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Essays in empirical finance

Garzoli, Matteo ; Plazzi, Alberto (Dir.)

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.

Sources of productivity spillovers: panel data evidence from China

Baltagi, Badi ; Egger, Peter ; Kesina, Michaela

In: Journal of Productivity Analysis, 2015, vol. 43, no. 3, p. 389-402

Calls of convertible debt securities: no bad news at all

Nigbur, Tobias

In: Financial Markets and Portfolio Management, 2015, vol. 29, no. 1, p. 61-79

Modeling heterogeneity: a praise for varying-coefficient models in causal analysis

Sperlich, Stefan ; Theler, Raoul

In: Computational Statistics, 2015, vol. 30, no. 3, p. 693-718

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 505-505

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

Camponovo, Lorenzo ; Scaillet, Olivier ; Trojani, Fabio

In: Journal of Financial Econometrics, 2017, vol. 15, no. 3, p. 377-387

Measuring risk with multiple eligible assets

Farkas, Walter ; Koch-Medina, Pablo ; Munari, Cosimo

In: Mathematics and Financial Economics, 2015, vol. 9, no. 1, p. 3-27

Essays in institutional investors and financial markets

Cötelioglu, Efe ; Plazzi, Alberto (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2021 ; 2021ECO002.

I use empirical methods to study the effect of institutional investors on financial markets. My studies provide novel evidence on the commonality in liquidity of fixed-income securities, the liquidity provision of hedge funds and mutual funds in equity markets, and the information diffusion from credit default swaps to equities.

Statistical solutions for regressions-type models with big spatial data

Ghiringhelli, Chiara ; Mira, Antonietta (Dir.) ; Arbia, Giuseppe (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2020 ; 2020ECO011.

These last decades have witnessed an explosion of data collection and diffusion in all fields of human society. In many scientific fields researchers are becoming aware of a big data problem and of the need to manage it properly, combining the tools offered by statistics, computer, data science and informatics. This is particularly true for geo-located data, which can be collected in a...

Do socially responsible investments outperform conventional ones ?

Schaub, Laurent-Xavier ; Ruiz, Frédéric (Dir.)

Mémoire de bachelor : Haute école de gestion de Genève, 2020 ; TDIBM 87.

The literature has seen a growing number of studies addressing the topic of sustainable finance, while firms also seem to be keener on undertaking and advertising societal actions. The role firms play in society has been evolving, especially due to the rising demand for corporate social responsibilities. The question that recurrently arises is whether being socially responsible will allow...