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...
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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...
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Thèse de doctorat : Università della Svizzera italiana, 2011 ; 2011ECO007.
An American option provides the right to perform a specified financial transaction (sell, buy, exchange) on or before the contract maturity. Many different contracts traded on centralized and OTC markets are of this kind. In particular, a plain vanilla American option is a contract between two parties concerning the possibility of selling or buying a reference asset (underlying) at a specified...
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Thèse de doctorat : Università della Svizzera italiana, 2007 ; 2007ECO003.
Traditionally, the gender wage gap has been explained by gender differences in the level of human capital (observed gender wage gap) and by discriminatory forces in the labour market (unobserved gender wage gap). One candidate for explaining part of the unobserved gender wage gap is occupational segregation. In this dissertation we study the characteristics of horizontal and vertical occupational...
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