Università della Svizzera italiana

Latent factor models for large and mixed-frequency data in finance and macroeconomics

Rubin, Mirco ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2016 ; 2016ECO002.

My thesis considers new latent factor models, and their estimation methodologies, suitable for settings relatively unexplored in the econometric literature as (i) a nonlinear model for the joint dynamics of a large cross-sectional distribution of asset returns, and the persistence of the ranks of the individuals inside it; (ii) approximate linear latent factor models for large panels of...

Università della Svizzera italiana

Aligning capital with risk

Ebnöther, Silvan ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2015 ; 2015ECO007.

The interaction of capital and risk is of primary interest in the corporate governance of banks as it links operational profitability and strategic risk management. Senior executives understand that their organization's monitoring system strongly affects the behaviour of managers and employees. Typical instruments used by senior executives to focus on strategy are balanced scorecards with...

Università della Svizzera italiana

An econometric analysis of time-varying risk premia in large cross-sectional equity datasets

Ossola, Elisa ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO001.

In this thesis, we develop a new econometric methodology to estimate the time-varying risk premia implied by conditional linear asset pricing models. In contrast to the classical approach, we estimate risk premia from a large dataset of returns of individual stocks instead of portfolios. The aim is to avoid the potential bias and loss of information implied by sorting and grouping stocks into...