N° 19-34: Machine Learning With Kernels for Portfolio Valuation and Risk Management
D. Filipović, L. Boudabsa
Working Papers
21 June 2019
N° 19-33: Real Estate Performance, the Macroeconomy and Leverage
M. Hoesli, J-C. Delfim
Working Papers
14 June 2019
N° 19-32: Robust Desmoothed Real Estate Returns
M. Hoesli, J-C. Delfim
Working Papers
14 June 2019
N° 19-31: On the Nature of (Jump) Skewness Risk Premia
P. Orlowski, P. Schneider, F. Trojani
Working Papers
14 June 2019
N° 19-30: The Effect of Stock Liquidity on Cash Holdings: The Repurchase Motive
K. Nyborg, Z. Wang
Working Papers
4 June 2019
N° 19-29: Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model
D. Sornette, R. Westphal
Working Papers
3 June 2019
N° 19-28: Bank Capital Requirements, Loan Guarantees and Firm Performance
S. Ongena, S. Mayordomo, A. Moreno, M. Rodriguez-Moreno
Working Papers
31 May 2019
N° 19-27: A Flexible Regime Switching Model for Asset Returns
M. Paolella, P. Polak, P. S. Walker
Working Papers
17 May 2019
N° 19-26: Insurance: Models, Digitalization, and Data Science
H. Albrecher, D. Filipović, P. Koch-Medina, A. Bommier, S. Loisel, H. Schmeiser
Working Papers
7 May 2019
Liquidity, Innovation, and Endogenous Growth
S. Malamud, F. Zucchi
Academic Publications
1 May 2019
An Anatomy of the Market Return
P. Schneider
Academic Publications
1 May 2019
(Almost) Model-Free Recovery
P. Schneider, F. Trojani
Academic Publications
1 May 2019
N° 19-25: The Fair Reward Problem: The Illusion of Success and How to Solve It
D. Sornette, S. Wheatley, P. Cauwels
Working Papers
26 April 2019
N° 19-24: Crude Awakening: Oil Prices and Bond Returns
E. Jondeau, Y. Wang , Q. Zhang, X. Zhu
Working Papers
17 April 2019