Swiss Finance Institute Research Paper Series
Continuation of FAME Research Paper Series. From Swiss Finance Institute Contact information at EDIRC. Bibliographic data for series maintained by Ridima Mittal (). Access Statistics for this working paper series.
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- 09-38: Robust Resampling Methods for Time Series

- Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
- 09-37: Growing wealth with fixed-mix strategies

- Michael A.H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé
- 09-36: Dragon-Kings, Black Swans and the Prediction of Crises

- Didier Sornette
- 09-35: Most Efficient Homogeneous Volatility Estimators

- Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
- 09-34: Equilibrium Driven by Discounted Dividend Volatility

- Jaksa Cvitanic and Semyon Malamud
- 09-33: The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

- Darrell Duffie, Semyon Malamud and Gustavo Manso
- 09-32: Survival and Evolutionary Stability of the Kelly Rule

- Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
- 09-31: Other-regarding preferences and altruistic punishment: A Darwinian perspective

- Moritz Hetzer and Didier Sornette
- 09-30: Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity

- Eric Jondeau and Florian Pelgrin
- 09-29: Firm Migration and Stock Returns

- Giovanni Puopolo
- 09-28: Short Selling Regulation after the Financial Crisis – First Principles Revisited

- Seraina Gruenewald, Alexander Wagner and Rolf H. Weber
- 09-27: Bank CEO Incentives and the Credit Crisis

- Ruediger Fahlenbrach and René Stulz
- 09-26: Linkages Between Direct and Securitized Real Estate

- Elias Oikarinen, Martin Hoesli and Camilo Serrano
- 09-25: Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting

- Enrico G. de Giorgi and Shane Legg
- 09-24: Optimal Liquidation Strategies in Illiquid Markets

- Eric Jondeau, Augusto Perilla and Michael Rockinger
- 09-23: Fourth Order Pseudo Maximum Likelihood Methods

- Alberto Holly, Alain Monfort and Michael Rockinger
- 09-22: The time-varying prediction of successful mergers

- Giovanni Barone-Adesi and Giuseppe Corvasce
- 09-21: Financial Crisis: Estimating the Risk of Assets in Balance

- Giovanni Barone-Adesi and Giuseppe Corvasce
- 09-20: Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets

- Elena Asparouhova, Peter Bossaerts, Jon Eguia and William Zame
- 09-19: A Satiscing Alternative to Prospect Theory

- David B. Brown, Enrico De Giorgi and Melvyn Sim
- 09-18: Health and (other) Asset Holdings

- Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
- 09-17: An Intergenerational Cross-Country Swap

- Miret Padovani and Paolo Vanini
- 09-16: The Swiss Housing Market

- Steven Bourassa, Martin Hoesli and Donato Scognamiglio
- 09-15: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

- Didier Sornette and Ryan Woodard
- 09-14: A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals

- Li Lin, Ruo En Ren and Didier Sornette
- 09-13: Variance Covariance Orders and Median Preserving

- Semyon Malamud and Fabio Trojani
- 09-12: Efficiency in Large Dynamic Panel Models with Common Factor

- Patrick Gagliardini and Christian Gourieroux
- 09-11: The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading

- Ramazan Genca, Rajna Gibson and Yi Xue
- 09-10: Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation

- Erwan Morellec, Boris Nikolov and Norman Schurhoff
- 09-09: Dynamic Investment and Financing under Asymmetric Information

- Erwan Morellec and Norman Schurhoff
- 09-08: Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables

- Camilo Serrano and Martin Hoesli
- 09-07: On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market

- Giovanni Barone-Adesi, Helyette Geman and John Theal
- 09-06: An Empirical Analysis of Alternative Portfolio Selection Criteria

- Manfred Gilli and Enrico Schumann
- 09-05: Non-parametric counterfactual analysis in dynamic general equilibrium

- Felix Kubler and Karl Schmedders
- 09-04: Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry

- Shengsui Hu, Yannick Malevergne and Didier Sornette
- 09-03: Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds

- Jaksa Cvitanic and Semyon Malamud
- 09-02: Information Percolation with Equilibrium Search Dynamics

- Darrell Duffie, Semyon Malamud and Gustavo Manso
- 09-01: Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP

- Christian Ewerhart
- 08-49: Incomplete-Market Equilibria Solved Recursively on an Event Tree

- Bernard Dumas and Andrew Lyasoff
- 08-48: Sacred values in financial economic decision-making: Experimental evidence

- Rajna Gibson, Carmen Tanner and Alexander Wagner
- 08-47: What do frictions mean for Q-theory testing?

- Maria Cecilia Bustamante
- 08-46: The Dynamics of Going Public

- Maria Cecilia Bustamante
- 08-45: Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data

- Philippe Huber, Olivier Scaillet and Maria-Pia Victoria-Feser
- 08-44: Frailty Correlated Default

- Darrell Duffie, Andreas Eckner, Guillaume Horel and Leandro Saita
- 08-43: The Price of Protection: Derivatives, Default Risk, and Margining

- Rajna Gibson and Carsten Murawski
- 08-42: Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

- Amine Lahiani and Olivier Scaillet
- 08-41: Strategies of Survival in Dynamic Asset Market Games

- Rabah Amir, Igor Evstigneev and Le Xu
- 08-40: Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

- Georges Dionne, Pascal St-Amour and Désiré Vencatachellum
- 08-39: Global Securitized Real Estate Benchmarks and Performance

- Camilo Serrano and Martin Hoesli
- 08-38: Auctioned IPOs: The U.S. Evidence

- Francois Degeorge, Francois Derrien and Kent Womack
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