How Integrated are Credit and Equity Markets? Evidence from Index Options
P. Collin-Dufresne, B. Junge, A. B. Trolle
Academic Publications
25 Jan. 2024
N°24-07: Sparse Portfolio Selection via Topological Data Analysis based Clustering
D. Filipović, A. Goel, P. Pasricha
Working Papers
24 Jan. 2024
N°24-06: Asset Life, Leverage, and Debt Maturity Matching
E. Morellec, T. Geelen, J. Hajda, A. Winegar
Working Papers
23 Jan. 2024
N°24-05: Investments and Asset Pricing in a World of Satisficing Agents
T. Berrada, P. Bossaerts, G. Ugazio
Working Papers
23 Jan. 2024
Financial returns to household inventory management
L. Küng , S. R. Baker, S. Johnson
Academic Publications
23 Jan. 2024
N°24-04: The Impact of Climate Engagement: A Field Experiment
J. Kölbel, F. Heeb
Working Papers
22 Jan. 2024
N°24-03: Robust difference-in-differences analysis when there is a term structure
K. Nyborg, J. Woschitz
Working Papers
22 Jan. 2024
N°24-02: Scaling Laws And Statistical Properties of The Transaction Flows And Holding Times of Bitcoin
D. Sornette, Y. Zhang
Working Papers
8 Jan. 2024
N°24-01: An Intermediation-Based Model of Exchange Rates
S. Malamud, A. Schrimpf, Y. Zhang
Working Papers
8 Jan. 2024
The Virtue of Complexity in Return Prediction
S. Malamud, B. T. Kelly, K. Zhou
Academic Publications
4 Jan. 2024
N°23-121: Large (and Deep) Factor Models
B. Kuznetsov, S. Malamud, B. Kelly, T. A. Xu
Working Papers
19 Dec. 2023
N°23-120: Serious Errors Impair an Assessment of Forest Carbon Projects: A Rebuttal Of West Et Al. (2023)
E. Nowak, T. Brade , H. Carstairs, M. B. Collins, R. Cosenza, J. Funk , I. M. McNicol, P. Meir , E. T. A. Mitchard, P. Nieto Quintano, S. S. Saatchi
Working Papers
4 Dec. 2023
N°23-119: Universal Portfolio Shrinkage
S. Malamud, M. Pourmohammadi, F. Trojani, B. Kelly,
Working Papers
1 Dec. 2023
N°23-118: The Supply of Cyber Risk Insurance
A. Kartasheva , M. Eling, D. Ning
Working Papers
27 Nov. 2023
N°23-117: Exchange Rate Determination under Limits to CIP Arbitrage
P. Bacchetta, J. S. Davis, E. van Wincoop
Working Papers
21 Nov. 2023