Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO007.
I use empirical methods to forecast U.S. repeat-sales house price indices, to analyze Swiss long-run default rates and to investigate the role of country and industry effects on the downside risk of stock index returns.
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In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 505-505
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In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 377-387
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In: Journal of Business and Economic Statistics, 2020, vol. 38, no. 1, p. 183-200
This article investigates the finite sample properties of a range of inference methods for propensity score-based matching and weighting estimators frequently applied to evaluate the average treatment effect on the treated. We analyze both asymptotic approximations and bootstrap methods for computing variances and confidence intervals in our simulation designs, which are based on German...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO008.
My doctoral thesis examines the relationships among the degree of financial market integration and the pricing of different classes of assets. The first chapter provides a theoretical framework that uncovers in a model-free way the relationship between international stochastic discount factors (SDFs), stochastic wedges, and financial market structures. Exchange rates are in general different...
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Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO002.
My dissertation consists of three chapters, each of which focuses on a different area of research in asset pricing. The first chapter deals with the informational role of brokerage firms during fire sales in the equity market. The second chapter exploits the ETF program by the bank of Japan as a quasi-natural experiment to measure the slope of the equity demand curve. The last chapter presents...
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In: Computational Statistics, 2014, vol. 29, no. 5, p. 1345-1363
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In: Empirical Economics, 2014, vol. 47, no. 2, p. 427-450
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In: International Journal of Computer Vision, 2014, vol. 107, no. 2, p. 139-154
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In: Journal of applied statistics, 2011, vol. 38, no. 12, p. 2881-2899
Consistencyofpropensityscorematchingestimatorshingesonthepropensityscore’sabilityt obalancethe distributions of covariates in the pools of treated and non-treated units. Conventional balance tests merely check for differences in covariates’means, but cannot account for differences in higher moments. For this ...
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