N°17-20: Margin Requirements and Evolutionary Asset Pricing, A. Sokko and K. R. Schenk-Hoppé, 2017.
A. Sokko and K. R. Schenk-Hoppé
Working Papers
20 jan. 2017
N°17-19: High-Frequency Jump Analysis of the Bitcoin Market, O. Scaillet, A. Treccani, and C. Trevisan, 2017.
O. Scaillet, A. Treccani , and C. Trevisan
Working Papers
19 jan. 2017
N°17-18: Anticipating Critical Transitions of Chinese Housing Markets, Z. Qun, D. Sornette, and H. Zhang, 2017.
D. Sornette, E. Dautovic, and Y. Huang
Working Papers
18 jan. 2017
N°17-17: Nash Equilibrium Strategies and Survival Portfolio Rules in Evolutionary Models of Asset Markets, S. Belkov, I. V. Evstigneev, T. Hens, and L. Xu, 2017.
T. Hens, S. Belkov, I. V. Evstigneev, and L. Xu
Working Papers
17 jan. 2017
N°17-16: Unspanned Stochastic Volatility in the Multi-Factor CIR Model, D. Filipovic, M. Larsson, and F. Statti , 2017.
D. Filipović, E. Dautovic, and Y. Huang
Working Papers
16 jan. 2017
N°17-15: Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns, P. Bacchetta and E. Van Wincoop, 2017.
P. Bacchetta, E. Van Wincoop
Working Papers
15 jan. 2017
N°17-14: Democratic Development and Credit “Democracy Doesn`t Come Cheap” But At Least Credit to Its Corporations Will Be, M.D. Delis, H. Iftekhar, and S. Ongena, 2017.
S. Ongena, M. D. Delis, and I. Hasan
Working Papers
14 jan. 2017
Why Does Fast Loan Growth Predict Poor Performance for Banks?
R. Fahlenbrach, R. Prilmeier, R. M. Stulz
Academic Publications
13 jan. 2017
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
A. Goyal, N. Jegadeesh
Academic Publications
13 jan. 2017
Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations.
A. Neklyudov, B.Hollifield, C. Spatt
Academic Publications
13 jan. 2017
N°17-12: The British Pound on Brexit Night: a Natural Experiment of Market Efficiency and Real-Time Predictability, K. Wu, S. Wheatley, and D. Sornette, 2017.
D. Sornette, K. Wu, and S. Wheatley
Working Papers
12 jan. 2017
N°17-11: Closing Down the Shop: Optimal Health and Wealth Dynamics near the End of Life, J. Hugonnier, F. Pelgrin, and P. St-Amour, 2017.
J. Hugonnier, F. Pelgrin, and P. St-Amour
Working Papers
11 jan. 2017
Intrinsic Risk Measure: The More Direct Path to the Acceptance Set
W. Farkas, A. Smirnow
Roundups
11 jan. 2017