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FAME Research Paper Series

Continued by Swiss Finance Institute Research Paper Series.

From International Center for Financial Asset Management and Engineering
Contact information at EDIRC.

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rp99: Irreversible Investment with Regime Shifts Downloads
Xin Guo, Jianjun Miao and Erwan Morellec
rp98: The Price of Aesthetic Externalities Downloads
Steven Bourassa, Martin Hoesli and Jian Sun
rp97: Tests of an International Capital Asset Pricing Model with Stocks and Government Bonds and Regime Switching Prices of Risk and Intercepts Downloads
Tom A. Fearnley
rp96: Financial Structure and Market Equilibrium in a Vertically Differentiated Industry Downloads
Jean Lefoll and Stylianos Perrakis
rp95: Estimation of an International Capital Asset Pricing Model with Stocks and Government Bonds Downloads
Tom A. Fearnley
rp94: Quantitative Selection of Long-Short Hedge Funds Downloads
Kaifeng Chen and Alexander Passow
rp93: A Simple Calibration Procedure of Stochastic Volatility Models with Jumps by Short Term Asymptotics Downloads
Alexey Medvedev and Olivier Scaillet
rp92: Testing for Contagion in International Financial Markets: Which Way to Go? Downloads
Sébastien Wälti
rp91: Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators Downloads
Matthias Hagmann and Olivier Scaillet
rp90: Determinants of Cross-Sectional Variation in Discount Rates, Growth Rates, and Exit Cap Rates Downloads
Åke Gunnelin, Patric Hendershott, Martin Hoesli and Bo Söderberg
rp9: Recovery Risk in Stock Returns Downloads
Aydin Akgun and Rajna Gibson
rp89: Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements Downloads
Jean-David Fermanian and Olivier Scaillet
rp88: The Macroeconomics of Delegated Management Downloads
Jean-Pierre Danthine and John B. Donaldson
rp87: Maximum Drawdown and the Allocation to Real Estate Downloads
Foort Hamelink and Martin Hoesli
rp86: Portfolio Diversification in Europe Downloads
Kpate Adjaouté, Jean-Pierre Danthine and Dusan Isakov
rp85: Start-ups Defined as Portfolios of Embedded Options Downloads
Pascal Botteron and Jean-François Casanova
rp84: European Financial Integration and Equity Returns: A Theory-Based Assessment Downloads
Kpate Adjaouté and Jean-Pierre Danthine
rp83: On the Way to Recovery: A Nonparametric Bias Free Estimation of Recovery Rate Densities Downloads
Olivier Renault and Olivier Scaillet
rp82: The Welfare Implications of Non-Patentable Financial Innovations Downloads
Helios Herrera and Enrique Schroth
rp81: Does Poor Legal Enforcement Make Households Credit-Constrained? Downloads
Daniela Fabbri and Mario Padula
rp80: Geographical versus Industrial Diversification: A Mean Variance Spanning Approach Downloads
Paul Ehling and Sofia Ramos
rp8: Option Pricing and Replication with Transaction Costs and Dividends Downloads
Stylianos Perrakis and Jean Lefoll
rp79: What’s in a View? Downloads
Steven Bourassa, Martin Hoesli and Jian Sun
rp78: Why Government Bonds Are Sold by Auction and Corporate Bonds by Posted-Price Selling Downloads
Michel A. Habib and Alexandre Ziegler
rp77: Competition Between Stock Exchanges: A Survey Downloads
Sofia Ramos
rp76: Profitable Innovation Without Patent Protection: The Case of Derivatives Downloads
Helios Herrera and Enrique Schroth
rp75: Who are the Best? Local Versus Foreign Analysts on the Latin American Stock Markets Downloads
Jean-François Bachmann and Guido Bolliger
rp74: Innovation and First-Mover Advantages in Corporate Underwriting: Evidence from Equity Linked Securities Downloads
Enrique Schroth
rp73: On the Consequences of State Dependent Preferences for the Pricing of Financial Assets Downloads
Jean-Pierre Danthine, John B. Donaldson, Christos Giannikos and Hany Guirguis
rp72: Are practitioners right? On the relative importance of industrial factors in international stock returns Downloads
Dusan Isakov and Frédéric Sonney
rp71: The Allocation of Assets Under Higher Moments Downloads
Eric Jondeau and Michael Rockinger
rp70: International Evidence on Real Estate as a Portfolio Diversifier Downloads
Martin Hoesli, Jon Lekander and Witold Witkiewicz
rp7: Optimal Catastrophe Insurance with Multiple Catastrophes Downloads
Henri Loubergé and Harris Schlesinger
rp69: Conditional Dependency of Financial Series: The Copula-GARCH Model Downloads
Eric Jondeau and Michael Rockinger
rp68: The capital structure of Swiss companies: an empirical analysis using dynamic panel data Downloads
Philippe Gaud, Elion Jani, Martin Hoesli and André Bender
rp67: Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility Downloads
Peng Cheng and Olivier Scaillet
rp66: Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases Downloads
Paolo Battocchio, Francesco Menoncin and Olivier Scaillet
rp65: Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk? Downloads
Didier Cossin, Tomas Hricko, Daniel Aunon-Nerin and Zhijiang Huang
rp64: Dynamic Allocation of Treasury and Corporate Bond Portfolios Downloads
Roger Walder
rp62: Integrated Market and Credit Risk Management of Fixed Income Portfolios Downloads
Roger Walder
rp61: A Framework for Collateral Risk Control Determination Downloads
Didier Cossin, Zhijiang Huang, Daniel Aunon-Nerin and Fer nando González
rp60: Optimal Dynamic rading Strategies with Risk Limits Downloads
Domenico Cuoco, Hua He and Sergei Issaenko
rp6: Systematic Patterns Before and After Large Price Changes: Evidence from High Frequency Data from the Paris Bourse Downloads
Foort Hamelink
rp59: Implicit Forward Rents as Predictors of Future Rents Downloads
Peter Englund, Åke Gunnelin, Martin Hoesli and Bo Söderberg
rp58: Do Housing Submarkets Really Matter? Downloads
Steven Bourassa, Martin Hoesli and Vincent S. Peng
rp57: Nonparametric Estimation of Copulas for Time Series Downloads
Jean-David Fermanian and Olivier Scaillet
rp56: Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures Downloads
Roger Walder
rp55: Option Pricing with Discrete Rebalancing Downloads
Jean-Luc Prigent, Olivier Renault and Olivier Scaillet
rp54: The Determinants of Stock Returns in a Small Open Economy Downloads
Séverine Cauchie, Martin Hoesli and Dusan Isakov
rp53: Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates Downloads
Christophe Pérignon and Christophe Villa
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