio Rebalancing Explain the Dynamics of Equity Returns, Equity Flows, and Exchange Rates?," NBER Working Papers 10476, National Bureau of Economic Research, Inc.
- Foort Hamelink & Martin Hoesli, 2004.
"Maximum drawdown and the allocation to real estate,"
Journal of Property Research, Taylor & Francis Journals, vol. 21(1), pages 5-29, January.
- Foort HAMELINK & Martin HOESLI, 2003. "Maximum Drawdown and the Allocation to Real Estate," FAME Research Paper Series rp87, International Center for Financial Asset Management and Engineering.
- Martin Hoesli & Jon Lekander & Witold Witkiewicz, 2004. "New International Evidence on Real Estate as a Portfolio Diversifier," Journal of Real Estate Research, American Real Estate Society, vol. 26(2), pages 161-206.
- Peter Englund & Åke Gunnelin & Martin Hoesli & Bo Söderberg, 2004.
"Implicit Forward Rents as Predictors of Future Rents,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 183-215, June.
- Englund, Peter & Gunnelin, Åke & Hoesli, Martin & Söderberg, Bo, 2002. "Implicit Forward Rents as Predictors of Future Rents," SIFR Research Report Series 12, Institute for Financial Research.
- Peter ENGLUND & Åke GUNNELIN & Martin HOESLI & Bo SÖDERBERG, 2002. "Implicit Forward Rents as Predictors of Future Rents," FAME Research Paper Series rp59, International Center for Financial Asset Management and Engineering.
- Foort Hamelink & Martin Hoesli, 2004.
"What Factors Determine International Real Estate Security Returns?,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(3), pages 437-462, September.
- Foort Hamelink & Martin Hoesli, 2002. "What Factors Determine International Real Estate Security Returns?," ERES eres2002_196, European Real Estate Society (ERES).
- Foort HAMELINK & Martin HOESLI, 2003. "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series rp50, International Center for Financial Asset Management and Engineering.
- Hamelink, Foort & Hoesli, Martin, 2002. "What Factors Determine International Real Estate Security Returns?," SIFR Research Report Series 7, Institute for Financial Research.
- Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004.
"The determinants of stock returns in a small open economy,"
International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
- Séverine CAUCHIE & Martin HOESLI & Dušan ISAKOV, 2003. "The Determinants of Stock Returns in a Small Open Economy," FAME Research Paper Series rp54, International Center for Financial Asset Management and Engineering.
- Åke Gunnelin & Patric H. Hendershott & Martin Hoesli & Bo Söderberg, 2004.
"Determinants of Cross‐Sectional Variation in Discount Rates, Growth Rates and Exit Cap Rates,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 32(2), pages 217-237, June.
- Åke GUNNELIN & Patric H. HENDERSHOTT & Martin HOESLI & Bo SÖDERBERG, 2003. "Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates," FAME Research Paper Series rp90, International Center for Financial Asset Management and Engineering.
- Patricia Fraser & Foort Hamelink & Martin Hoesli & Bryan Macgregor, 2004.
"Time-varying betas and the cross-sectional return-risk relation: evidence from the UK,"
The European Journal of Finance, Taylor & Francis Journals, vol. 10(4), pages 255-276.
- Fraser, P. & Hamelink, F. & Hoesli, M. & MacGregor, B., 2000. "Time-Varying Betas and Cross-Sectional Return-Risk Relation: Evidence from the UK," Papers 2000.03, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Steven C Bourassa & Martin Hoesli & Jian Sun, 2004.
"What's in a View?,"
Environment and Planning A, , vol. 36(8), pages 1427-1450, August.
- Steven C. Bourassa & Martin Hoesli & Jian Sun, 2003. "What’s in a View?," FAME Research Paper Series rp79, International Center for Financial Asset Management and Engineering.
- Steven Bourassa & Hoesli Martin & Sun Jian, 2003. "Whatís in a View?," ERES eres2003_124, European Real Estate Society (ERES).
2003
- Guay, Alain & Scaillet, Olivier, 2003. "Indirect Inference, Nuisance Parameter, and Threshold Moving Average Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 122-132, January.
- Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May.
- Bourassa, Steven C. & Hoesli, Martin & Peng, Vincent S., 2003.
"Do housing submarkets really matter?,"
Journal of Housing Economics, Elsevier, vol. 12(1), pages 12-28, March.
- Steven C. BOURASSA & Martin HOESLI & Vincent S. PENG, 2002. "Do Housing Submarkets Really Matter?," FAME Research Paper Series rp58, International Center for Financial Asset Management and Engineering.
- Kenneth Gibb & Martin Hoesli, 2003. "Developments in Urban Housing and Property Markets," Urban Studies, Urban Studies Journal Limited, vol. 40(5-6), pages 887-896, May.
2002
- Trojani, Fabio & Vanini, Paolo, 2002. "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 423-435, March.
- Fabio Trojani & Paolo Vanini & Luigi Vignola, 2002. "A Note on the Three–Portfolios Matching Problem," European Financial Management, European Financial Management Association, vol. 8(4), pages 515-527, December.
- Hau, Harald & Killeen, William & Moore, Michael, 2002.
"The euro as an international currency: explaining puzzling first evidence from the foreign exchange markets,"
Journal of International Money and Finance, Elsevier, vol. 21(3), pages 351-383, June.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald, 2002.
"Real Exchange Rate Volatility and Economic Openness: Theory and Evidence,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-630, August.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald, 2000. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," CEPR Discussion Papers 2356, C.E.P.R. Discussion Papers.
- Harald Hau & William Killeen & Michael Moore, 2002.
"How has the euro changed the foreign exchange market? [‘The distribution of realized exchange rate volatility’],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 17(34), pages 149-192.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
2001
- Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
- Harald Hau, 2001.
"Location Matters: An Examination of Trading Profits,"
Journal of Finance, American Finance Association, vol. 56(5), pages 1959-1983, October.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald, 2001.
"Geographic patterns of trading profitability in Xetra,"
European Economic Review, Elsevier, vol. 45(4-6), pages 757-769, May.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Bernard Thion & Philippe Favarger & Martin Hoesli, 2001.
"Indices des ventes répétées et modification de l'environnement immobilier,"
Revue d'économie régionale et urbaine, Armand Colin, vol. 0(5), pages 809-830.
- Thion, B. & Favarger, P. & Hoesli, M., 2001. "Indices des ventes repetees et modification de l'environnement immobilier," Papers 2001.02, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Allan Din & Martin Hoesli & Andre Bender, 2001.
"Environmental Variables and Real Estate Prices,"
Urban Studies, Urban Studies Journal Limited, vol. 38(11), pages 1989-2000, October.
- Din, A. & Hoesli, M. & Bender, A., 2001. "Environmental Variables and Real Estate Prices," Papers 2001.04, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
2000
- Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000.
"Sensitivity analysis of Values at Risk,"
Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity analysis of Values at Risk," Post-Print hal-03676327, HAL.
- Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.
- C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," LIDAM Discussion Papers IRES 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Center for Research in Economics and Statistics.
- O. Renault & O. Scaillet & B. Leblanc, 2000. "A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary," Finance and Stochastics, Springer, vol. 4(1), pages 109-111.
- O. Scaillet & J.-L. Prigent & J.-P. Lesne, 2000.
"Convergence of discrete time option pricing models under stochastic interest rates,"
Finance and Stochastics, Springer, vol. 4(1), pages 81-93.
- J.-P. Lesne & Jean-Luc Prigent & O. Scaillet, 2000. "Convergence of discrete time option pricing models under stochastic interest rates," Post-Print hal-03679673, HAL.
- Jean-Philippe Lesne & Jean-Luc Prigent & Olivier Scaillet, 1998. "Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates," Working Papers 98-51, Center for Research in Economics and Statistics.
- Hau, Harald, 2000.
"Exchange rate determination: The role of factor price rigidities and nontradeables,"
Journal of International Economics, Elsevier, vol. 50(2), pages 421-447, April.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Harald Hau & Marcel Thum, 2000.
"Lawyers, Legislation and Social Welfare,"
European Journal of Law and Economics, Springer, vol. 9(3), pages 231-254, May.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Foort Hamelink & Martin Hoesli & Colin Lizieri & Bryan D MacGregor, 2000. "Homogeneous Commercial Property Market Groupings and Portfolio Construction in the United Kingdom," Environment and Planning A, , vol. 32(2), pages 323-344, February.
1999
- Harald Hau, 1999.
"Comment on ‘Corporate Risk Management for Multinational Corporations: Financial and Operational Hedging Policies’,"
Review of Finance, European Finance Association, vol. 2(2), pages 247-249.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Bourassa, Steven C. & Hamelink, Foort & Hoesli, Martin & MacGregor, Bryan D., 1999. "Defining Housing Submarkets," Journal of Housing Economics, Elsevier, vol. 8(2), pages 160-183, June.
1998
- Broze, Laurence & Scaillet, Olivier & Zakoïan, Jean-Michel, 1998.
"Quasi-Indirect Inference For Diffusion Processes,"
Econometric Theory, Cambridge University Press, vol. 14(2), pages 161-186, April.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1998. "Quasi-indirect inference for diffusion processes," LIDAM Reprints CORE 1327, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN, Jean-Michel, 1995. "Quasi Indirect Inference for Diffusion Processes," LIDAM Discussion Papers CORE 1995005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.
- Olivier Scaillet & Boris Leblanc, 1998. "Path dependent options on yields in the affine term structure model," Finance and Stochastics, Springer, vol. 2(4), pages 349-367.
- Hau, Harald, 1998.
"Privatization under political interference: Evidence from Eastern Germany,"
European Economic Review, Elsevier, vol. 42(7), pages 1177-1201, July.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Hau, Harald, 1998.
"Competitive Entry and Endogenous Risk in the Foreign Exchange Market,"
The Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 757-787.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
1997
- Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October.
- Martin Hoesli & Philippe Favarger & Carmelo Giaccotto, 1997.
"Real Estate Price Indices and Performance: The Case of Geneva,"
Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(I), pages 29-48, March.
- Hoesli, M. & Favarger, P., 1996. "Real Estate Price Indices and Performance: The Case of Geneva," Papers 96.13, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Hoesli, Martin & MacGregor, Bryan D, 1997. "European Real Estate Research and Education: Development, Globalization, and Maturity," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 5-9, July.
- Hoesli, Martin & MacGregor, Bryan D. & Matysiak, George & Nanthakumaran, Nanda, 1997.
"The Short-Term Inflation-Hedging Characteristics of U.K. Real Estate,"
The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 27-57, July.
- Hoesli, M. & Macgregor, B. & Matysiak, G. & Nanthakumaran, N., 1996. "The Short Term Inflation Hedging Characteristics of UK Real Estate," Papers 96.15, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Martin Hoesli & Bernard Thion & Craig Watkins, 1997. "A hedonic investigation of the rental value of apartments in central Bordeaux," Journal of Property Research, Taylor & Francis Journals, vol. 14(1), pages 15-26, January.
- Hoesli, Martin & Giaccotto, Carmelo & Favarger, Philippe, 1997. "Three New Real Estate Price Indices for Geneva, Switzerland," The Journal of Real Estate Finance and Economics, Springer, vol. 15(1), pages 93-109, July.
- Crocker H. Liu & David J. Hartzell & Martin E. Hoesli, 1997.
"International Evidence on Real Estate Securities as an Inflation Hedge,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(2), pages 193-221, June.
- Martin Hoesli, 1993. "International evidence on real estate securities as an inflation hedge," ERES eres1993_108, European Real Estate Society (ERES).
- Martin Hoesli & Colin Lizieri & Bryan MacGregor, 1997.
"The Spatial Dimensions of the Investment Performance of UK Commercial Property,"
Urban Studies, Urban Studies Journal Limited, vol. 34(9), pages 1475-1494, August.
- Hoesli, M. & Lizieri, C. & Macgregor, B., 1996. "The Spatial Dimensions of the Investment preformance of UK Commercial Property," Papers 96.14, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- Andre Bender & Allan Din & Philippe Favarger & Martin Hoesli & Janne Laakso, 1997.
"An Analysis of Perceptions Concerning the Environmental Quality of Housing in Geneva,"
Urban Studies, Urban Studies Journal Limited, vol. 34(3), pages 503-513, March.
- Bender, A. & Din, A. & Favarger, P. & Hoesli, M. & Laakso, J., 1996. "An Analysis of Perceptions Concerning the Environmental Quality of Housing in Geneva," Papers 96.18, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
1996
- Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
- O. Scaillet, 1996. "Compound and exchange options in the affine term structure model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(1), pages 75-92.
1995
- Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995.
"Testing for continuous-time models of the short-term interest rate,"
Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
- Broze, L. & Scaillet, O. & Zakoïan, J.-M., 1995. "Testing for continuous-time models of the short-term interest rate," LIDAM Reprints CORE 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," LIDAM Discussion Papers CORE 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sandra Buchel & Martin Hoesli, 1995. "A Hedonic Analysis of Rent and Rental Revenue in the Subsidised and Unsubsidised Housing Sectors in Geneva," Urban Studies, Urban Studies Journal Limited, vol. 32(7), pages 1199-1213, August.
1993
- Terence Khoo & David Hartzell & Martin Hoesli, 1993. "An Investigation of the Change in Real Estate Investment Trust Betas," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(2), pages 107-130, June.
- Martin E. Hoesli & Brahim Gacem & André R. Bender, 1993. "Estimating the Value of Swiss Residential Real Estate," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 129(IV), pages 673-687, December.
Chapters
2014
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014.
"Incentive Pay and Bank Risk-taking: Evidence from Austrian, German, and Swiss Banks,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2014, pages 123-140,
National Bureau of Economic Research, Inc.
- Efing, Matthias & Hau, Harald & Kampkötter, Patrick & Steinbrecher, Johannes, 2015. "Incentive pay and bank risk-taking: Evidence from Austrian, German, and Swiss banks," Journal of International Economics, Elsevier, vol. 96(S1), pages 123-140.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank ratings-What determines their quality?," Working Papers 12012, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
- Hau, Harald & Steinbrecher, Johannes & Kampkötter, Patrick & Efing, Matthias, 2014. "Incentive Pay and Bank Risk-Taking:Evidence from Austrian, German, and Swiss Banks," CEPR Discussion Papers 10217, C.E.P.R. Discussion Papers.
- Harald Hau & Sam Langfield & David Marques-Ibanez, 2012. "Bank Ratings: What Determines Their Quality?," Swiss Finance Institute Research Paper Series 12-31, Swiss Finance Institute.
- Hau, Harald & , & Langfield, Sam, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
- Marqués-Ibáñez, David & Hau, Harald & Langfield, Sam, 2012. "Bank ratings: what determines their quality?," Working Paper Series 1484, European Central Bank.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," NBER Working Papers 20468, National Bureau of Economic Research, Inc.
- Matthias Efing & Harald Hau & Patrick Kampkötter & Johannes Steinbrecher, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," CESifo Working Paper Series 4984, CESifo.
- Matthias EFING & Harald HAU & Patrick KAMPKÖTTER & Johannes STEINBRECHER, 2014. "Incentive Pay and Bank Risk-Taking: Evidence from Austrian, German, and Swiss Banks," Swiss Finance Institute Research Paper Series 14-55, Swiss Finance Institute, revised Dec 2014.
2009
- Pauline Barrieu & Olivier Scaillet, 2009. "A Primer on Weather Derivatives," International Series in Operations Research & Management Science, in: Jerzy A. Filar & Alain Haurie (ed.), Uncertainty and Environmental Decision Making, chapter 0, pages 155-175, Springer.
2005
- Tony Berrada, 2005. "Valuing American Contingent Claims when Time to Maturity is Uncertain," Springer Books, in: Michèle Breton & Hatem Ben-Ameur (ed.), Numerical Methods in Finance, chapter 0, pages 143-158, Springer.