N° 19-54: Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing
D. Filipović, K. Glau, Y. Nakatsukasa, F. Statti
Working Papers
22. Okt. 2019
N° 19-53: Properly Discounted Asset Prices Are Semimartingales
M. Schweizer, D. A. Bálint
Working Papers
11. Okt. 2019
N° 19-52: Mind the (Convergence) Gap: Bond Predictability Strikes Back!
A. Plazzi, A. Berardi, M. Markovich, A. Tamoni
Working Papers
26. Sept. 2019
N° 19-51: A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
M. Paolella, P. Polak, P. S. Walker
Working Papers
26. Sept. 2019
N° 19-50: Low Risk Anomalies?
P. Schneider, Ch. Wagner, J. Zechner
Working Papers
26. Sept. 2019
N° 19-49: Risk Premia and Lévy Jumps: Theory and Evidence
L. Mancini, J. Hugonnier, H. Fallahgoul
Working Papers
26. Sept. 2019
N° 19-44: Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks
G. Kabas, Y.Arslan, A. Degerli
Working Papers
26. Sept. 2019
N° 19-48: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
O. Scaillet, D. Banulescu, C. Hurlin, J. Leymarie
Working Papers
19. Sept. 2019
N° 19-47: Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO
R. Michaely, M. Lowry, E. Volkova
Working Papers
17. Sept. 2019
N° 17-37: Anomalies and False Rejections
A. Goyal, T. Chordia, A. Saretto
Working Papers
11. Sept. 2019
N° 19-46: Estimation of Large Dimensional Conditional Factor Models in Finance
P. Gagliardini, O. Scaillet, E. Ossola
Working Papers
10. Sept. 2019
N° 19-45: Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation
S. Ongena, O. De Jonghe, H. Dewachter, K. Mulier, G. Schepens
Working Papers
10. Sept. 2019
N° 19-44: Bank Standalone Credit Ratings
S. Ongena, M.R. King, N.A. Tarashev
Working Papers
10. Sept. 2019
N° 19-43: The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone
S. Ongena, R. Goncharenko, A. Rauf
Working Papers
10. Sept. 2019
N° 19-42: Fear, Anger and Credit. On Bank Robberies and Loan Conditions
S. Ongena, P. Morales Acevedo
Working Papers
10. Sept. 2019