Università della Svizzera italiana

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.

Consortium of Swiss Academic Libraries

Alarm Systems and Catastrophes from a Diverse Point of View

Cirillo, Pasquale ; Hüsler, Jürg ; Muliere, Pietro

In: Methodology and Computing in Applied Probability, 2013, vol. 15, no. 4, p. 821-839

Consortium of Swiss Academic Libraries

Fractional Cointegration Analysis of Securitized Real Estate

Serrano, Camilo ; Hoesli, Martin

In: The Journal of Real Estate Finance and Economics, 2012, vol. 44, no. 3, p. 319-338

Université de Fribourg

Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability

Isakov, Dušan ; Marti, Didier

(Working Papers SES ; 421)

This paper extends the literature on the profitability of technical analysis in three directions. First, we investigate the performance of complex trading rules based on moving averages computed over longer periods than those usually considered. Different trading rules are simulated on daily prices of the Standard & Poor’s 500 index and we find that trading rules are more profitable when...

Università della Svizzera italiana

Semi-parametric implied volatility surface models and forecasts based on a regression tree-boosting algorithm

Colangelo, Dominik ; Audrino, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2009 ; 2009ECO006.

A new methodology for semi-parametric modelling of implied volatility surfaces is presented. This methodology is dependent upon the development of a feasible estimating strategy in a statistical learning framework. Given a reasonable starting model, a boosting algorithm based on regression trees sequentially minimizes generalized residuals computed as differences between observed and...