N°24-73: Allocating Capital to Time: Introducing Credit Migration for Measuring Time-Related Risks
H. Albrecher, M. Dacorogna
Working Papers
20. Nov. 2024
N°24-72: Who Invests in What? Public Firms Ownership Around the World
I. Chaieb, V. Errunza, L. Y. Lu
Working Papers
20. Nov. 2024
N°24-71: Sustainable Investing Home and Abroad
I. Chaieb, V. Errunza, L. Y. Lu
Working Papers
20. Nov. 2024
N°24-70: Hard to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning
F. Audrino, J. Chassot
Working Papers
20. Nov. 2024
N°24-69: Does Sentiment Help in Asset Pricing? A Novel Approach using Large Language Models and Market-Based Labels
F. Audrino, J. Schüttler, F. Sigrist
Working Papers
20. Nov. 2024
N°24-68: Quantifying Uncertainty: A New Era of Measurement through Large Language Models
F. Audrino, J. Gentner, S. Stalder
Working Papers
20. Nov. 2024
N°24-67: A New Test for an Old Puzzle
L. Bretscher, P. Feldhütter, A. Kane, L. Schmid
Working Papers
20. Nov. 2024
N°24-66: Distorted Beliefs and Asset Prices
L. Bretscher, A. Malkhozov, A. Tamoni, H. Yang
Working Papers
20. Nov. 2024
N°24-65: Monetary Policy Transmission with Adjustable and Fixed-Rate Mortgages: The Role of Credit Supply
S. Ongena, F. Altunok, Y. Arslan
Working Papers
20. Nov. 2024
N°24-64: Banking on Deposit Relationships: Implications for Hold-Up Problems in the Loan Market
E. Garcia-Appendini, J. Cao, C. Huylebroek
Working Papers
20. Nov. 2024
N°24-63: Structural Volatility Impulse Response Analysis
M. Fengler, J. Polivka
Working Papers
14. Nov. 2024
N°24-62: Real Estate in Liability-Driven Investment: The Case of U.S. Pension Funds
M. Hoesli, L. Johner
Working Papers
14. Nov. 2024
N°24-61: The performance of FDIC-Identified Community Banks
S. Ongena, R. Fairchild , D. Gounopoulos , V. Pappas, A. Petropoulou
Working Papers
14. Nov. 2024
N°24-60: Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels
D. Filipović, P. Schneider
Working Papers
14. Nov. 2024
N°24-59: Battle of Transformers: Adversarial Attacks on Financial Sentiment Models
M. Leippold, Aysun Can Turetken
Working Papers
14. Nov. 2024