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: Finance and Stochastics, 2015, vol. 19, no. 2, p. 363-414
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In: Mathematics and Financial Economics, 2015, vol. 9, no. 1, p. 3-27
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In: Work, Aging and Retirement, 2016, vol. 2, no. 1, p. 73-85
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In: Review of Keynesian Economics, 2015, vol. 3, no. 2, p. 213-225
This paper shows how a defective architecture for domestic and international payments has made it possible for banks to exploit the endogenous nature of money in a variety of purely speculative financial-market transactions that have led to the eruption of a global systemic crisis. I elaborate on a monetary–structural reform, which should make sure that no bank will any longer be in a...
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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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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...
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In: Statistics & Risk Modeling, 2016, vol. 33, no. 1-2, p. 51-65
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In: Finance and Stochastics, 2014, vol. 18, no. 2, p. 327-347
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