N°16-05: LPPLS Bubble Indicators over Two Centuries of the S&P 500 Index, M. Balcilar, R. Gupta, Z. A. Ozdemir, D. Sornette, I. H. Yetkiner, and Q. Zhang, 2016.
D. Sornette, M. Balcilar, R. Gupta, Z. A. Ozdemir, I. H. Yetkiner, and Q. Zhang
Working Papers
15 Feb. 2016
N°16-04: A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry, M. Adelmann, L. F. Arjona, J. Mayer, and K. Schmedders, 2016.
K. Schmedders, M. Adelmann, L. F. Arjona, J. Mayer
Working Papers
12 Feb. 2016
N°16-03: Micro-Foundation Using Percolation Theory of the Finite-Time Singular Behavior of the Crash Hazard Rate in a Class of Rational Expectation Bubbles, M. Seyrich and D. Sornette, 2016.
D. Sornette, M. Seyrich
Working Papers
10 Feb. 2016
N°16-02: Economically Consistent Valuations and Put-Call Parity, M. Herdegen and M. Schweizer, 2016.
M. Schweizer, M. Herdegen
Working Papers
5 Feb. 2016
Does Variance Risk Have Two Prices? Evidence from the Equity and Option Markets
L. Barras and A. Malkhozov
Academic Publications
5 Feb. 2016
Is There "Swissness" in Investment Behavior?
T. Hens, K. Bachmann
Roundups
1 Feb. 2016
Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry
A. Plazzi, E. Ghysels and R. Valkanov
Academic Publications
1 Jan. 2016
Why Don’t All Banks Practice Regulatory Arbitrage? Evidence From Usage of Trust-Preferred Securities
R. Fahlenbrach, N. M. Boyson and R. M. Stulz
Academic Publications
1 Jan. 2016
Valuations of options on discretely sampled variance
W. Farkas, G. Drimus and E. Gourier
Academic Publications
1 Jan. 2016
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
D. Filipović, H. Amini and A. Minca
Academic Publications
1 Jan. 2016
Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
P. Gagliardini, O. Scaillet, E. Ossola
Academic Publications
1 Jan. 2016
The Quality-Assuring Role of Mutual Fund Advisory Fees
M. Habib, D. B. Johnsen
Academic Publications
1 Jan. 2016
The Great Recession: A Self-Fulfilling Global Panic
P. Bacchetta, E. van Wincoop
Academic Publications
1 Jan. 2016