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 août 2016
N°16-51 A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossala
Working Papers
10 août 2016
N°16-51: A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossola
Working Papers
6 août 2016
N°16-50: Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market, U. Yilmaz, 2016.
U. Yilmaz
Working Papers
5 août 2016
N°16-49: Market Integration and Global Crashes, S. Malamud and A. Malkhozov, 2016.
S. Malamud, A. Malkhozov
Working Papers
1 août 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 juil 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 juil 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 juil 2016
N°16-45: When and why do ripple effects of dishonesty occur?
A. Wagner, S. Behnk , A. E. Greenberg
Working Papers
20 juil 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 juil 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 juil 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 juil 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 juil 2016
N°16-40: Real Estate Research in Europe, M. Hoesli, 2016.
M. Hoesli
Working Papers
25 juin 2016