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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 ().

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09-38: Robust Resampling Methods for Time Series Downloads
Lorenzo Camponovo, Olivier Scaillet and Fabio Trojani
09-37: Growing wealth with fixed-mix strategies Downloads
Michael A.H. Dempster, Igor Evstigneev and Klaus Schenk-Hoppé
09-36: Dragon-Kings, Black Swans and the Prediction of Crises Downloads
Didier Sornette
09-35: Most Efficient Homogeneous Volatility Estimators Downloads
Alexander I. Saichev, Didier Sornette and Vladimir Filimonov
09-34: Equilibrium Driven by Discounted Dividend Volatility Downloads
Jaksa Cvitanic and Semyon Malamud
09-33: The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation Downloads
Darrell Duffie, Semyon Malamud and Gustavo Manso
09-32: Survival and Evolutionary Stability of the Kelly Rule Downloads
Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé
09-31: Other-regarding preferences and altruistic punishment: A Darwinian perspective Downloads
Moritz Hetzer and Didier Sornette
09-30: Aggregating Rational Expectations Models in the Presence of Unobserved Micro Heterogeneity Downloads
Eric Jondeau and Florian Pelgrin
09-29: Firm Migration and Stock Returns Downloads
Giovanni Puopolo
09-28: Short Selling Regulation after the Financial Crisis – First Principles Revisited Downloads
Seraina Gruenewald, Alexander Wagner and Rolf H. Weber
09-27: Bank CEO Incentives and the Credit Crisis Downloads
Ruediger Fahlenbrach and René Stulz
09-26: Linkages Between Direct and Securitized Real Estate Downloads
Elias Oikarinen, Martin Hoesli and Camilo Serrano
09-25: Dynamic Portfolio Choice and Asset Pricing with Narrow Framing and Probability Weighting Downloads
Enrico G. de Giorgi and Shane Legg
09-24: Optimal Liquidation Strategies in Illiquid Markets Downloads
Eric Jondeau, Augusto Perilla and Michael Rockinger
09-23: Fourth Order Pseudo Maximum Likelihood Methods Downloads
Alberto Holly, Alain Monfort and Michael Rockinger
09-22: The time-varying prediction of successful mergers Downloads
Giovanni Barone-Adesi and Giuseppe Corvasce
09-21: Financial Crisis: Estimating the Risk of Assets in Balance Downloads
Giovanni Barone-Adesi and Giuseppe Corvasce
09-20: Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets Downloads
Elena Asparouhova, Peter Bossaerts, Jon Eguia and William Zame
09-19: A Satiscing Alternative to Prospect Theory Downloads
David B. Brown, Enrico De Giorgi and Melvyn Sim
09-18: Health and (other) Asset Holdings Downloads
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
09-17: An Intergenerational Cross-Country Swap Downloads
Miret Padovani and Paolo Vanini
09-16: The Swiss Housing Market Downloads
Steven Bourassa, Martin Hoesli and Donato Scognamiglio
09-15: Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis Downloads
Didier Sornette and Ryan Woodard
09-14: A Consistent Model of ‘Explosive’Financial Bubbles With Mean-Reversing Residuals Downloads
Li Lin, Ruo En Ren and Didier Sornette
09-13: Variance Covariance Orders and Median Preserving Downloads
Semyon Malamud and Fabio Trojani
09-12: Efficiency in Large Dynamic Panel Models with Common Factor Downloads
Patrick Gagliardini and Christian Gourieroux
09-11: The Role of Signal Precision and Transaction Costs in Stock, Option and Volatility Trading Downloads
Ramazan Genca, Rajna Gibson and Yi Xue
09-10: Dynamic Capital Structure under Managerial Entrenchment: Evidence from a Structural Estimation Downloads
Erwan Morellec, Boris Nikolov and Norman Schurhoff
09-09: Dynamic Investment and Financing under Asymmetric Information Downloads
Erwan Morellec and Norman Schurhoff
09-08: Predicting Securitized Real Estate Returns: Financial and Real Estate Factors vs. Economic Variables Downloads
Camilo Serrano and Martin Hoesli
09-07: On the Lease Rate, the Convenience Yield and Speculative Effects in the Gold Futures Market Downloads
Giovanni Barone-Adesi, Helyette Geman and John Theal
09-06: An Empirical Analysis of Alternative Portfolio Selection Criteria Downloads
Manfred Gilli and Enrico Schumann
09-05: Non-parametric counterfactual analysis in dynamic general equilibrium Downloads
Felix Kubler and Karl Schmedders
09-04: Investors’ Misperception: A Hidden Source of High Markups in the Mutual Fund Industry Downloads
Shengsui Hu, Yannick Malevergne and Didier Sornette
09-03: Asset Prices, Funds’ Size and PortfolioWeights in Equilibrium with Heterogeneous and Long-Lived Funds Downloads
Jaksa Cvitanic and Semyon Malamud
09-02: Information Percolation with Equilibrium Search Dynamics Downloads
Darrell Duffie, Semyon Malamud and Gustavo Manso
09-01: Vanishing Liquidity, Market Runs,and the Welfare Impact of TARP Downloads
Christian Ewerhart
08-49: Incomplete-Market Equilibria Solved Recursively on an Event Tree Downloads
Bernard Dumas and Andrew Lyasoff
08-48: Sacred values in financial economic decision-making: Experimental evidence Downloads
Rajna Gibson, Carmen Tanner and Alexander Wagner
08-47: What do frictions mean for Q-theory testing? Downloads
Maria Cecilia Bustamante
08-46: The Dynamics of Going Public Downloads
Maria Cecilia Bustamante
08-45: Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data Downloads
Philippe Huber, Olivier Scaillet and Maria-Pia Victoria-Feser
08-44: Frailty Correlated Default Downloads
Darrell Duffie, Andreas Eckner, Guillaume Horel and Leandro Saita
08-43: The Price of Protection: Derivatives, Default Risk, and Margining Downloads
Rajna Gibson and Carsten Murawski
08-42: Testing for threshold effect in ARFIMA models: Application to US unemployment rate data Downloads
Amine Lahiani and Olivier Scaillet
08-41: Strategies of Survival in Dynamic Asset Market Games Downloads
Rabah Amir, Igor Evstigneev and Le Xu
08-40: Asymmetric Information and Adverse Selection in Mauritian Slave Auctions Downloads
Georges Dionne, Pascal St-Amour and Désiré Vencatachellum
08-39: Global Securitized Real Estate Benchmarks and Performance Downloads
Camilo Serrano and Martin Hoesli
08-38: Auctioned IPOs: The U.S. Evidence Downloads
Francois Degeorge, Francois Derrien and Kent Womack
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