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Publications


311 publications ordered by: publication type  -  year
N.B.: Publications appears only after the authors have joined HEC Lausanne.
For the complete publications list of authors, please, see their personal websites.


Soumis à l'éditeur

Bernile G., Lyandres E. & Zhdanov A. (soumis à l'éditeur). A Theory of Strategic Mergers. Review of Finance. peer reviewed
Lyandres E., Zhdanov A. & Hsieh J. (soumis à l'éditeur). A Theory of Merger-Driven IPOs. Journal of Financial and Quantitative Analysis. peer reviewed

In Press

Goyal A. & Wahal S. (in press). Is Momentum an Echo?. Journal of Financial and Quantitative Analysis. peer reviewed
Jardet C., Monfort A. & Pegoraro F. (in press). No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. Journal of Banking and Finance. peer reviewed
Marfè R. (in press). Multivariate Lévy Processes with Dependent Jump Intensity. Quantitative Finance. [url] peer reviewed

2014

Busse J., Goyal A. & Wahal S. (2014). Investing in a Global World. Review of Finance, 18(2), 561-590. [doi] peer reviewed

2013

Benhima K. (2013). A Reappraisal of the Allocation Puzzle through the Portfolio Approach. Journal of International Economics, 89(2), 331-346. [doi] [url] [abstract] peer reviewed
Benhima K. (2013). Financial integration, capital misallocation and global imbalances. Journal of International Money and Finance, 324-340. [doi] [url] [abstract] peer reviewed
Benhima K. & Massenot B. (2013). Safety Traps. American Econmic Journal. Macroeconomics, 5(4), 68-106. [doi] [pdf] [url] [abstract] peer reviewed

2012

Benhima K. (2012). Exchange Rate Volatility and Productivity Growth: The Role of Liability Dollarization. Open Economies Review, 23(3), 501-529. [doi] [url] peer reviewed
Bernardo A., Chowdhry B. & Goyal A. (2012). Assessing Project Risk. Journal of Applied Corporate Finance, 24(3), 94-100. peer reviewed
Cestau D., Green R.C. & Schuerhoff N. (2012). Tax-Subsidized Underpricing: Issuers and Underwriters in the Market for Build America Bonds (821). Swiss National Science Foundation - NCCR (National Centre of Competence in Research) - FINRISK. [abstract]
Chen Z., Lookman A.A., Schuerhoff N. & Seppi D.J. (2012). Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition (10-30). Swiss Finance Institute. [url] [abstract]
Goyal A. (2012). Empirical Cross-Sectional Asset Pricing: A Survey. Financial Markets and Portfolio Management, 26(1), 3-38. peer reviewed
Jondeau E. & Rockinger M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. Journal of Financial Econometrics, 10(1), 84-123. [doi] [url] [abstract] peer reviewed
Li D. & Schuerhoff N. (2012). Dealer Networks. SSRN (Social Science Research Network). [doi] [url] [abstract]
Marfè R. (2012). A Generalized Variance Gamma Process for Financial Applications. Quantitative Finance, 12(1), 75-87. [url] peer reviewed
Marfè R. (2012). A multivariate pure-jump model with multi-factorial dependence structure. International Journal of Theoretical and Applied Finance, 15. [url] peer reviewed
Monfort A. & Pegoraro F. (2012). Asset Pricing with Second-Order Esscher Transforms. Journal of Banking and Finance, 36(6), 1678-1687. [doi] [abstract] peer reviewed
Morellec E., Nikolov B. & Schuerhoff N. (2012). Corporate Governance and Capital Structure Dynamics. The Journal of Finance, 67(3), 803-848. [doi] [abstract] peer reviewed

2011

Billio M., Calès L. & Guégan D. (2011). Portfolio Symmetry and Momentum. European Journal of Operational Research, 214(3), 759-767. [doi] [url] [abstract] peer reviewed
Billio M., Calès L. & Guégan D. (2011). A Cross-Sectional Score for the Relative Performance of an Allocation. International Review of Applied Financial Issues and Economics, 3(2), 700-710. [abstract] peer reviewed
Imbs J., Jondeau E. & Pelgrin F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. Journal of Monetary Economics, 58(4), 328-344. [abstract] peer reviewed
Morellec E. & Schuerhoff N. (2011). Corporate Investment and Financing under Asymmetric Information. Journal of Financial Economics, 99(2), 262-288. [doi] [url] [abstract] peer reviewed
Schuerhoff N. & Ziegler A. (2011). Variance risk, financial intermediation, and the cross-section of expected option returns (8268). CEPR - Centre for Economic Policy Research. [url] [abstract]

2010

Bacchetta P. & Benhima K. (2010). The Demand for Liquid Assets, Corporate Saving, and Global Imbalances (10.12). Université de Lausanne - HEC - DEEP. [pdf] [url] [abstract]
Benhima K. (2010). Financial Development, Technological Change in Emerging Countries and Global Imbalances (10.10). Université de Lausanne - HEC - DEEP. [url] [abstract]
Benhima K. & Havrylchyk O. (2010). When Do Long-term Imbalances Lead to Current Account Reversals?. World Economy, 33(1), 107-128. [url] peer reviewed
Busse J., Goyal A. & Wahal S. (2010). Performance Persistence in Institutional Investment Management. Journal of Finance, 65(2), 765-790. peer reviewed
Green R.C., Li D. & Schuerhoff N. (2010). Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall ?. Journal of Finance, 65(5), 1669-1702. [url] [abstract] peer reviewed
Lyandres E. & Zhdanov. A. (2010). Accelerated Investment Effect of Risky Debt. Journal of Banking and Finance, 34(11), 2587-2599. [doi] [abstract] peer reviewed
Morellec E. & Schuerhoff N. (2010). Dynamic Investment and Financing under Personal Taxation. Review of Financial Studies, 23(1), 101-146. [doi] [url] [abstract] peer reviewed

2009

Bustamante M. C., Danthine J.-P. (Dir.) (2009). Three essays in dynamic corporate finance. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Chen Z., Lookman A., Schuerhoff N. & Seppi D. (2009). Why Ratings Matter: Evidence from Lehman's Index Rating Rule Change. EFA (European Finance Association) 2009 Bergen Meetings Papers. [abstract]
Chen Z. H., Schürhoff N. (Dir.) (2009). Asset pricing in fixed income markets. Université de Lausanne, Faculté des hautes études commerciales.
Chordia T., Goyal A., Sadka G., Sadka R. & Shivakumar L. (2009). Liquidity and the Post-Earnings-Announcement-Drift. Financial Analyst Journal, 65(4), 18-32. peer reviewed
Goyal A. & Saretto A. (2009). Cross-Section of Option Returns and Volatility. Journal of Financial Economics, 94(2), 310-326. peer reviewed
Jondeau E. & Pelgrin F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity (09-30). Swiss Finance Institute.
Jondeau E. & Rockinger M. (2009). The Impact of Shocks on Higher Moments. Journal of Financial Econometrics, 7(2), 77-105. peer reviewed
Osambela Zavala J. E., Dumas B. (Dir.) (2009). Essays in general equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Puopolo G. W., Danthine J.-P. (Dir.) (2009). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Vulkán L. N., Jondeau E. (Dir.) (2009). Structural macro factors and the affine term structure of interest rates. Université de Lausanne, Faculté des hautes études commerciales. [abstract]

2008

Danthine J.-P. & Donaldson J.B. (2008). Executive Compensation and Stock Options: an Inconvenient Truth (6890). CEPR - Centre for Economic Policy Research. [url]
Danthine J.-P., Donaldson J.B. & Siconolfi P. (2008). Distribution Risk and Equity Returns. In Mehra R. (Ed.), North Holland Handbook of Finance Series, The Equity Risk Premium. Elsevier, North Holland.
Danthine J.-P. & Kurmann A. (2008). The Macroeconomic Consequences of Reciprocity in Labour Relations. Scandinavian Journal of Economics. peer reviewed
Goyal A., Pérignon C. & Villa C. (2008). How Common are Common Return Factors Across Nyse and Nasdaq?. Journal of Financial Economics, 90(3), 252-271. [abstract] peer reviewed
Goyal A. & Wahal S. (2008). The Selection and Termination of Investment Managers by Plan Sponsors. Journal of Finance, 63(4), 1805-1847. peer reviewed
Goyal A. & Welch I. (2008). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. Review of Financial Studies, 21(4), 1455-1508. peer reviewed
Holly Alberto, Monfort Alain & Rockinger Michael (2008). Fourth order pseudo maximum likelihood methods (08-02). IEMS. [pdf] [pdf]
Jalal A. & Rockinger M. (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data. Journal of Empirical Finance, 15(5), 868-877. peer reviewed
Jondeau E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias (08-06). Swiss Finance Institute.
Jondeau E. & Le Bihan H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. Journal of Econometrics, 143, 375 - 395. [pdf] [abstract] peer reviewed
Jondeau E. & Sahuc J.-G. (2008). Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model. Economics Letters, 99, 192-196. peer reviewed
Jondeau E. & Sahuc J.-G. (2008). Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. International Journal of Central Banking, 4, 23-72.
Joos P. & Zhdanov A. (2008). Earnings and Equity Valuation in the Biotech Industry: Theory and Evidence. Financial Management, 37(3), 431-459. [doi] [abstract] peer reviewed
Les publications les plus récentes de l'Institut sont visibles (2008). sur le site web. www.unil.ch/ibf. [url]
Morellec E., Nikolov B. & Schuerhoff N. (2008). Corporate Governance and Capital Structure Dynamics: Evidence from Structural Estimation. AFA (American Finance Association) 2009 San Francisco Meetings Papers. [url] [abstract]
Morellec E. & Zhdanov A. (2008). Financing and Takeovers. Journal of Financial Economics, 87(3), 556-581. [doi] [abstract] peer reviewed
Nikolov Boris, Morellec, Erwan (Dir.) (2008). Three essays in dynamic corporate finance. Université de Lausanne, Faculté des hautes études commerciales. [pdf] [abstract]

2007

Danthine J.-P. (2007). Superneutrality. In Durlauf S. & Blume L. (Eds.), The New Palgrave Dictionary of Economics. Palgrave Macmillan.
Danthine J.-P. & Jin X. (2007). Intangible Capital, Firm Valuation and Asset Pricing. Economic Theory, 32, 157-177. peer reviewed
Danthine J.-P. & Kurmann A. (2007). The Business Cycle Implications of reciprocity in Labour Relations (0743). Université Laval, CIRPEE.
Green R.C., Hollifield B. & Schuerhoff N. (2007). Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues. Journal of Financial Economics, 86(3), 643-682. [doi] [abstract] peer reviewed
Green R.C., Hollifield B. & Schuerhoff N. (2007). Financial Intermediation and the Costs of Trading in an Opaque Market. Review of Financial Studies, 20(2), 275-314. [url] [abstract] peer reviewed
Imbs J., Jondeau E. & Pelgrin F. (2007). Aggregating Phillips Curves (6184). CEPR - Centre for Economic Policy Research.
Jalal A., Rockinger M. (Dir.) (2007). Three essays on the psychology of investment and financial markets. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Jondeau E., Perilla A. & Rockinger M. (2007). Optimal Liquidation Strategies in Illiquid Markets (09-24). Swiss Finance Institute.
Jondeau E., Poon S.-H. & Rockinger M. (2007). Financial Modeling Under Non-Gaussian Distributions. Springer Verlag. [url]
Mertens E., Danthine J.-P. (Dir.) (2007). Three essays on the determinants of output, inflation and interest rates. Université de Lausanne, Faculté des hautes études commerciales. [pdf] [abstract]
Niu J., Morellec E. (Dir.) (2007). Essays in banking and corporate finance. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Schmid L., Danthine J.-P. (Dir.) (2007). Financing frictions and the cross section of returns. Université de Lausanne, Faculté des hautes études commerciales.
Zhdanov A. (2007). Competitive Equilibrium with Debt. Journal of Financial and Quantitative Analysis, 42(3), 709-734. [doi] [abstract] peer reviewed

2006

Aunon-Nerin D., Cossin D. (Dir.) (2006). Essays on risk management with focus on credit risk. Université de Lausanne, Faculté des hautes études commerciales.
Barclay M., Morellec E. & Smith C. (2006). On the debt capacity of growth options. Journal of Business, forthcoming.
Berrada T., Hugonnier J. & Rindisbacher M. (2006). Heterogeneous Preferences and Equilibrium Trading Volume. Journal of Financial Economics, Forthcoming.
Danthine J.-P. & Kurmann A. (2006). Efficiency wages revisited: The internal reference perspective. Economics Letters, 90(2), 278-284. [url] [abstract] peer reviewed
Georgiev A., Danthine J.-P. (Dir.) (2006). Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Green R., Hollifield B. & Schuerhoff N. (2006). Financial intermadiation and the cost of trading in an opaque market. Review of Financial Studies, Forthcoming.
Hackbarth D., Miao J. & Morellec E. (2006). Capital structure, credit risk, and macroeconomic conditions. Journal of Financial Economics, forthcoming.
Jondeau E. & Rockinger M. (2006). Optimal Portfolio Allocation Under Higher Moments. European Financial Management, 12(1), 29-55. [pdf] [abstract] peer reviewed
Jondeau E. & Rockinger M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. Journal of International Money and Finance, 25(5), 827-853. [pdf] [abstract] peer reviewed
Jondeau E. & Rockinger M. (2006). Modelling the Dynamics of Conditional Dependency Between Financial Series. In Jurczenko E. & Maillet B. (Eds.), Multi-moment Asset Allocation and Pricing Models. Wiley Finance.
Jondeau E. & Rockinger M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation (06-35). Swiss Finance Institute.
Jondeau E. & Rockinger M. (2006). The Economic Value of Distributional Timing (06-35). Swiss Finance Institute.
Kozamernik D., Danthine J.-P. (Dir.) (2006). Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Morrison A. & White L. (2006). Crises and capital requirements in banking. American Economic Review, forthcoming.
Perilla A., Rockinger M (Dir.) (2006). Three essays on liquidity risk. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Raccuglia B., Rockinger M. (Dir.) (2006). Levy processes: theory and financial applications. Université de Lausanne, Faculté des hautes études commerciales.
Schroth E. (2006). Innovation, Product Differentiation and the Choice of an Underwriter: Evidence from Equity Linked Securities. Review of Financial Studies, Forthcoming.
Semenova M., Rockinger M. (Dir.) (2006). Estimation of jump-diffusion processes via empirical characteristic functions. Université de Lausanne, Faculté des hautes études commerciales. [abstract]

2005

Adjaouté K., Danthine J.P. & Isakov D. (2005). Portfolio Diversification in Europe, chapter 5 in The Internationalisation of Asset Ownership in Europe, H. Huizinga and L. Jonung. Cambridge U. Press, pp. 140-172.
Danthine J.-P., Adjaouté K. & Isakov D. (2005). Portfolio Diversification in Europe. In Jonung H. & Huizinga L. (Eds.), The Internationalisation of Asset Ownership in Europe (pp. 140-172). Cambridge University Press.
Danthine J.P. & Donaldson J. (2005). Intermediate Financial Theory. Elsevier Academic Press.
Danthine J.P., Donaldson J.B. & Siconolfi P. (2005). Distribution Risk and Equity Returns. mimeo, Université of Lausanne, November.
Danthine J.P. & Kurmann A. (2005). The Macroeconomic Consequences of Reciprocity in Labor Relations. mimeo, Université of Lausanne.
Guo X., Miao J. & Morellec E. (2005). Irreversible investment with regime shifts. Journal of Economic Theory, 122.
Hugonnier J., Kramkov D. & Schachermayern W. (2005). On the Utility Based Pricing of Contingent Claims in Incomplete Markets. Mathematical Finance, 15.
Jin X., Danthine J.-P. (Dir.) (2005). Essays on asset pricing and asset allocation. Université de Lausanne, Faculté des hautes études commerciales.
Jondeau E. (2005). Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?. European Finance Association meeting.
Jondeau E. & Le Bihan H. (2005). Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. Economic Modelling, 22(3), 521-550. [pdf] [abstract] peer reviewed
Morellec E. & Zhdanov A. (2005). The dynamics of mergers and acquisitions. Journal of Financial Economics, 77(3), 649-672. [doi] [abstract] peer reviewed
Szalay D. (2005). The economics of extreme options and clear advice. Review of Economic Studies, 72.

2004

Adjaouté K & Danthine J.-P. (2004). Portfolio Diversification: Alive and Well in Euroland . Applied Financial Economics, 14, 1225-1231.
Adjaouté K & Danthine J.-P. (2004). Equity Returns and Integration: Is Europe Changing? . , Oxford Review of Economic Policy, 20(4), 555-570.
Chen K., Rockinger M. (Dir.) (2004). Three essays on hedge funds and asset allocation with higher moments. Université de Lausanne, Faculté des hautes études commerciales.
Collin Dufresne P., Goldstein R. & Hugonnier J. (2004). A General Formula for Valuing Defaultable Securities joint with Pierre. Econometrica, 72, 1377-1407.
Danthine J.-P. & Adjaouté K. (2004). Portfolio Diversification: Alive and Well in Euroland. Applied Financial Economics, 14, 1225-1231. [abstract] peer reviewed
Danthine J.-P. & Adjaouté K. (2004). Equity Returns and Integration: Is Europe Changing?. Oxford Review of Economic Policy, 20(4), 550-570. [url] [abstract] peer reviewed
Danthine J.-P., Donaldson J.B., Giannikos C. & Guirguis H. (2004). On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. Finance Research Letters, 1(3), 143-153. [abstract] peer reviewed
Danthine J.-P. & Kurmann A. (2004). Fair Wages in a New Keynesian Model of the Business Cycle. Review of Economic Dynamics, 7, 107-142. [abstract] peer reviewed
Danthine J.P., Donaldson J., Giannikos C. & Guirguis H. (2004). On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. in Finance, 1(3), 143.
Danthine J.P. & Kurmann A. (2004). Fair Wages in a New Keynesian: Model of the Business Cycle. Review of Economic Dynamics, 7, 107-142.
Dauner Gardiol I., Danthine J.-P. (Dir.) (2004). Cash or cows? household saving and portfolio choices in developing countries : a case study of Nicaragua. Université de Lausanne, Faculté des hautes études commerciales.
François P. & Morellec E. (2004). Capital structure and asset prices: some effects of bankruptcy procedures. Journal of Business, 77(1).
Henneberger F, Sousa-Poza A & Ziegler A (2004). Eine empirische Analyse der Arbeit auf Abruf in der Schweiz: Determinanten und ökonomische Bewertung dieser Beschäftigungsform, Arbeitsmarktpolitik: Studienreihe des Staatssekretatiats für Wirtschaft. Studienreihe des Staatssekretatiats für Wirtschaft.
Henneberger F., Sousa-Poza A. & Ziegler A. (2004). Arbeit auf Abruf: Eine ökonomische Bewertung dieser flexiblen Beschäftigungsform. Die Volkswirtschaft, 2, 47-50.
Jondeau E., Gallès C. & Le Bihan H. (2004). Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function. Journal of Business and Economic Statistics, 22(2), 225-239. [pdf] [abstract] peer reviewed
Jondeau E. & Rockinger M. (2004). The Bank Bias: Segmentation of French Fund Families (107). Banque de France.
Kasabov N., Erzegovesi L., Fedrizzi M., Beber A. & Deng D. (2004). Hybrid Intelligent Decision Support Systems and Applications for Risk Analysis and Prediction of Evolving Economic Clusters in Europe. Future directions for intelligent information systems and information sciences. Springer Verlag.
Kast M., Von Thadden E.-L. (Dir.) (2004). Analyst forecasts, corporate governance and firm performance. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Kramkov D. & Hugonnier J. (2004). Optimal Investment with Random Endowments in Incomplete Markets. The Annals of Applied Probability, 14(2), 845-864.
Morellec E (2004). Can managerial discretion explain observed leverage ratios. Review of Financial Studies, 17(1) Spring, 257 294.
Morellec E. (2004). Can managerial discretion explain observed leverage ratios . Review, Issue 1.
Padula M. & Fabbri D. (2004). Does Poor Legal Enforcement Make Households Credit-Constrained. Journal of Banking and Finance.
Poon S. H. & Rockinger M. (2004). Extreme Values Dependency in International Stock Markets. Review of Financial Studies.
Rockinger M. (2004). Finance. Presses Universitaires de France.
Rockinger M., Poon S.-H. & Tawn J. (2004). Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications. Review of Financial Studies, 17(2), 581-610. [url] [abstract] peer reviewed
Ziegler A. (2004). A Game Theory Analysis of Options: Corporate Finance and Financial Intermediation in Continuous Time, Second Edition. Springer.

2003

Adjaouté K & Danthine JP (2003). European Financial Integration and Equity Returns: A Theory-Based Assessment, Chapter 5. The Transformation of The European Financial System. European Central Bank.
Adjaouté K, Danthine JP & Isakov D (2003). Portfolio Diversification in Europe. FAME Research Paper, 84.
Danthine J.-P. & Adjaouté K. (2003). European Financial Integration and Equity Returns: A Theory-Based Assessment. The Transformation of the European Financial System (pp. 185-245). Gaspar V. Hartmann O. Sleijpen O.
Demshuk A (2003). Three essays in portfolio management and credit risk. Université de Lausanne, Faculté des hautes études commerciales.
Duffie D & Ziegler A (2003). Liquidation Risk. Financial Analysts Journal, 59 (3), 42-51.
Ehling P., Danthine J.-P. (Dir.) (2003). Asset Pricing and International Finance. Université de Lausanne, Faculté des hautes études commerciales.
Entela S (2003). Essays on venture equity contracts and asset allocation under default risk. Université de Lausanne, Faculté des hautes études commerciales.
Henneberger F & Ziegler A (2003). Aussenhandel und Auslandsproduktion im Dienstleistungssektor: Theorie und Empirie der Beschigungseffekte für die schweizerische Tourismusbranche. Schweizerische Zeitschrift, 139(4), 535-561.
Jondeau E. & Rockinger M. (2003). User's Guide. Journal of Economic Dynamics and Control, 27(10), 1739-1742. [pdf] [abstract] peer reviewed
Jondeau E. & Rockinger M. (2003). Testing for Differences in the Tails of Stock-Market Returns. Journal of Empirical Finance, 10(5), 559-581. [pdf] [abstract] peer reviewed
Jondeau E. & Rockinger M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. Journal of Economic Dynamics and Control, 27(10), 1699-1737. [pdf] [abstract] peer reviewed
Lhabitant F (2003). Hedge funds: myths and limits. J. Wiley.
Ramos S (2003). Essays on stock market integration. Université de Lausanne, Faculté des hautes études commerciales.
Rockinger M & Jondeau E (2003). The Tail Behavior of Stock Returns: Emerging versus Mature Markets. Journal of Empirical Finance, 10, 559-581.
Rockinger M & Roche B (2003). Switching Regime Volatility: An Empirical Evaluation. In Christian L. Dunis, Jason Laws, & Patrick Naim (Eds.), Applied quantitative methods for trading and investments. Wiley Finance.
Rockinger M. & Abadir K. (2003). Density-Embedding Functions. Econometric Theory, 19(5), 778-811. [abstract] peer reviewed
Rockinger M., Poon S.-H. & Tawn J. (2003). Extreme-Value Dependence Measures and Finance Applications. Statistica Sinica, 13(4), 929-953. [abstract] peer reviewed
Sousa-Poza A & Ziegler A (2003). Asymmetric Information on Workers Productivity as a Cause for Inefficient Long Working Hours. Labour Economics, 10 (6), 727-747.
Von Thadden E (2003). Asymmetric Information, Bank Lending, and Implicit Contracts: The Winner's Curse. Finance Research Letters, 1.
Von Thadden E (2003). Liquidity. Advances in Financial Intermediation. Oxford University Press.
Von Thadden E & Perotti E (2003). Strategic Transparency and Informed Trading: Will Globalization Force Convergence of Corporate Governance?. Journal of Financial and Quantitative Analysis, 38.
Xhaja A (2003). Essays in interest rates and risk management. Université de Lausanne, Faculté des hautes études commerciales.
Ziegler A (2003). Incomplete Information and Heterogeneous Beliefs in Continuous-Time Finance. Springer.

2002

Danthine J.-P. & Donaldson J.B. (2002). Labor Relations and Asset Returns. Review of Economic Studies, 69(1), 41-64. [url] [abstract] peer reviewed
Danthine J.-P. & Donaldson J.B. (2002). A Note on NNS Models: Introducing Physical Capital; Avoiding Rationing. Economic Letters, 77, 433-437. [url] [abstract] peer reviewed
Danthine J.P. & Donaldson J.B. (2002). Intermediate Financial Theory. Prentice Hall.
Danthine J.P. & Kurmann A. (2002). Fair wages in a new keynesian model of a business cycle. Ecole des HEC/DEEP.
Jondeau E. & Rockinger M. (2002). Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis. Journal of Econometrics, 106(1), 119-142. [pdf] [abstract] peer reviewed
Lhabitant F (2002). Risk Management with style. European Investment Review, 1, 65-71.
Lhabitant F (2002). Assessing the risk of hedge funds. Financial Risk and Financial Risk Management (pp. 417-449). Th. Ferguson.
Lhabitant F (2002). Anatomie einer long/short transaction. Die hedge funds verstehen (pp. 223-226). Coninco.
Lhabitant F & Tinguely O (2002). Financial Constraints and Investment : the Swiss Case. Swiss Journal of Economics and Statistics, 138 (1), 137-163.
Von Thadden EL (2002). An Incentive Problem in the Dynamic Theory of Banking. Journal of Mathematical Economics, 38, 271-292.
Ziegler A (2002). When are Retail Stores Preferable to Auctions ?. DEEP, Cahiers de Recherches Economiques, 02.03.
Ziegler A (2002). State-Price Densities Under Heterogeneous Beliefs, the Smile Effect, and Implied Risk Aversion. European Economic Review, 46(8), 1539-1557.
Ziegler A (2002). Why does Implied Risk Aversion Smile ?. FAME Research Paper, 47.
Ziegler A (2002). State-Price Densities Under Heterogeneous Beliefs, the Smile Effect, and Implied Risk Aversion. European Economic Review, 46(8), 1539-1557.
Ziegler A. & Henneberger F. (2002). Auslandsinvestitionen, sektoraler Strukturwandel und Beschäftigung. Die Volkswirtschaft, 9, 12-15.

2001

Mikdashi Z. (Ed.). (2001). Financial Intermediation in the 21st Century. Palgrave.
Akgun A (2001). Three Essays on Default and Model Risk. Université de Lausanne, Faculté des hautes études commerciales.
Ané T (2001). Revisiting the Finite Mixture of Gaussian Distributions with Application to Futures Markets. The Journal of Futures Markets.
Ané T (2001). Implied Volatility Surfaces and Market Activity Over Time. Journal of Economics and Finance.
Ané T (2001). Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs. International Journal of Theoretical and Applied Finance.
Ané T (2001). Order Flow, Transaction Clock and Normality of Asset Returns. The Journal of Finance.
Bacchetta P, Aghion P & Banerjee A (2001). Currency Crises and Monetary Policy in a Credit-Constrained Economy. European Economic Review, 45, 1121-1150.
Bacchetta P & Van Wincoop E (2001). Trade Flows, Prices and the Exchange Rate Regime. Revisiting the Case for Flexible Exchange Rates (pp. 213-231). Bank of Canada conference.
Berrada T (2001). Three Essays in Asset Pricing and Continuous Time Finance. Université de Lausanne, Faculté des hautes études commerciales.
Botteron P (2001). On the Practical Application of the Real Options Theory, Risk Management and Derivatives. Thunderbird International Business Review, 43(3), 469-479.
Cossin D & Aparicio Acosta F (2001). Optimal Control of Credit Risk, Security Collateralization, Deposit Insurance and Other Financial Guarantees. Kluwer Academic Publishers.
Cossin D & Hricko T (2001). The Benefits of Holding Cash: A Real Options Approach. Journal of Managerial Finance, 27(11).
Cossin D & Pirotte H (2001). Advanced Credit Risk Analysis. J. Wiley.
Cossin D. & Aparicio Acosta F.M. (2001). Control of Credit Risk Collateralization Using Quasi Variational Inequalities. Journal of Computational Finance, 4(3).
Danthine J.-P. (2001). Banking : Is Bigger Really Better ?. In Mikdashi Z. (Ed.), Financial Intermediation in the 21st Century. Palgrave. [url] [abstract]
Danthine J.-P. & Donaldson J.B. (2001). Macroeconomic Frictions : What have we learned from the Real Business Cycle research programme ?. In Drèze J. (Ed.), Advances in Macroeconomic Theory. Palgrave. [url] [abstract]
Danthine J.-P., Giavazzi F. & von Thadden E.-L. (2001). The Effect of EMU on Financial Markets : A First Assessment. In Wyplosz C. (Ed.), EMU: Its Impact on Europe and the World. Oxford University Press. [abstract]
Danthine J.P. (2001). Banking: Is Bigger Really Better. In Mikdashi Z. (Ed.), Financial Intermediation in the 21st Century (pp. 209-219). Palgrave.
Danthine J.P. & Adjaouté K. (2001). EMU and Portfolio Diversification Opportunities. Centre for Economic Policy Research.
Danthine J.P. & Adjaouté K. (2001). Portfolio Diversification: Alive and well in Euroland. HEC Lausanne/IGBF.
Danthine J.P. & Donaldson J.B. (2001). Macroeconomic Frictions: What have we learned from the Real Business Cycle research programme ?. In Drèze J. (Ed.), Advances in Macroeconomic Theory (pp. 56-75). Palgrave.
Danthine J.P., Giavazzi F. & Von Thadden E.L. (2001). The effect of EMU on Financial Markets: A First Assessement. In Wyplosz C. (Ed.), The Impact of EMU on Europe and the Developing Countries (pp. 225-268). Oxford University Press.
Hricko T (2001). Three Essays on Credit Risk. Université de Lausanne, Faculté des hautes études commerciales.
Lhabitant F.S. (2001). Hedge funds investing: A quantitative look inside the black box. Journal of Financial Transformation, 1(1), 82-90.
Lhabitant F.S. (2001). On Swiss timing and selectivity: in the quest of alpha. Finanzmarkt und Portfolio Management, 15(2), 154-172.
Lhabitant F.S. (2001). Assessing market risk for hedge funds and hedge funds portfolios. Journal of Risk Finance, printemps, 1-17.
Lhabitant F.S. (2001). Not Just Another Financial Derivatives Book. Thunderbird International Business Review, 43(2), 315-319.
Lhabitant F.S. (2001). A New Light on European Business. Thunderbird International Business Review, 43(6), 841-845.
Lhabitant F.S. & Tinguely O. (2001). Financial risk management: an introduction. Thunderbird International Business Review, 43(3), 343-363.
Lhabitant FS (2001). A New Bible for Risk Management. Thunderbird International Business Review, 43(5), 699-704.
Mougeot N (2001). Managing Non-Standard Sources of Risk in Financial Markets. Université de Lausanne, Faculté des hautes études commerciales.
Ziegler A (2001). Dividend Growth Uncertainty and Stock Prices. Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 137(4), 579-598.
Ziegler A & Duffie D (2001). Liquidation Risk. FAME International center for financial asset management and engineering.
Ziegler A & Henneberger F (2001). Internationalisierung der Dienstleistungserstellung : Konsequenzen für den schweizerischen Arbeitsmarkt. Diskussionspapier des Hamburgischen Welt-Wirtschafts, 149.
Ziegler A & Henneberger F (2001). Internationalisierung der Produktion und sektoraler Strukturwandel: Folgen für den Arbeitsmarkt, Strukturberichterstattung: Studienreihe des Staatssekretariats für Wirtschaft. Staatssekretariat für Wirtschaft.
Zurn Pascal, Taffé Patrick, Rickenbach Martin & Danthine Jean-Pierre (2001). Social Cost of HIV Infection in Switzerland. IEMS Final Report. [pdf]

2000

Adjaouté K, Bottazzi L, Danthine JP, Fischer A, Hamaui R, Portes R & Wickens M (2000). EMU and Portfolio Adjustment. CEPR Policy Paper, 5.
Ane T (2000). Stochastic Volatility and Transaction Time: an Activity-Based Volatility Estimator. The Journal of Risk.
Ane T & Geman H (2000). Order Flow, Transaction Clock, and Normality of Asset Returns. Journal of Finance, 55, 2259-2284.
Arpin S (2000). Is Bank Industrial Ownership Anti-Competitive. Cahiers de recherches du DEEP, 22.
Arping S (2000). Debt and Product Market Fragility. Cahiers de recherches du DEEP, 21.
Arping S (2000). Banking, Commerce, and Antitrust. FAME Research paper series, 19.
Arping S & Gyongyi L (2000). Product Differentiation and Capital Structure. Birkbeck College.
Bacchetta P (2000). Política monetaria con deuda denominada en moneda extranjera. Moneda y Crédito, 210, 69-105.
Bacchetta P, Aghion P & Banerjee A (2000). A Simple Model of Monetary Policy and Currency Crises. European Economic Review, Papers and Proceedings, 44, 728-738.
Bacchetta P & Ballabriga F (2000). The Impact of Monetary Policy and Bank Lending: Some International Evidence. Applied Financial Economics, 10, 15-26.
Bacchetta P & Caminal R (2000). Do Capital Market Imperfections Exacerbate Output Fluctuations ?. European Economic Review, 44, 449-468.
Bacchetta P & Espinosa MP (2000). Exchange-of-Information Clauses in International Tax Treaties. International Tax and Public Finance, 7(3), 275-294.
Bacchetta P & van Wincoop E (2000). Does Exchange Rate Stability Increase Trade and Welfare ?. American Economic Review, 90, 1093-1109.
Bacchetta P & van Wincoop E (2000). Trade in Nominal Assets and Net International Capital Flows. Journal of International Money and Finance, 19(1), 55-72.
Bacchetta P & van Wincoop E (2000). Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility. In Edwards S. (Ed.), Capital Flows and the Emerging Economies - Theory, Evidence, and Controversies (pp. 61-98). The University of Chicago Press.
Cho K & El Karoui N (2000). Insider Trading and Nonlinear Equilibrium: Single Auction Case. Annales d'Economie et de Statistique, 60, 21-41.
Clerc N (2000). Time varying unitary market price of risk and intertemporal asset allocation. Université de Lausanne, Faculté des hautes études commerciales.
Cossin D (2000). Credit Risk Pricing. The Current State of Business Disciplines (pp. 23). Shri Bhagwan Dahiya.
Cossin D & Hricko T (2000). Pricing Credit Risk with Risky Collateral: A Methodology for Haircut Determination. Working Papers.
Cossin D & Hricko T (2000). Real Options and Short Term Finance. Journal of Managerial Finance.
Cossin D, Leleux B & Saliasi E (2000). Venture Equity Investment Contracts: A Real Option Approach. Working Papers.
Cötelli-Caramanolis B (2000). Essays on the role of financial transparancy, analyst follow-up and other firm attributes in explaining stock returns: the swiss stock market case. Université de Lausanne, Faculté des hautes études commerciales.
Henneberger F & Ziegler A (2000). Beschaeftigungsentwicklung in multinationalen Unternehmen: Hat die Unternehmensgroesse einen Einfluss auf die heimische Arbeitsnachfrage ?. IFO Studien. Zeitschrift fuer empirische Wirtschaftsforschung, 46(2), 139-160.
Henneberger F & Ziegler A (2000). Direktinvestitionen, Exportströme und Beschäftigungseffekte. Gepoolte Regressionen mit Daten aus der amtlichen Statistik für die Schweiz 1985-1997 unter Berücksichtigung branchenspezifischer Besonderheiten. Jahrbücher für Nationalökonomie und Statistik, 220, 147-164.
Jussupova Y, Probst AR & Rossi M (2000). Intelligent Systems for Business Competencies Management. Working Paper, submitted for publication.
Kampshoff E & Probst AR (2000). Wenger, Dieter, "Kunden fragen - der Computer antwortet: Höhere Produktivität dur automatische Bearbeitung von Kundenfragen. Bulletin SEV/VSE, 19, 1-4.
Probst A.R. (2000). Wenger, Dieter, "Der E-Worker als Konkurrent zum Call Center-Agent ?". Calcenter Profi, 11, 28-31.
Probst A.R., Jussupova Y. & Rossi M. (2000). Electronic Marketplace for Business Competencies Exchange. Working Paper, submitted for publication.
Ziegler A (2000). Optimal Portfolio Choice under Heterogeneous Beliefs. European Finance Review, 4, 1-19.
Zurn P, Carrin G, Danthine JP, Kammerlander R & Kane M (2000). The Economics of Hepatitis B Virus Vaccination: An Analysis of Cost-Effectiveness Results for Switzerland. Disease Management and Health Outcomes, 7(6), 331-347.

1999

Botteron P (1999). Real Options in the Valuation of Corporate Flexibility: The Case of Banks. Working paper de l'IGBF, 9902.
Botteron P (1999). Innovations, Real Options and the Industrial Structure. Working paper de l'IGBF, 9903.
Botteron P (1999). Essays on Real Options. Université de Lausanne, Faculté des hautes études commerciales.
Danthine J.-P. & Donaldson J.B. (1999). Non Falsified Expectations and Asset Pricing: the Power of the Peso. The Economic Journal, 109, 607-635. [url] [abstract] peer reviewed
Danthine J.-P., Giavazzi F., von Thadden E.-L. & Vives X. (1999). The Future of European Banking. Monitoring European Integration 9, CEPR. [url] [abstract]
Danthine J.P., Giavazzi F., Vives X. & Von Thadden E.L. (1999). The Future of European Banking. Centre for Economic Policy Research.
Danthine JP & Donaldson J (1999). Labor Relations and Asset Returns. Working paper de l'IGBF, 9901.
Danthine JP & Donaldson J (1999). Non Falsified Expectations and General Equilibrium Asset Pricing: the Power of the Peso. The Economic Journal, 109, 607-635.
Danthine JP, Giavazzi F, Vives X & Von Thadden EL (1999). European Financial Market after EMU: a First Assessment. mimeo, Université de Lausanne, décembre.
Pirotte H (1999). Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates. Working paper de l'IGBF, 9904.
Pirotte H (1999). A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design. Working paper de l'IGBF, 9905.
Pirotte H (1999). Theoretical and Empirical Issues in Credit-Sensitive Assets' Pricing. Université de Lausanne, Faculté des hautes études commerciales.
Tamburini P (1999). The Role of Firms' Disclosure Policy and the Influence of Financial Analysts on Performance, Liquidity and Transparency of the Stock Market. Université de Lausanne, Faculté des hautes études commerciales.

1998

Botteron P (1998). An Application of Exotic Options to Firms' Strategic Delocalization Policies under Exchange Rate Risk. Working Paper IGBF, Nr. 9805.
Bruand M. (1998). Price, Volatility and Interest Rate Risk Premia : Estimation in an Option Pricing Framework. Université de Lausanne, Faculté des hautes études commerciales.
Cho K (1998). Insider Trading and Nonlinear Equilibria : Single Auction Case. Working Paper IGBF, Nr. 9806.
Cossin D (1998). Control of Credit Risk Collateralization using Quasi-Variational Inequalities. Working Paper IGBF, Nr. 9804.
Cossin D (1998). ICI Mayflower : The Financing Challenge. IMD Case Study.
Cossin D (1998). How well do Classical Credit Risk Models Fit Swap Transactio Data ?. European Fin. Mgt Journal, 4(1).
Danthine J.-P. (1998). A la poursuite du Graal : le successeur d'IS-LM est-il identifié ?. L'Actualité économique, Revue d'analyse économique, 74(4), 607-620. [abstract] peer reviewed
Danthine J.-P. (1998). Comment on "Business Cycle: Theory, Evidence and Policy Implications". Scandinavian Journal of Economics, 100(1), 239-242. peer reviewed
Danthine J.-P., Donaldson J.B. & Johnsen T. (1998). Productivity Growth, Consumer Confidence and the Business Cycle. European Economic Review, 42, 1113-1140. [abstract] peer reviewed
Danthine J.-P. & Moresi S. (1998). Front-running by Mutual Fund Managers: A Mixed Bag. European Finance Review, 2(1), 29-56. [url] [abstract] peer reviewed
Delhaise P (1998). La Crise Asiatique de 1997 : Une perspective Bancaire. Cahier de recherche IGBF, Nr. 18.
Gibson R (1998). Modeling the Term Structure of Interest Rate : A Review of the Literature. Working Paper IGBF, Nr. 9801.
Gibson R (1998). Interest Rate Model Risk : What are we talking about ?. Working Paper IGBF, Nr. 9803.
Lhabitant F (1998). Volatility Risk for Options on a Zero Coupon Bond. Working Paper IGBF, Nr. 9802.
Lhabitant F (1998). Interest Rate Model Risk : What are we talking about ?. Asset Liability Management : a Synthesis of new Methodologies, Risk Books.
Lhabitant F (1998). Coping with Model Risk . The Practitioner's handbook of Financial Risk Management.
Lhabitant F. (1998). Time at Risk Toward a Banking Titanic ?. Cahier de recherche IGBF, Nr. 19.
Lhabitant F. (1998). Portfolio Management and Models Performance Evaluation with Contingent Claims. Université de Lausanne, Faculté des hautes études commerciales.
Mikdashi Z (1998). Visionary Leadership in the Era of Cybereconomics and Globalisation. Emirates International Forum - Conference Report, Dubai, 175-198.
Mikdashi Z (1998). Les Banques à l'Ere de la Mondialisation. Economica.
Tuchschmid N (1998). Gestion des Risques : Opération de Couverture ou Spéculation. Banque et Finance, 26-29.
Tuchschmid N (1998). Sélection de Projets d'Investissment et Options Réelles : Un Aperçu sur les Applications Potentielles de la Théorie des Options. L'Expert Comptable Suisse, 807-814.
Tuchschmid N (1998). Application of HPC to a Portfolio Choice Problem. Future Generation Computer Systems.
Tuchschmid N (1998). Une Application de la Théorie des Options : Le Cas de l'Immobilier. L'Expert Compable Suisse, 883-890.

1997

Adjaoute K (1997). Stochastic Interest Rates and the Pricing of European Currency Options. Working Paper IGBF, 9705.
Adjaoute K, Bruand M & Gibson R (1997). Forecasting Stock Market Volatility : Does History Matter?. European Financial Management.
Breitler M, Hegi S, Reymond JD & Tuchschmid N (1997). High Performance Computations for an Optimal Portfolio Choice Problem. HPCN proceedings, Lecture Notes in Computer Science, Springer-Verlag.
Breitler M, Hegi S, Reymond JD & Tuchschmid N (1997). Application of High Performance Computing to a Portfolio Choice Problem. Working Paper IGBF, 9706.
Caramanolis-Cotelli B, Gardiol L, Gibson R & Tuchschmid N (1997). Are Investors Sensitive to the Quality and the Disclosure of Financial Statements?. Working Paper IGBF, 9702.
Cossin D (1997). Advanced Credit Risk Analysis : A Survey. Financial Markets and Portfolio Management, 4.
Cossin D (1997). Credit Risk Pricing : A Literature Survey. Cahier de recherche IGBF, Nr. 14.
Cossin D (1997). Les Défis du Management Bancaire : Réflexions sur l'Apport de la Recherche Théorique Récente. Banque & Stratégie.
Cossin D & Pirotte H (1997). How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?. Working Paper IGBF, 9701.
Cossin D & Pirotte H (1997). Swap Credit Risk : An Empirical Investigation on Transaction Data. Journal of Banking & Finance, Nr. 21, 1351-73.
Danthine J.-P. (1997). In Search of a Successor to IS-LM. Oxford Review of Economic Policy, 13(3), 135-144. [url] [abstract] peer reviewed
Danthine JP & Donaldson J (1997). Non-Falsified Expectations and General Equilibrium Asset Pricing : the Power of the Peso. Working Paper IGBF, 9707.
Danthine JP, Donaldson J & Johnsen T (1997). Productivity Growth, Consumer Confidence and the Business Cycle. Working Paper.
Danthine JP & Tuchschmid N (1997). Couverture Optimale et Equilibre sur le Marché à Terme. Encyclopédie des Marchés Financiers, Economica Paris, 261-78.
Gardiol L, Gibson R & Tuchschmid N (1997). Are Liquidity and Corporate Control Priced by Shareholders ? Empirical Evidence from Swiss Dual Class Shares. Journal of Corporate Finance, 3(4), 299-324.
Lhabitant F.S., Mirlesse D. & Ritschard G. (1997). Discretionary Asset Management Processes in Switzerland. Cahier de recherche IGBF.
Lhabitant FS (1997). Portfolio Management in the 20th Century and Beyond : From Harry Markowitz and William Sharpe to Robert C. Merton and After (or from a Nobel to another). Cahier de recherche IGBF, Nr. 15.
Lhabitant FS (1997). Enhancing Portfolio Performance Using Options Strategies : Why Beating the Market is Easy. Working Paper IGBF, 9703.
Mikdashi Z (1997). Reflections on Global and Regional Issues in a Mutating World Economy. "New Perspectives, New Opportunities", Emirates Int. Forum, 185-205.
Probst A & Wenger D (1997). Repenser l'Informatique Bancaire et Financière : Vers des Systèmes Multi-Agents d'Information et de Gestion des Connaissances. Cahier de recherche IGBF, Nr. 13.
Tinguely O (1997). Reorganization Costs, Business Cycle, and Asset Prices. Working Paper IGBF, 9704.

1996

Adjaoute K (1996). Non-Stationary Exchange Rates and the Efficiency of the Foreign Exchange Market. Université de Lausanne Ecole des hautes études commerciales IGBF/IBFM.
Adjaoute K & Tuchschmid N (1996). Exchange Rate Dynamics, Currency Risk and International Portfolio Strategies. Finanzmarkt und Portfolio Management, 445-462.
Adjaoute Kpate (1996). An Investigation into the Modeling of Foreign Exchange Risk Premia, the Pricing of European Currency Options Under Stochastic Interest Rates. Université de Lausanne, Faculté des hautes études commerciales.
Bruand M & Gibson R (1996). Options, Futures and Stock Market Interactions: Empirical Evidence from the Swiss Stock Market. Université de Lausanne Ecole des hautes études commerciales IGBF/IBFM.
Caramanolis B (1996). External and Internal Corporate Control Mechanisms and the Role of the Board of Directors : A Review of Literature. Université de Lausanne Ecole des hautes études commerciales IGBF/IBFM.
Caramanolis B, Gibson R & Tuchschmid N (1996). Dual Class Shares Firms and Seasoned Equity Offerings: Empirical Evidence from the Swiss Stock Market. Advances in Finance, Investment and Banking, 125-150.
Cossin D (1996). Advanced Credit Risk Analysis: A Survey. Financial Markets and Portfolio Management.
Cossin D (1996). Recent Advances in Investment Valuation. Journal of the Academy of Sciences.
Danthine J.P. & Donaldson B. (1996). Labor contracts, operating leverage and asset pricing. CEPR.
Danthine J.P. & Donaldson J. (1996). Non-Falsified Expectations, General Equilibrium Asset Pricing, and the Peso Problem. Unil/HEC/IGBF/IBFM.
Danthine J.P. & Moresi S. (1996). Front-Running by Mutual Fund Managers: It Ain't that Bad. Ecole des HEC/DEEP.
Danthine J.P. & Zurn P. (1996). Economic Evaluation of Alternative Vaccination Strategies Agains Hepatitis B in Switzerland. Swiss Federal Health Office.
Gibson R, Tolle S & Zimmermann H (1996). Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies. Derivatives Quarterly, 3(1).
Gibson R & Zimmermann H (1996). Risiko Kontrolle und Regulierung der Derivativen Finanzmarkte aus Ökonomischer Sicht. Revue de Droit Suisse.
Gibson R & Zimmermann H (1996). Analyzing and Monitoring Derivatives Risks - Part 2. Derivatives Use, Trading & Regulation, 2(2).
Gibson R & Zimmermann H (1996). Analyzing and Monitoring Derivatives Risks - An Economic Perspective - Part 1. Derivatives Use, Trading & Regulation, 2(1).
Larcier R (1996). Les Placements Collectifs Immobiliers ou la Pierre-Papier. Institut de gestion bancaire et financière/Ecole des HEC/Université de Lausanne.
Mikdashi Z (1996). La Banque au Service de la Société. AGEFI, 76-88.
Mikdashi Z (1996). Reflexions on Global and Regional Issues in a Mutating World Economy. Emirates International Forum Dubai.
Tuchschmid N & Adjaoute K (1996). Exchange Rate Dynamics, Currency Risk and International Portfolio Strategies. Finanzmarket und Portfolio Management, 4, 445-462.

1993

Danthine J.P & Tuchschmid N (1993). Couverture Optimale et Equilibre sur les Marchés à Terme. Institut de gestion bancaire et financière Ecole des HEC Université de Lausanne.
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