N°16-61: A Simple Mechanism for Financial Bubbles: Time-Varying Momentum Horizon, L. Lin, M. Schatz and D. Sornette, 2016.
D. Sornette, L. Lin, M. Schatz
Working Papers
11 nov. 2016
N°16-60: Sticky Expectations and the Profitability Anomaly, J.-P. Bouchaud, P. Krueger, A. Landier and D. Thesmar, 2016.
P. Krüger, J.-P. Bouchaud, A. Landier and D. Thesmar
Working Papers
10 nov. 2016
N°16-59: Dependent Defaults and Losses with Factor Copula Models, D. Ackerer and T. Vatter, 2016.
D. Ackerer and T. Vatter
Working Papers
6 oct. 2016
N°16-58: A Heterogeneous-Agent Foundation of the Representative-Agent Approach, S. Elmiger, 2016.
S. Elmiger
Working Papers
30 sept. 2016
N°16-57: Joint Lifetime Financial, Work and Health Decisions: Thrifty and Healthy Enough for the Long Run?, Y. Mesquida and P. St-Amour, 2016.
P. St-Amour, Y. Mesquida
Working Papers
27 sept. 2016
N°16-56: A Model of Price Impact and Market Maker Latency, J. Rojcek, 2016.
J. Rojcek
Working Papers
20 sept. 2016
N°16-55: Old-Age Provision: Past, Present, Future
H. Albrecher, P. Embrechts, D. Filipović, G. Harrison, P. Koch-Medina, S. Loisel, P. Vanini and J. Wagner
Working Papers
17 sept. 2016
N°16-54: Does Corporate Governance Matter? Evidence from the AGR Governance Rating, A. Plazzi and W.N. Torous, 2016.
A. Plazzi, U. Yilmaz, W.N. Torous
Working Papers
16 sept. 2016
N°16-53: WTI Crude Oil Option-Implied VaR and CVaR: An Empirical Application, G. Barone-Adesi, C. Legnazzi, and C. Sala, 2016.
G. Barone-Adesi, C. Legnazzi, M.A. Finta and C. Sala
Working Papers
1 sept. 2016
N°16-52: Measuring sovereign bond market integration, I. Chaieb, V. Errunza, and R. Gibson Brandon, 2016.
I. Chaieb, V. Errunza, R. Gibson Brandon
Working Papers
29 août 2016
N°16-51 A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossala
Working Papers
10 août 2016
N°16-51: A Diagnostic Criterion for Approximate Factor Structure
P. Gagliardini, O. Scaillet, E. Ossola
Working Papers
6 août 2016
N°16-50: Foreign Acquisition and Credit Risk: Evidence from the U.S. CDS Market, U. Yilmaz, 2016.
U. Yilmaz
Working Papers
5 août 2016
N°16-49: Market Integration and Global Crashes, S. Malamud and A. Malkhozov, 2016.
S. Malamud, A. Malkhozov
Working Papers
1 août 2016
N°16-48: Managing Inventory with Proportional Transaction Costs, F. Gallien, S. Kassibrakis, S. Malamud, and F. Passerini, 2016.
S. Malamud, F. Gallien, S. Kassibrakis and F. Passerini
Working Papers
29 juil 2016