N°16-53: WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application, G. Barone-Adesi, C. Legnazzi, and C. Sala, 2016.
G. Barone-Adesi, C. Legnazzi, M.A. Finta and C. Sala
Working Papers
1. Sept. 2016
N°16-52: Measuring sovereign bond market integration, I. Chaieb, V. Errunza, and R. Gibson Brandon, 2016.
I. Chaieb, V. Errunza, R. Gibson Brandon
Working Papers
29. Aug. 2016
N°16-51 A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossala
Working Papers
10. Aug. 2016
N°16-51: A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossola
Working Papers
6. Aug. 2016
N°16-50: Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market, U. Yilmaz, 2016.
U. Yilmaz
Working Papers
5. Aug. 2016
N°16-49: Market Integration and Global Crashes, S. Malamud and A. Malkhozov, 2016.
S. Malamud, A. Malkhozov
Working Papers
1. Aug. 2016
N°16-48: Managing Inventory with Proportional Transaction Costs, F. Gallien, S. Kassibrakis, S. Malamud, and F. Passerini, 2016.
S. Malamud, F. Gallien, S. Kassibrakis and F. Passerini
Working Papers
29. Juli 2016
N°16-47, Firm Response to Competitive Shocks: Evidence from China's Minimum Wage Policy, H. Hau, Y. Huang, and G. Wang, 2016.
H. Hau, Y. Huang, and G. Wang
Working Papers
26. Juli 2016
N°16-46: Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models Using MIDAS Regressions and ARCH Models, P. Gagliardini, E. Ghyseks, and M. Rubin, 2016.
P. Gagliardini, E. Ghyseks, and M. Rubin
Working Papers
24. Juli 2016
N°16-45: When and why do ripple effects of dishonesty occur?
A. Wagner, S. Behnk , A. E. Greenberg
Working Papers
20. Juli 2016
N°16-44: On the American Swaption in the Linear-Rational Framework, D. Filipovic and Y. Kitapbayev, 2016.
D. Filipović, Y. Kitapbayev
Working Papers
7. Juli 2016
N°16-43: A False Sense of Security: Why U.S. Banks Diversify and Does it Help?, P. Gandhi, P.C. Kiefer, and A. Plazzi, 2016.
A. Plazzi, P. Gandhi and P.C. Kiefer
Working Papers
6. Juli 2016
N°16-42: Aggregate Bank Capital and Credit Dynamics, G. De Nicolo, N. Klimenko, S. Pfeil, and J.-C. Rochet, 2016.
J. Rochet, G. De Nicolo, N. Klimenko and S. Pfeil
Working Papers
4. Juli 2016
N°16-41: Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy, L. Camponovo, O. Scaillet, and F. Trojani, 2016.
O. Scaillet, F. Trojani, L. Camponovo
Working Papers
1. Juli 2016
N°16-40: Real Estate Research in Europe, M. Hoesli, 2016.
M. Hoesli
Working Papers
25. Juni 2016