N° 19-56: An Improved Method to Predict Assignment of Stocks into Russell Indexes
F. Franzoni, I. Ben-David, R. Moussawi
Working Papers
30 oct. 2019
N° 19-55: Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan
A. Barbon, V. Gianinazzi
Working Papers
22 oct. 2019
N° 19-54: Weighted Monte Carlo with Least Squares and Randomized Extended Kaczmarz for Option Pricing
D. Filipović, K. Glau, Y. Nakatsukasa, F. Statti
Working Papers
22 oct. 2019
N° 19-53: Properly Discounted Asset Prices Are Semimartingales
M. Schweizer, D. A. Bálint
Working Papers
11 oct. 2019
N° 19-52: Mind the (Convergence) Gap: Bond Predictability Strikes Back!
A. Plazzi, A. Berardi, M. Markovich, A. Tamoni
Working Papers
26 sept. 2019
N° 19-51: A Non-Elliptical Orthogonal GARCH Model for Portfolio Selection under Transaction Costs
M. Paolella, P. Polak, P. S. Walker
Working Papers
26 sept. 2019
N° 19-50: Low Risk Anomalies?
P. Schneider, Ch. Wagner, J. Zechner
Working Papers
26 sept. 2019
N° 19-49: Risk Premia and Lévy Jumps: Theory and Evidence
L. Mancini, J. Hugonnier, H. Fallahgoul
Working Papers
26 sept. 2019
N° 19-44: Unintended Consequences of Unemployment Insurance Benefits: The Role of Banks
G. Kabas, Y.Arslan, A. Degerli
Working Papers
26 sept. 2019
N° 19-48: Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
O. Scaillet, D. Banulescu, C. Hurlin, J. Leymarie
Working Papers
19 sept. 2019
N° 19-47: Information Revelation Through Regulatory Process: Interactions Between the SEC and Companies Ahead of the IPO
R. Michaely, M. Lowry, E. Volkova
Working Papers
17 sept. 2019
Inference in Group Factor Models with an Application to Mixed-Frequency Data
P. Gagliardini, E. Andreou, E. Ghysels, M. Rubin
Academic Publications
12 sept. 2019
N° 17-37: Anomalies and False Rejections
A. Goyal, T. Chordia, A. Saretto
Working Papers
11 sept. 2019
N° 19-46: Estimation of Large Dimensional Conditional Factor Models in Finance
P. Gagliardini, O. Scaillet, E. Ossola
Working Papers
10 sept. 2019
N° 19-45: Some Borrowers are More Equal than Others: Bank Funding Shocks and Credit Reallocation
S. Ongena, O. De Jonghe, H. Dewachter, K. Mulier, G. Schepens
Working Papers
10 sept. 2019