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Université de Fribourg

Addressing the Concerns About Carbon Leakage in the Implementation of Carbon Pricing Policies : a Focus on the Issue of Competitiveness

Rey, Florian ; Madiès, Thierry

In: Journal of Industrial and Business Economics, 2021, vol. 48, p. 53-75

This article investigates whether the implementation of asymmetric carbon pricing policies leads to carbon leakage. We first present the theoretical mechanisms behind carbon leakage. Secondly, we conduct a review of the existing empirical results of carbon leakage. We focus on the competitiveness channel and therefore rely on papers analysing the effects of asymmetric carbon prices on both...

Consortium of Swiss Academic Libraries

Testing for symmetry and conditional symmetry using asymmetric kernels

Fernandes, Marcelo ; Mendes, Eduardo ; Scaillet, Olivier

In: Annals of the Institute of Statistical Mathematics, 2015, vol. 67, no. 4, p. 649-671

Università della Svizzera italiana

Gold and bubbles: an impossible binomial? : a review of historical and current evidence

Beretta, Edoardo ; Peluso, Stefano

In: Applied economics letters, 2021, p. 5 p

Gold has a far-reaching history of ‘safe haven’ or ‘anchor of stability’. However, the epitome of precious metals has recently deviated from its historical price trend. Fluctuations and volatility have increased too. We argue that gold is not subject to bubbles (due to its scarcity in nature), although its price is. By means of a logical-analytical macroeconomic approach combined with...

Università della Svizzera italiana

Essays on financial markets predictability

Pisati, Matteo Maria ; Barone Adesi, Giovanni (Dir.) ; Mira, Antonietta (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO007.

Empirical indicators of sentiment are commonly employed in the economic literature while a precise understanding of what is sentiment is still missing. Exploring the links among the most popular proxies of sentiment, fear and uncertainty this paper aims to fill this gap. We show how fear and sentiment are specular in their predictive power in relation to the aggregate market and to...

Università della Svizzera italiana

VaR and CVaR implied in option prices

Barone Adesi, Giovanni

In: Journal of risk and financial management, 2016, vol. 9, no. 1, p. 2

VaR (Value at Risk) and CVaR (Conditional Value at Risk) are implied by option prices. Their relationships to option prices are derived initially under the pricing measure. It does not require assumptions about the distribution of portfolio returns. The effects of changes of measure are modest at the short horizons typically used in applications. The computation of CVaR from option price is very...

Università della Svizzera italiana

Bank risk appetite in a world of CoCos

Aquila, Cecilia ; Barone Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO015.

We investigate the shape of risk appetite when the bank is financed also with contingent convertible bonds (CoCos). Our contribution to the existent literature is to assess risk appetite in a multi-dimensional perspective and to account for differences among banks' clusters, especially in a world with CoCos and policy rates approaching zero or negative figures. In our model, the bank objective...

Consortium of Swiss Academic Libraries

Bottleneck options

Ott, Curdin

In: Finance and Stochastics, 2014, vol. 18, no. 4, p. 845-872

Università della Svizzera italiana

Derivative securities in risk management and asset pricing

Legnazzi, Chiara ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2018 ; 2018ECO009.

The high informational content and the ease of accessibility are among the most attractive features which make derivative securities particularly useful in financial applications. With a special focus on risk management and asset pricing, I present several methodologies which involve the use of option and futures data in the estimation process. This doctoral thesis consists of three chapters....

Consortium of Swiss Academic Libraries

Investment guarantees in unit-linked life insurance from the customer perspective

Gatzert, Nadine ; Huber, Carin ; Schmeiser, Hato

In: Zeitschrift für die gesamte Versicherungswissenschaft, 2010, vol. 99, no. 5, p. 627-636