N°16-13: Forecasting Financial Returns with a Structural Macroeconomic Model, E. Jondeau and M. Rockinger, 2016.
E. Jondeau, M. Rockinger
Working Papers
15 mars 2016
N°16-12: Modified Profile Likelihood Inference and Interval Forecast of the Burst of Financial Bubbles, G. Demos, V. Filimonov, and D. Sornette, 2016.
D. Sornette, G. Demos, V. Filimonov
Working Papers
12 mars 2016
N°16-11: Inference in Group Factor Models with an Application to Mixed Frequency Data, E. Andreou, P. Gagliardini, E. Ghysels, and M. Rubin, 2016.
P. Gagliardini, E. Andreou, E. Ghysels, and M. Rubin
Working Papers
5 mars 2016
N°16-10: Birds of a Feather—Do Hedge Fund Managers Flock Together?
A. Plazzi, J. C. Ackwerth, M. Gerritzen
Working Papers
1 mars 2016
N°16-09: Quantum Decision Theory in Simple Risky Choices, M. Favre, H. Rudolf, D. Sornette, A. Wittwer, and, V. I. Yukalov, 2016.
D. Sornette, M. Favre, H. Rudolf, A. Wittwer, and V. I. Yukalov
Working Papers
29 fév. 2016
N°16-08: Resolving Persistent Uncertainty by Self-Organized Consensus to Mitigate Market Bubbles, S. Andraszewicz, R. O. Murphy, P. B. Rindler, D. Sanadgol, and D. Sornette, 2016.
D. Sornette, S. Andraszewicz, R. O. Murphy, P. B. Rindler and D. Sanadgol
Working Papers
27 fév. 2016
N°16-07: Employment Protection and Investment Opportunities, C. F. Loderer, U. Waelchli, and J. Zeller, 2016.
C. F. Loderer, U. Waelchli, and J. Zeller
Working Papers
23 fév. 2016
N°16-06: On Ill-Posedness of Nonparametric Instrumental Variable Regression With Convexity Constraints, O. Scaillet, 2016.
O. Scaillet
Working Papers
21 fév. 2016
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 fév. 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 fév. 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 fév. 2016
N°16-02: Economically Consistent Valuations and Put-Call Parity, M. Herdegen and M. Schweizer, 2016.
M. Schweizer, M. Herdegen
Working Papers
5 fév. 2016
N°16-01: Measuring House Price Bubbles, Steven C. BOURASSA, Martin HOESLI, Elias OIKARINEN, 2016.
M. Hoesli, Steven C. BOURASSA and Elias OIKARINEN
Working Papers
1 jan. 2016
N°15-68: Financial Conglomerate Affiliated Hedge Funds: Risk Taking Behavior and Liquidity Transformation, F. Franzoni and M. Giannetti, 2015.
F. Franzoni, M. Giannetti
Working Papers
21 sept. 2015
N°15-65: How Do Investors and Firms React to a Large Unexpected Currency Appreciation Shock?
R. Fahlenbrach, P. Krüger, M. Efing, C. Herper
Working Papers
15 sept. 2015