Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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08-11: The executive turnover risk premium

Florian S. Peters and Alexander Wagner

08-10: Constant-Quality House Price Indexes for Switzerland

Steven Bourassa, Martin Hoesli, Donato Scognamiglio and Philippe Sormani

08-09: Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Nicole EL Karoui and Claudia Ravanelli

08-08: CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Simon Broda and Marc S. Paolella

08-07: Capital growth under transaction costs: An analysis based on the von Neumann-Gale model

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar

08-06: Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau

08-05: Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

Pierre Bajgrowicz and Olivier Scaillet

08-04: Implied Volatility at Expiration

Alexey Medvedev

08-03: Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Victor Chernozhukov, Patrick Gagliardini and Olivier Scaillet

08-02: The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing

Marc Chesney and Luca Taschini

08-01: Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions

Steven Bourassa, Eva Cantoni and Martin Hoesli

07-37: Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Bernard Dumas, Alexander Kurshev and Raman Uppal

07-36: Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity

Eric Jondeau and Jean-Guillaume Sahuc

07-35: Forecasting EREIT Returns

Camilo Serrano and Martin Hoesli

07-34: Dynamic Option-Based Strategies under Downside Loss Averse Preferences

Amine Jalal

07-33: Executive Compensation: The View from General Equilibrium

Jean-Pierre Danthine and John B. Donaldson

07-32: Arbitrage in Stationary Markets

Igor Evstigneev and Dhruv Kapoor

07-31: Robust Value at Risk Prediction

Loriano Mancini and Fabio Trojani

07-30: Prospect Theory for Continuous Distributions Games and Prospects

Marc Oliver Rieger and Mei Wang

07-29: Co-monotonicity of optimal investments and the design of structured financial products

Marc Oliver Rieger

07-28: Co-monotonicity of optimal investments and the design of structured financial products

Marc Oliver Rieger

07-27: Hybrid Cat-bonds

Pauline Barrieu and Henri Loubergé

07-26: Efficient Estimation of a Semiparametric Characteristic- Based Factor Model of Security Returns

Gregory Connor, Matthias Hagmann and Oliver Linton

07-25: Pricing American Options under Stochastic Volatility and Stochastic Interest Rates

Alexey Medvedev and Olivier Scaillet

07-24: Testing For Equality Between Two Copulas

Bruno Remillard and Olivier Scaillet

07-23: Asset Pricing, Habit Memory, and the Labor Market

Ivan Jaccard

07-22: Declining Valuations And Equilibrium Bidding In Central Bank Refinancing Operations

Christian Ewerhart, Nuno Cassola and Natacha Valla

07-21: Financial Market Equilibria With Cumulative Prospect Therory

Enrico De Giorgi, Thorsten Hens and Marc Oliver Rieger

07-20: Do Stylised Facts of Order Book Markets Need Strategic Behaviour?

Daniel Ladley and Klaus Schenk-Hoppé

07-19: Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle

Ivan Jaccard

07-18: Sovereign Rating Transitions And The Price Of Default Risk In Emerging Markets

Alena Audzeyeva and Klaus Schenk-Hoppé

07-17: Board Independence and Competence

Alexander Wagner

07-16: Why Firms Purchase Property Insurance?

Daniel Aunon-Nerin and Paul Ehling

07-15: Conspicuous Conservatism In Risk Choice

Boaz Moselle, Francois Degeorge and Richard Zeckhauser

07-14: Stochastic Reference Points And The Dependence Structure

Enrico De Giorgi and Thierry Post

07-13: A Specification Test For Nonparametric Instrumental Variable Regression

Patrick Gagliardini and Olivier Scaillet

07-12: Anomalies In Intertemporal Choice?

Anke Gerber and Kirsten Rohde

07-11: Closed-Form Solutions For European And Digital Calls In The Hull And White Stochastic Volatility Model And Their Relation To Locally R-Minimizing And Delta Hedges

Christian-Oliver Ewald, Klaus Schenk-Hoppé and Zhaojun Yang

07-10: Stochastic Volatility: Risk Minimization and Model Risk

Christian-Oliver Ewald, Rolf Poulsen and Klaus Schenk-Hoppé

07-09: Benchmarks in Aggregate Household Portfolios

Pascal St-Amour

07-08: Bankcruptcy Law and Firms’ Behavior

Anne Epaulard and Aude Pommeret

07-07: Background Filtrations andCanonical Loss Processes for Top-Down Models of Portfolio Credit Risk

Philippe Ehlers and Philipp J. Schoenbucher

07-06: Aggregating Phillips Curves

Jean Imbs, Eric Jondeau and Florian Pelgrin

07-05: Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments

Peter Bossaerts, Charles Plott and William Zame

07-04: Why Do the Swiss Rent?

Steven Bourassa and Martin Hoesli

07-03: A GARCH Option Pricing Model in Incomplete Markets

Giovanni Barone-Adesi, Robert Engle and Loriano Mancini

07-02: Barrier Option Pricing Using Adjusted Transition Probabilities

Giovanni Barone-Adesi, Nicola Fusari and John Theal

07-01: An Objective Function for Simulation Based Inference on Exchange Rate Data

Peter Winker, Manfred Gilli and Vahidin Jeleskovic

06-39: Pricing Interest Rate-SensitiveCredit Portfolio Derivatives

Philippe Ehlers and Philipp Schönbucher

06-38: On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach

Terje Lensberg and Klaus Schenk-Hoppé