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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.

An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators

Arellano-Valle, Reinaldo ; Genton, Marc

In: Annals of the Institute of Statistical Mathematics, 2010, vol. 62, no. 2, p. 363-381

Goodness-of-fit tests for correlated data

GASSER, THEO

In: Biometrika, 1975, vol. 62, no. 3, p. 563-570

Essay on asymmetry and tails : different approaches

Cazzaniga, Sofia ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO012.

This thesis investigates the role of extreme events and of tails in financial asset returns distribution. It is composed of three parts. Chapter 1 details the application of a fast convolution algorithm to compute high dimensional integrals in the context of multiplicative noise stochastic processes describing financial return. Chapter 2 deals with downside risk in the currency markets by means...