Working Papers

Title Date Author(s)

Particle Filtering, Learning, and Smoothing for Mixed-Frequency State-Space Models

October 2016

Hanlin Yang
Markus Leippold

A Heterogeneous-Agent Foundation of the Representative-Agent Approach

Swiss Finance Institute Research Paper, No. 16-58

October 2016

Sabine Elmiger

Neglected Risk in Financial Innovations: Evidence from Structured Product Counterparty Exposure

Swiss Finance Institute Research Paper, No. 14-24

August 2016

Marc Arnold
Dustin Schütte
Alexander F. Wagner

Has the Pricing of Stocks Become More Global?

Swiss Finance Institute Research Paper, No. 15-48

July 2016

Ivan Petzev
Andreas Schrimpf
Alexander F. Wagner

Option-Implied Intra-Horizon Risk and First-Passage Disentanglement

SSRN, No. 2804702

June 2016

Markus Leippold
Nikola Vasiljevic

Network Valuation in Financial Systems

SSRN, No. 2795583

June 2016

Paolo Barucca
Marco Bardoscia
Fabio Caccioli
Marco D'Errico
Gabriele Visentin
Stefano Battiston
Guido Caldarelli

Market Uncertainty and Risk Transfer in REDD Projects

June 2016

Marc Chesney
Jonathan Gheyssens
Bruno Troja

On the construction of common size, value and momentum factors in international stock markets: A guide with applications

Swiss Finance Institute Research Paper, No. 10-58

June 2016

Peter S Schmidt
Urs von Arx
Andreas Schrimpf
Alexander F. Wagner
Andreas Ziegler

Size and Momentum Profitability in International Stock Markets

Swiss Finance Institute Research Paper, No. 15-29

June 2016

Peter Schmidt
Urs von Arx
Andreas Schrimpf
Andreas Ziegler
Alexander F. Wagner

The Impact of Merger Legislation on Bank Mergers

Swiss Finance Institute Research Paper, No. 16-33

May 2016

Steven Ongena
Elena Carletti
Jan-Peter Siedlarek
Giancarlo Spagnolo

The Choice of Valuation Techniques in Practice: Education versus Profession

Swiss Finance Institute Research Paper No. 16-36, No. 16-36

April 2016

Kjell G. Nyborg
Liliya Mukhlynina

The Ripple Effects of Deceptive Reporting

SSRN Electronic Journal, No. 2649392

April 2016

Adam Greenberg
Alexander F. Wagner

Price Impact of Aggressive Liquidity Provision

Swiss Finance Institute Research Paper, No. 16-21

March 2016

Jakub Rojcek
Ramazan Gençay
Soheil Mahmoodzadeh
Michael C Tseng

Which Swiss Gnomes Attract Money? Efficiency and Reputation as Performance Drivers of Wealth Management Banks

Swiss Finance Institute Research Paper, No. 16-25

March 2016

Urs Birchler
René Hegglin
Michael Reichenecker
Alexander F. Wagner

High-Frequency Trading in Limit Order Markets: Equilibrium Impact and Regulation

Swiss Finance Institute Research Paper, No. 15-23

March 2016

Jakub Rojcek
Alexandre Ziegler

Pathways towards instability in financial networks

arXiv preprint, No. 1602.05883

February 2016

Marco Bardoscia
Stefano Battiston
Fabio Caccioli
Guido Caldarelli

Québécoisation method for the pricing of Parisian options with jump risk

February 2016

Marc Chesney
Nikola Vasiljevic

Interconnectedness as a Source of Uncertainty in Systemic Risk

SSRN, No. 2726631

February 2016

Tarik Roukny
Stefano Battiston
Joseph E. Stiglitz

A Climate Stress-Test of the EU Financial System

SSRN, No. 2726076

February 2016

Stefano Battiston
Antoine Mandel
Irene Monasterolo
Franziska Schuetze
Gabriele Visentin

Hedging and Information in Forward and Option Contracts

January 2016

Michel Habib
D Bruce Johnsen

Valuation in the Public and Private Sectors: Tax, Risk and the Cost of Capital

January 2016

Michel Habib
Richard Brealey
Ian Cooper

Optimal Sovereign Debt under Excusable Default

January 2016

Michel Habib
Fabrice Collard
Jean-Charles Rochet

Reading Managerial Tone: How Analysts and the Market Respond to Conference Calls

Swiss Finance Institute Research Paper, No. 15-02

January 2016

Marina Druz
Alexander F. Wagner
Richard Zeckhauser

How Risk Simulations Improve Long-Term Investment Decisions

SSRN, No. 2603780

January 2016

Meike A S Bradbury
Stefan Zeisberger
Thorsten Hens

Evolving Power-Structures: The Network of Global Economic Influence

January 2016

Stefano Battiston
James B. Glattfelder

Computing equilibria in dynamic stochastic macromodels with heterogeneous agents

December 2015

Johannes Brumm
Felix Kübler
Simon Scheidegger

Simple ε-equilibria in stochastic economies with overlapping generations

December 2015

Felix Kübler

The identification of beliefs from asset demand

Warwick Economics Research Paper Series, No. 1087

December 2015

Felix Kübler
Herakles Polemarchakis

European Puttable Bonds: An Alternative Instrument for Managing the Sovereign Debt Crisis

SSRN Electronic Journal, No. 2668176

December 2015

Andrin Bögli
Felix Fattinger

A network-based analysis of the European Emission Market

Documents de travail du Centre d'Economie de la Sorbonne, No. 2015.84

December 2015

Andreas Karpf
Antoine Mandel
Stefano Battiston

Designing A Risk Profiler: Which Measures Predict Risk Taking?

SSRN, No. 2535859

December 2015

Remo Stössel
Thorsten Hens
Kremena Bachmann

A Generalized Bachelier Formula for Pricing Basket and Spread Options

SSRN Electronic Journal, No. 2698307

December 2015

Fulvia Fringuellotti
Ciprian Necula

A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization

SSRN Electronic Journal, No. 2550072

November 2015

Boris Wälchli

Liquidity Management in Banking: What is the Role of Leverage?

Swiss Finance Institute Research Paper, No. 15-51

October 2015

Thi Quynh Anh Vo

Value Reporting Quality, Operating Performance, and Stock Market Valuations

Swiss Finance Institute Research Paper, No. 11-25

October 2015

Florian Eugster
Alexander F. Wagner

The motives for financial complexity: An empirical investigation

SSRN, No. 2289890

October 2015

Claire Myriam Célérier
Boris Vallee

All's Well that Ends Well? On the Importance of How Returns are Achieved

SSRN, No. 2579636

September 2015

Daniel Grosshans
Stefan Zeisberger

Rethinking Financial Contagion

SSRN, No. 2831143

August 2015

Gabriele Visentin
Stefano Battiston
Marco D'Errico

Willingness to be financially informed and the benefits of nudging investors to do so

SSRN, No. 2629058

July 2015

Remo Stössel

Diversification, protection of liability holders and regulatory arbitrage

arXiv, No. 1502.03252

June 2015

Pablo Koch Medina
Cosimo-Andrea Munari
Mario Sikic

Agency problems, recapitalization costs and optimal resolution of financial distress

NCCR FINRISK Working Paper Series, No. 861

June 2015

Santiago Moreno-Bromberg
Quynh-Anh Vo

Framing effects and risk perception: testing graphical representations of risk for the KIID

SSRN, No. 2606615

May 2015

Remo Stössel
Anna Meier

What Drives Financial Inclusion at the Bottom of the Pyramid - Empirical Evidence from Microfinance Panel Data

Center for Microfinance 04 -2015, No. 04-2015

April 2015

Annette Krauss
Catalina Martinez

Risk and Return around the Clock

SSRN, No. 2606706

April 2015

Felix Fattinger
Alexandre Ziegler

Do Situational Social Norms Crowd Out Intrinsic Preferences? An Experiment Regarding the Choice of Honesty

Swiss Finance Institute Research Paper, No. 15-01

April 2015

Rajna Gibson
Carmen Tanner
Alexander F. Wagner

Measuring and aggregating social performance of microfinance investment vehicles

CMF Working Paper Series, No. 3-2015

March 2015

Julia Meyer
Annette Krauss

Economic Momentum and Currency Returns

n/a, No. n/a

March 2015

Magnus Dahlquist
Henrik Hasseltoft

The Price of Complexity in Financial Networks

Columbia Business School Research Paper, No. 15-49

March 2015

Stefano Battiston
Guido Caldarelli
Robert May
Tarik Roukny
Joseph Stiglitz

Central Bank Collateral Frameworks

Swiss Finance Institute Research Paper Series, No. 15-10

March 2015

Kjell G. Nyborg

Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model

SFI Research Paper, No. 15-08

March 2015

Markus Leippold
Nikola Vasiljevic

Leveraging the Network: A Stress-Test Framework Based on DebtRank

SSRN, No. 2571218

March 2015

Stefano Battiston
Guido Caldarelli
Marco D'Errico
Stefano Gurciullo

Social Versus Financial Return in Microfinance

CMF Working Paper Series, No. 01-2015

March 2015

Julia Meyer

The Multiplex Network of EU Lobby Organizations

SSRN, No. 2571869

March 2015

An Zeng
Stefano Battiston

Agency versus Hold-up: On the Impact of Binding Say-on-Pay on Shareholder Value

Swiss Finance Institute Research Paper, No. 11-12

February 2015

Alexander F. Wagner
Christoph Wenk

Taking Banks to Solow

CEPR Discussion Paper, No. DP10439

February 2015

Martin Scheffel
Hans Gersbach
Jean-Charles Rochet

Multifaceted Transactions, Incentives, and Organizational Form

CEPR Discussion Paper, No. DP10432

February 2015

Michel Habib

The shadow cost of repos and bank liability structure

Swiss Finance Institute Research Paper, No. 15-04

January 2015

Santiago Moreno-Bromberg
Nataliya Klimenko

Differently unequal: Zooming-in on the distributional dimensions of the crisis in euro area countries

LSE ‘Europe in Question’ Discussion Paper Series, No. 86

January 2015

Marco D'Errico
Corrado Macchiarelli
Roberta Serafini

A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing

SSRN, No. 2679218

2015

Erich Walter Farkas
Elise Gourier
Robert Huitema
Ciprian Necula

Herding and Stochastic Volatility

SSRN, No. 2685939

2015

Erich Walter Farkas
Ciprian Necula
Boris Waelchli

A General Closed Form Option Pricing Formula

SSRN, No. 2210359

2015

Ciprian Necula
Gabriel Drimus
Erich Walter Farkas

A Proximity Based Stress Testing Framework

SSRN Electronic Journal, No. 2660498

2015

Boris Wälchli

Recursive equilibria in dynamic economies with stochastic production

December 2014

Johannes Brumm
Dominika Kryczka
Felix Kübler

Are Bankers Worth Their Pay? Evidence from a Talent Measure

SSRN, No. 2393110

September 2014

Claire Myriam Célérier
Boris Vallee

Unbanked Households: Evidence of Supply-Side Factors

SSRN, No. 2392278

September 2014

Claire Myriam Célérier
Adrien Matray

Management Quality and Innovation in Entrepreneurial Firms

September 2014

Thomas J. Chemmanur
Manish Gupta
Karen Simonyan

Opinion Dynamics and Price Formation: a Nonlinear Network Model

arXiv preprint, No. 1408.0308

August 2014

Marco D'Errico
Gulnur Muradoglu
Silvana Stefani
Giovanni Zambruno

"Never again!" - the dynamics of bank bailouts

July 2014

Urs Birchler

Expected utility preferences for contingent claims and lotteries

SSRN, No. 2473611

June 2014

Felix Kübler
Larry Selden
Xiao Wei

Ambiguity aversion in standard and extended Ellsberg frameworks: alpha-maxmin versus maxmin preferences

SSRN, No. 2294514

June 2014

Claudia Ravanelli
Gregor Svindland

Liquidity creation in the nineteenth century: The role of the clearing houses

June 2014

Inke Nyborg

The information content of option demand

Swiss Finance Institute Research Paper, No. 12-43

May 2014

Tatjana-Xenia Puhan
Kerstin Kehrle

Volatility information in index option demand

SSRN, No. 2277689

May 2014

Tatjana-Xenia Puhan

Tail risk, capital requirements and the internal agency problem in banks

April 2014

Nataliya Klimenko

Detecting informed trading activities in the options markets

NCCR FINRISK Working Paper, No. 560

April 2014

Marc Chesney
Remo Crameri
Loriano Mancini

The Big Innovation Bang

March 2014

Diego Ostinelli

Cognitive Barriers to Sustainable Investing: Unleashing the Power of Wealthy Private Investors

DSF Policy Paper, No. 41

March 2014

Falko Paetzold
Timo Busch

Financing asset sales and business cycles

Swiss Finance Institute Research Paper, No. 14-11

February 2014

Tatjana-Xenia Puhan
Marc Arnold
Dirk Hackbarth

Diversification and financial stability

SRC Discussion Paper, No. 10

February 2014

Stefano Battiston
Tasca Paolo

The choice of honesty: An experiment regarding heterogeneous responses to situational social norms

CEPR Discussion Paper, No. 9880

January 2014

Rajna Gibson
Carmen Tanner
Alexander F. Wagner

Capital Adequacy Tests and Limited Liability of Financial Institutions

Swiss Finance Institute Research Paper, No. 14-03

2014

Santiago Moreno-Bromberg
Pablo Koch Medina
Cosimo-Andrea Munari

A Network Analysis of the Evolution of the German Interbank Market

Discussion Paper Deutsche Bundesbank, No. 22

2014

Tarik Roukny
Co-Pierre George
Stefano Battiston

Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model

Social Science Research Network, No. 2311673

2014

Matthias Thul
Ally Quan Zhang

Financial innovation, communication and the theory of the firm

Working paper series / Institute for Empirical Research in Economics, No. 32

2014

Marc Oliver Bettzüge
Thorsten Hens

Closed form option pricing under generalized hermite expansions

SSRN, No. 2349868

October 2013

Gabriel Drimus
Ciprian Necula
Erich Walter Farkas

Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?

Swiss Finance Institute Research Paper , No. 13-43

August 2013

Sabine Elmiger

The finite-time horizon/Stochastic interest rate - Jeanblanc-Shiryaev model

NCCR FINRISK Working Paper Series, No. 859

July 2013

Andrea Barth
Santiago Moreno-Bromberg
Oleg Reichmann

Optimal risk-exposure management with costly refinancing opportunities

NCCR FINRISK Working Paper Series, No. 858

July 2013

Andrea Barth
Santiago Moreno-Bromberg

How can governments borrow so much?

NCCR FINRISK Working Paper Series, No. 863

July 2013

Michel Habib
Jean-Charles Rochet

Tradable permits schemes and new technology adoption

NCCR FINRISK Working Paper Series, No. 860

July 2013

Santiago Moreno-Bromberg
Luca Taschini

Stock Liquidity and Corporate Cash Holdings: Feedback and the Cash as Ammunition Hypothesis

Swiss Finance Institute Research Paper, No. 13-36

June 2013

Kjell G. Nyborg
Zexi Wang

Value around the world

Swiss Finance Institute Research Paper, No. 13-32

May 2013

Nilufer Caliskan
Thorsten Hens

On the strategic value of risk management

SFI Research Paper Series, No. 13-20

March 2013

Thomas-Olivier Léautier
Jean-Charles Rochet

Applying Negishi’s method to stochastic models with overlapping generations

NCCR FINRISK Working Paper Series, No. 851

March 2013

Johannes Brumm
Felix Kübler

A critique of shareholder value maximization

Swiss Finance Institute Research Paper, No. 13-16

2013

Michael Magill
Martine Quinzii
Jean-Charles Rochet

The transmission of monetary policy through conventional and Islamic banks

European Banking Center Discussion Paper, No. 2011-018

2013

Steven Ongena
Zaheer Sajjad
Sweder van Wijnbergen

Capital and contagion in financial networks

MPRA Paper, No. 52141

2013

Giovanni Di Iasio
Stefano Battiston
Luigi Infante
Federico Pierobon

Using adaptive sparse grids to solve high-dimensional dynamic models

SSRN, No. 2349281

2013

Johannes Brumm
Simon Scheidegger

Investment competence and advice seeking

Department of Banking and Finance, No. 4499

2013

Kremena Bachmann
Thorsten Hens

Is there Swissness in investment competence?

SSRN, No. 2388174

2013

Kremena Bachmann
Thorsten Hens

What's Beneath the Surface? Option Pricing with Multifrequency Latent States

HEC Paris Research Paper, No. 969/2013

2013

Laurent Calvet
Adlai Fisher
Markus Leippold

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Swiss Finance Institute Research Paper, No. 13-40

2013

Chris Bardgett
Elise Gourier
Markus Leippold

The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty

2013

Markus Leippold
Meriton Ibraimi

Are Ratings the Worst Form of Credit Assessment Apart from All the Others?

Swiss Finance Institute Research Paper, No. 12-09

2013

Markus Leippold
Andreas Bloechlinger
Basile Maire

Collateral Smile

Swiss Finance Institute Research Paper Series, No. 11-51

2013

Markus Leippold
Lujing Su

The missing link: Unifying risk taking and time discounting

Working paper series / Department of Economics, No. 96

November 2012

Thomas Epper
Helga Fehr-Duda

Optimal dividend policy with random interest rates

SFI , No. 14

October 2012

Jean-Charles Rochet
Ethem Ibrahim Güney

The Effect of Time-Consistent Capital Taxation on Capital Accumulation and Welfare

SSRN, No. 2084721

September 2012

Zhigang Feng
Begoña Domínguez

Detecting informed trading activities in the options markets: Appendix on subprime financial crisis

NCCR FINRISK Working Paper Series, No. 726

September 2012

Marc Chesney
Remo Crameri
Loriano Mancini

Cumulative prospect theory and mean variance analysis. A rigorous comparison

NCCR FINRISK Working Paper, No. 792

July 2012

Thorsten Hens
Janos Mayer

Dynamic competitive economies with complete markets and collateral constraints

NCCR, No. 750

January 2012

Piero Gottardi
Felix Kübler

Optimal preventive bank supervision

AMSE Working Papers, No. 1201

2012

Mohamed Belhaj
Nataliya Klimenko

Understanding Asset Correlations

Swiss Finance Institute Research Paper, No. 12-38

2012

Henrik Hasseltoft
Dominic Burkhardt

When is a Risky Asset "Urgently Needed"?

NCCR, No. 828

2012

Felix Kübler
Larry Selden
Xiao Wei

Agency Issues and Financing Constraints - Evidence from REITs

NCCR FINRISK Working Paper, No. 743

2012

Manish Gupta

How Important is the Probability of Loss in Investment Decisions?

SSRN, No. 2169394

2012

Stefan Zeisberger

Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions

SFI Research Paper Series, No. 12-23

2012

Jacob Stromberg
Markus Leippold

Managerial Incentives to Take Asset Risk

SFI Research Paper, No. 10-18

2012

Marc Chesney
Jacob Stromberg
Alexander F. Wagner

Peer effects at work: The common stock investments of co-workers

Swiss Finance Institute Research Paper Series, No. 12-34

2012

Per Östberg
Hans K Hvide

Evidence of excess comovement in US mergers

Swiss Finance Institute Research Paper Series, No. 12-33

2012

Per Östberg
Christoph Wenk

Preferences for truthfulness: Heterogeneity among and within individuals

Swiss Finance Institute Research Paper, No. 08-48

2012

Rajna Gibson
Carmen Tanner
Alexander F. Wagner

Variance risk, Financial intermediation, and the cross-section of expected option returns

NCCR, No. 712

August 2011

Norman Schürhoff
Alexandre Ziegler

Theory of Inverse Demand: Financial Assets

Finrisk Working Paper Series, No. 721

April 2011

Felix Kübler
Larry Selden
Xiao Wei

Pollution permits, Strategic Trading and Dynamic Technology Adoption

SSRN, No. 1786679

2011

Luca Taschini
Santiago Moreno-Bromberg

CRRA Utility Maximization under Risk Constraints

2011

Anthony Reveillac
Traian Pirvu
Santiago Moreno-Bromberg

Entrepreneurial Spawning and Firm Characteristics

Working Paper ISB

2011

Michel Habib
Ulrich Hege
Pierre Mella-Barral

How much is Banking Secrecy worth? The case of Swiss Banks

NCCR, No. 331

2011

Alexandre Ziegler

Relational Contracts When the Agent' s Productivity Inside the Relationship is Correlated with Outside Opportunities

CEPR Discussion Paper, No. DP8378

2011

Alexander F. Wagner

Structured finance, acquisitions and debt agency

Swiss Finance Institute Research Paper Series, No. 11-55

2011

Gabriel Neukomm

Passive Shareholders as a Takeover Defense

NCCR Finrisk working paper 699, Swiss Finance Institute Research Paper No. 10-56 , No. 699

2011

Andriy Bodnaruk
Pengjie Gao
Per Östberg
Hayong Yun

Time-varying international diversification and the forward premium

SSRN Working Papers

2011

Benjamin Jonen
Simon Scheuring

Collateral constraints, idiosyncratic risk, and aggregate fluctuations

CDSE Discussion Paper , No. 109

2011

Johannes Brumm

News sensitivity and the cross-section of stock returns

NCCR FINRISK, No. 719

2011

Michal Dzielinski

The war puzzle: Contradictory effects of international conflicts on stock markets

NCCR FINRISK, No. 688

2011

Amelie Brune
Thorsten Hens
Marc Oliver Rieger
Mei Wang

Weighted maximum likelihood for risk prediction

NCCR FINRISK, No. 689

2011

Sven Christian Steude

Utility Maximization with a Given Pricing Measure When the Utility Is Not Necessarily Concave

NCCR FINRISK Working Paper, No. 517

2011

Christian Reichlin

Is the pricing kernel u-shaped?

NCCR Finrisk Working Paper, No. 732

2011

Urs Schweri

Risikowahrnehmung bei finanziellen Entscheidungen in der Schweiz

Department of Banking and Finance, No. 3489

2011

Kremena Bachmann
Thorsten Hens

Intraday Pattern in FX Returns and Order Flow

Swiss National Bank, No. 4

2011

Angelo Ranaldo
Francis Breedon

On the Predictability of Stock Prices: a Case for High and Low Prices

Swiss National Bank, No. 11

2011

Angelo Ranaldo
Massimiliano Caporin
Paolo Santucci de Magistris

Regulated and non-regulated companies, technology adoption in experimental markets for emission permits, and option contracts

Grantham Research Institute on Climate Change and the Environment, No. 41

2011

Marc Chesney
Luca Taschini
Mei Wang

Volatility-of-volatility : A simple model free motivation

SSRN Working Papers, No. 1743495

2011

Gabriel Drimus

Viewing the Future through a Warped Lens: Why Uncertainty Generates Hyperbolic Discounting

Working paper series / Institute for Empirical Research in Economics, No. 510

September 2010

Thomas Epper
Helga Fehr-Duda
Adrian Bruhin

Life-cycle portfolio choice, the wealth distribution and asset prices

Swiss Finance Institute Research Paper , No. 10-21

May 2010

Felix Kübler
Karl Schmedders

Banking competition, monitoring incentives and financial stability

Norges Bank Working Paper, No. 16

2010

Thi Quynh Anh Vo

Innovations, rents and risk

The Paul Woolley Centre Working Paper Series 13, No. 659

2010

Bruno Biais
Jean-Charles Rochet
Paul Woolley

ALRIGHT: Asymmetric LaRge-Scale (I)GARCH with Hetero-Tails

Swiss Finance Institute Research Paper, No. 10-27

2010

Marc Paolella

International Price Discovery in Stock Markets - A Unique Intensity Based Information Share

SSRN, No. 1569507

2010

Kerstin Kehrle
Franziska Julia Peter

Money and liquidity in financial markets

Swiss Finance Institute Research Paper, No. 10-25

2010

Kjell G. Nyborg
Per Östberg

Explaining the Demand for Structured Financial Products: Survey and Field Experiment Evidence

SSRN, No. 1694373

2010

Thorsten Hens
Marc Oliver Rieger

A Forecast Based Comparison of Restricted Realized Covariance Models

SSRN, No. 1557343

2010

Angelo Ranaldo
Matteo Bonato
Massimiliano Caporin

A Simple Model of the Firm Life Cycle

Swiss Finance Institute Research Paper Series, No. 10-39

2010

Urs Schweri
Klaus Reiner Schenk-Hoppé

Three Solutions to the Pricing Kernel Puzzle

FINRISK Working Paper Series, No. 604

2010

Thorsten Hens
Christian Reichlin

Consumption Paths under Prospect Utility in an Optimal Growth Model

Swiss Finance Institute Research Paper, No. 10-38

2010

Rina Rosenblatt-Wisch
Klaus Reiner Schenk-Hoppé
Reto Foellmi

Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity

Swiss National Bank, No. 14

2010

Angelo Ranaldo
Tommaso Mancini Griffoli

Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Swiss National Bank, No. 3

2010

Angelo Ranaldo
Loriano Mancini
Jan Wrampelmeyer

Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset

Swiss Finance Institute Research Paper, No. 10-36

2010

Thorsten Hens
Klaus Reiner Schenk-Hoppé
Igor V Evstigneev

Rationality on the Rise: Why Relative Risk Aversion Increases with Stake Size

Working paper series / Institute for Empirical Research in Economics, No. 413

May 2009

Helga Fehr-Duda
Adrian Bruhin
Thomas Epper
Renate Schubert

Risk and Rationality: Uncovering Heterogeneity in Probability Distortion

Working paper series / Institute for Empirical Research in Economics, No. 414

May 2009

Adrian Bruhin
Helga Fehr-Duda
Thomas Epper

Uncertainty Breeds Decreasing Impatience: The Role of Risk Preferences in Time Discounting

Working paper series / Institute for Empirical Research in Economics, No. 412

May 2009

Thomas Epper
Helga Fehr-Duda
Adrian Bruhin

Optimality of prompt corrective action in a continuous - time model with recapitalization possibility

Norges Bank Working Paper, No. 28

2009

Thi Quynh Anh Vo

Optimal Guidance by Central Banks

NCCR, No. 242

2009

Kremena Bachmann
Peter Woehrmann

Forecasting realized (co)variances with a block structure Wishart autoregressive model

Swiss National Bank, No. 13

2009

Matteo Bonato
Massimiliano Caporin
Angelo Ranaldo

How Time Preferences Differ: Evidence from 45 Countries

Swiss Finance Institute Research Paper, No. 09-47

2009

Thorsten Hens
Marc Oliver Rieger
Mei Wang

Evolutionary Finance and Dynamic Games

Swiss Finance Institute Research Paper, No. 09-49

2009

Thorsten Hens
Igor V Evstigneev
Rabah Amir
Le Xu

Rationality on the Rise: Why Relative Risk Aversion Increases with Stake Size

Working paper series / Socioeconomic Institute, No. 708

February 2008

Helga Fehr-Duda
Adrian Bruhin
Thomas Epper
Renate Schubert

Efficient Investment Portfolios for the Swiss Electricity Supply Sector

FCN Working Paper, No. 2

2008

Christoph Wenk
Reinhard Madlener

Monetary Policy Effects on Long-Term Rates and Stock Prices

SSRN, No. 1099957

2008

Angelo Ranaldo
Samuel Reynard

The Dark Side of the Moon: Structured Products from the Customers' Perspective

NCCR FINRISK Working Paper, No. 459

2008

Thorsten Hens
Marc Oliver Rieger

Asset Pricing with Matrix Jump Diffusions

SSRN, No. 1274482

2008

Markus Leippold
Fabio Trojani

Risk and Rationality: Uncovering Heterogeneity in Probability Distortion

Working paper series / Socioeconomic Institute, No. 705

July 2007

Adrian Bruhin
Helga Fehr-Duda
Thomas Epper

Risk and Rationality: The Effect of Incidental Mood on Probability Weighting

Working paper series / Socioeconomic Institute, No. 703

February 2007

Helga Fehr-Duda
Thomas Epper
Adrian Bruhin
Renate Schubert

Why have exchange-traded catastrophe instruments failed to displace reinsurance?

NCCR FINRISK Working Paper Series, No. 371

2007

Rajna Gibson
Michel Habib
Alexandre Ziegler

Performance Pay, Sorting, and Outsourcing

IZA Discussion Paper, No. 3019

2007

Alexandre Ziegler
Fred Henneberger
Alfonso Sousa-Poza

Managerial Guidance and Analysts' Underreaction

NCCR, No. 418

2007

Kremena Bachmann
Peter Woehrmann

The earnings game with behavioral investors

NCCR FINRISK Working Paper, No. 406

2007

Kremena Bachmann
Thorsten Hens

Applying the Hirose-Kamada filter to Swiss data: Output gap and exchange rate pass-through estimates

Swiss National Bank, No. 10

2007

Enzo Rossi
Franziska Bignasca

Stochastic Reference Points And The Dependence Structure

Swiss Finance Institute Research Paper, No. 07-14

2007

Enrico De Giorgi
Thierry Post

An Orthogonal Polynomial Approach to Estimate the Term Structure of Interest Rates

Schweizerische Nationalbank (SNB), No. 14 (2)

2007

Hans-Jürgen Büttler

Classifying Corporate Bonds: A Simple Approach

Economic and Financial Computing, No. 17 (2)

2007

Hans-Jürgen Büttler

Coordination in a Repeated Stochastic Game with Imperfect Monitoring

Working paper series / Institute for Empirical Research in Economics, No. 126

January 2006

Anke Gerber
Thorsten Hens
Bodo Vogt

Does Prospect Theory Explain the Disposition Effect?

Working paper series / Institute for Empirical Research in Economics, No. 262

January 2006

Thorsten Hens
Martin Vlcek

Collateralized Borrowing and Life-Cycle Portfolio Choice

NBER National Bureau of Economic Research 06-4, No. 12309

2006

Felix Kübler
P. Willen

Market Selection in an Evolutionary Market with Creation and Disappearance of Assets

FINRISK Working Paper Series, No. 316

2006

Urs Schweri

Safeguarding Pensions

Worldwide Mastering Series, Financial Times, No. 6

2006

Jürg Syz
Bernard Dumas

Optimal Product Design: A CAPM Approach

NCCR FinRisk Working Paper Series, No. 419

2006

Thorsten Hens
Marc Oliver Rieger
Mei Wang

Modelling Alpha-Opportunities Within the CAPM

NCCR FinRisk Working Paper Series, No. 317

2006

Thorsten Hens
Anke Gerber

Optimal Investments in Variance Swap Constracts under Stochastic Volatility

NCCR

2006

Markus Leippold
L Wu
Daniel Egloff

The Conditional Value of R&D Investments

NCCR, No. 213

2005

Kremena Bachmann

The Trend is Your Friend: Absence of Pin Risk in Trend Options and Time Diversification

SSRN, No. 796070

2005

Markus Leippold
Jürg Syz

Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation

SSRN, No. 693441

2005

Markus Leippold
Daniel Egloff
Curdin Dalbert
Stephan Jöhri

American Options with Stopping Time Constraints

SSRN, No. 798124

2005

Erich Walter Farkas
Daniel Egloff
Markus Leippold

Existence of Sunspot Equilibria and Uniqueness of Spot Market Equilibria: The Case of Intrinsically Complete Markets

Working paper series / Institute for Empirical Research in Economics, No. 188

May 2004

Thorsten Hens
Janos Mayer
Beate Pilgrim

The Transfer Paradox and Sunspot Equilibria

Working paper series / Institute for Empirical Research in Economics, No. 70

February 2004

Thorsten Hens
Beate Pilgrim

Don't Rely on VaR!

SSRN, No. 981134

2004

Markus Leippold

Limits to Arbitrage when Market Participation Is Restricted

Working paper series / Institute for Empirical Research in Economics, No. 176

December 2003

Thorsten Hens
Jean-Jacques Herings
Arkadi Predtetchinskii

Money and Reciprocity

Working paper series / Institute for Empirical Research in Economics, No. 138

November 2003

Thorsten Hens
Bodo Vogt

Competitive Nash Equilibria and Two Period Fund Separation

Working paper series / Institute for Empirical Research in Economics, No. 172

October 2003

Thorsten Hens
Stefan Reimann
Bodo Vogt

Evolutionary Stable Stock Markets

Working paper series / Institute for Empirical Research in Economics, No. 170

October 2003

Igor V Evstigneev
Thorsten Hens
Klaus Reiner Schenk-Hoppé

The Dominance of Retail Stores

NBER, Cambridge, No. 9795

June 2003

Alexandre Ziegler
Edward P Lazear

Prospect Theory and the CAPM: A contradiction or coexistence?

Working paper series / Institute for Empirical Research in Economics, No. 157

June 2003

Haim Levy
Enrico De Giorgi
Thorsten Hens

Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?

Working paper series / Institute for Empirical Research in Economics, No. 161

June 2003

Haim Levy
Enrico De Giorgi
Thorsten Hens

Markets Do Not Select For a Liquidity Preference as Behavior Towards Risk

Working paper series / Institute for Empirical Research in Economics, No. 139

December 2002

Thorsten Hens
Klaus Reiner Schenk-Hoppé

An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index

Working paper series / Institute for Empirical Research in Economics, No. 128

August 2002

Thorsten Hens
Klaus Reiner Schenk-Hoppé
Martin Stalder

On the Micro-foundations of Money: The Capitol Hill Baby-Sitting Co-op

Working paper series / Institute for Empirical Research in Economics, No. 108

March 2002

Thorsten Hens
Klaus Reiner Schenk-Hoppé
Bodo Vogt

A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999

Bank of Finland Research Discussion, No. 16

January 2002

Kjell G. Nyborg
Matti Keloharju
Markku Malkamäki
Kristian Rydqvist

Soft Landing of a Stock Market Bubble - An Experimental Study

Working paper series / Institute for Empirical Research in Economics, No. 90

January 2002

Ralf Becker
Urs Fischbacher
Thorsten Hens

Evolution of Portfolio Rules in Incomplete Markets

Working paper series / Institute for Empirical Research in Economics, No. 74

October 2001

Thorsten Hens
Klaus Reiner Schenk-Hoppé

Market Selection and Survival of Investment Strategies

Working paper series / Institute for Empirical Research in Economics, No. 91

October 2001

Rabah Amir
Igor V Evstigneev
Thorsten Hens
Klaus Reiner Schenk-Hoppé

Market Selection of Financial Trading Strategies: Global Stability

Working paper series / Institute for Empirical Research in Economics, No. 83

July 2001

Igor V Evstigneev
Thorsten Hens
Klaus Reiner Schenk-Hoppé

An Extension of Mantel (1976) to Incomplete Markets

Working paper series / Institute for Empirical Research in Economics, No. 71

January 2001

Thorsten Hens

An Evolutionary Approach to Financial Innovation

Working paper series / Institute for Empirical Research in Economics, No. 35

July 2000

Marc Oliver Bettzüge
Thorsten Hens

On Uniqueness of Equilibria in the CAPM

Working paper series / Institute for Empirical Research in Economics, No. 39

July 2000

Thorsten Hens
Jörg Laitenberger
Andreas Löffler

Sorry, we're closed: Loan conditions when bank branches close and firms transfer to another bank

Banco de Portugal-Working Papers 2016, No. 7

Steven Ongena
Diana Bonfim
Gil Nogueira

Model Risk Adjustments for Regulatory Capital Calculations

Erich Walter Farkas
Fulvia Fringuellotti
Radu Tunaru

Nowcasting Private Consumption with TV Sentiment

KOF Working Paper Series, No. 293

Matthias Uhl