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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.

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.

Multiplicative Decompositions and Frequency of Vanishing of Nonnegative Submartingales

Nikeghbali, Ashkan

In: Journal of Theoretical Probability, 2006, vol. 19, no. 4, p. 931-949

Recent Developments in Credit Markets

Brommundt, Bernd ; Felsenheimer, Jochen ; Gisdakis, Philip ; Zaiser, Michael

In: Financial Markets and Portfolio Management, 2006, vol. 20, no. 2, p. 221-234

Modeling the evolution of implied CDO correlations

Hofert, Marius ; Scherer, Matthias ; Zagst, Rudi

In: Financial Markets and Portfolio Management, 2010, vol. 24, no. 3, p. 289-308

Valuation of default-sensitive claims under imperfect information (Publisher's Erratum)

Coculescu, Delia ; Geman, Hélyette ; Jeanblanc, Monique

In: Finance and Stochastics, 2010, vol. 14, no. 1, p. 153-155

Valuation of default-sensitive claims under imperfect information

Coculescu, Delia ; Geman, Hélyette ; Jeanblanc, Monique

In: Finance and Stochastics, 2008, vol. 12, no. 2, p. 195-218

Enterprise risk management in financial groups: analysis of risk concentration and default risk

Gatzert, Nadine ; Schmeiser, Hato ; Schuckmann, Stefan

In: Financial Markets and Portfolio Management, 2008, vol. 22, no. 3, p. 241-258

Scaled Limit and Rate of Convergence for the Largest Eigenvalue from the Generalized Cauchy Random Matrix Ensemble

Najnudel, Joseph ; Nikeghbali, Ashkan ; Rubin, Felix

In: Journal of Statistical Physics, 2009, vol. 137, no. 2, p. 373-406

Book review of Fault Lines by Raghuram G. Rajan

Garcia-Appendini, Emilia

In: Financial Markets and Portfolio Management, 2013, vol. 27, no. 4, p. 431-433