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Publications


325 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.


In Press

Bernile, G. | Lyandres, E. | Zhdanov, A. (in press). A Theory of Strategic Mergers. peer reviewed
Dimopoulos, Theodosios | Stefano, Sacchetto (in press). Merger Activity in Industry Equilibrium. [abstract]
Jardet, C. | Monfort, A. | Pegoraro, F. (in press). No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. peer reviewed
Lyandres, E. | Zhdanov, A. | Hsieh, J. (in press). A Theory of Merger-Driven IPOs. peer reviewed
Marfè, R. (in press). Multivariate Lévy Processes with Dependent Jump Intensity. [url] peer reviewed

2016

Dimopoulos, T. | Sacchetto, S. (2016). Technological Heterogeneity and Corporate Investment. 66, 20-35. [doi] [abstract] peer reviewed
Dimopoulos, Theodosios | Hannes, Wagner (2016). Corporate Governance and CEO Turnover Decisions. HEC Lausanne and SFI. [abstract]
Morellec, E. | Nikolov, B. | Schürhoff, N. (2016). Agency Conflicts Around the World. Université de Lausanne.
Sato, Y. (2016). Delegated portfolio management, optimal fee contracts, and asset prices. 165, 360-389. [doi] [abstract] peer reviewed
Sato, Y. (2016). Fund tournaments and asset bubbles. 20, 1383-1426. [doi] [url] [abstract] peer reviewed

2015

Bacchetta, P. | Benhima, K. (2015). The demand for liquid assets, corporate saving, and international capital flows. 13, 1101-1135. [doi] [abstract] peer reviewed
Goyal, A. | Wahal, S. (2015). Is Momentum an Echo?. 50, 1237-1267. [doi] [abstract] peer reviewed
Hendershott, T. | Livdan, D. | Schuerhoff, N. (2015). Are Institutions Informed About News?. 117, 249-287. [doi] [abstract] peer reviewed
Nikolov, B. | Schmid, L. | Steri, R. (2015). Dynamic Corporate Liquidity. Université de Lausanne. [abstract]
Pierret, D. (2015). Systemic Risk and the Solvency-Liquidity Nexus of Banks. 11, 193-227. [abstract] peer reviewed

2014

Acharya, V. | Engle, R. | Pierret, D. (2014). Testing macroprudential stress tests: The risk of regulatory risk weights. 65, 36-53. [doi] [abstract] peer reviewed
Busse, J. | Goyal, A. | Wahal, S. (2014). Investing in a Global World. 18, 561-590. [doi] [abstract] peer reviewed
Chen, Z. | Lookman, A. A. | Schuerhoff, N. | Seppi, D. J. (2014). Rating-Based Investment Practices and Bond Market Segmentation. 4, 162-205. [doi] [abstract] peer reviewed
de Treville, S. | Schuerhoff, N. | Trigeorgis, L. | Avanzi, B. (2014). Optimal Sourcing and Lead-Time Reduction under Evolutionary Demand Risk. 23, 2103-2117. [doi] [abstract] peer reviewed
de Treville, S. | Bicer, I. | Chavez-Demoulin, V. | Hagspiel, V. | Schuerhoff, N. | Tasserit, C. | Wager, S. (2014). Valuing Lead Time. 32, 337-346. [doi] [abstract] peer reviewed
Dimopoulos, T. | Sacchetto, S. (2014). Preemptive Bidding, Target Resistance, and Takeover Premiums. 114, 444-470. [doi] [abstract] peer reviewed
Nikolov, B. | Whited, M. T. (2014). Agency Conflicts and Cash: Estimates from a Dynamic Model. 69, 883-1921. [doi] [abstract] peer reviewed
Sato, Y. (2014). Opacity in financial markets. 27, 3502-3546. [url] [abstract] peer reviewed

2013

Benhima, K. (2013). A Reappraisal of the Allocation Puzzle through the Portfolio Approach. 89, 331-346. [doi] [url] [abstract] peer reviewed
Benhima, K. (2013). Financial integration, capital misallocation and global imbalances. 324-340. [doi] [url] [abstract] peer reviewed
Benhima, K. | Massenot, B. (2013). Safety Traps. 5, 68-106. [doi] [url] [abstract] peer reviewed
Morellec, E. | Nikolov, B. | Zucchi, F. (2013). Competition, Cash Holdings, and Financing Decisions. Université de Lausanne.

2012

Benhima, K. (2012). Exchange Rate Volatility and Productivity Growth: The Role of Liability Dollarization. 23, 501-529. [doi] [url] peer reviewed
Bernardo, A. | Chowdhry, B. | Goyal, A. (2012). Assessing Project Risk. 24, 94-100. [doi] [abstract] peer reviewed
Goyal, A. (2012). Empirical Cross-Sectional Asset Pricing: A Survey. 26, 3-38. [doi] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2012). On the Importance of Time Variability in Higher Moments for Asset Allocation. 10, 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. 12, 75-87. [url] peer reviewed
Marfè, R. (2012). A multivariate pure-jump model with multi-factorial dependence structure. 15. [url] peer reviewed
Monfort, A. | Pegoraro, F. (2012). Asset Pricing with Second-Order Esscher Transforms. 36, 1678-1687. [doi] [abstract] peer reviewed
Morellec, E. | Nikolov, B. | Schuerhoff, N. (2012). Corporate Governance and Capital Structure Dynamics. 67, 803-848. [doi] [abstract] peer reviewed

2011

Billio, M. | Calès, L. | Guégan, D. (2011). Portfolio Symmetry and Momentum. 214, 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. 3, 700-710. [abstract] peer reviewed
Imbs, J. | Jondeau, E. | Pelgrin, F. (2011). Sectoral Phillips Curves and the Aggregate Phillips Curve. 58, 328-344. [doi] [abstract] peer reviewed
Morellec, E. | Schuerhoff, N. (2011). Corporate Investment and Financing under Asymmetric Information. 99, 262-288. [doi] [url] [abstract] peer reviewed
Schuerhoff, N. | Ziegler, A. (2011). Variance risk, financial intermediation, and the cross-section of expected option returns. CEPR - Centre for Economic Policy Research. [url] [abstract]

2010

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

2009

Bustamante, M. C., Danthine, J.-P. (Dir.) (2009). Three essays in dynamic corporate finance. [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.
Chordia, T. | Goyal, A. | Sadka, G. | Sadka, R. | Shivakumar, L. (2009). Liquidity and the Post-Earnings-Announcement-Drift. 65, 18-32. [doi] [abstract] peer reviewed
Goyal, A. | Saretto, A. (2009). Cross-Section of Option Returns and Volatility. 94, 310-326. [doi] [abstract] peer reviewed
Jondeau, E. | Pelgrin, F. (2009). Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity. Swiss Finance Institute.
Jondeau, E. | Rockinger, M. (2009). The Impact of Shocks on Higher Moments. 7, 77-105. peer reviewed
Osambela Zavala, J. E., Dumas, B. (Dir.) (2009). Essays in general equilibrium asset pricing. [abstract]
Puopolo, G. W., Danthine, J.-P. (Dir.) (2009). Essays in equilibrium asset pricing. [abstract]
Vulkán, L. N., Jondeau, E. (Dir.) (2009). Structural macro factors and the affine term structure of interest rates. [abstract]

2008

Danthine, J.-P. | Donaldson, J.B. (2008). Executive Compensation and Stock Options: an Inconvenient Truth. CEPR - Centre for Economic Policy Research. [url]
Danthine, J.-P. | Donaldson, J.B. | Siconolfi, P. (2008). Distribution Risk and Equity Returns. In 1 (Ed.), The Equity Risk Premium. Elsevier, North Holland.
Danthine, J.-P. | Kurmann, A. (2008). The Macroeconomic Consequences of Reciprocity in Labour Relations. peer reviewed
Goyal, A. | Pérignon, C. | Villa, C. (2008). How Common are Common Return Factors Across Nyse and Nasdaq?. 90, 252-271. [doi] [abstract] peer reviewed
Goyal, A. | Wahal, S. (2008). The Selection and Termination of Investment Managers by Plan Sponsors. 63, 1805-1847. [doi] [abstract] peer reviewed
Goyal, A. | Welch, I. (2008). A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. 21, 1455-1508. [doi] [abstract] peer reviewed
Holly, Alberto | Monfort, Alain | Rockinger, Michael (2008). Fourth order pseudo maximum likelihood methods. IEMS. [pdf]
Jalal, A. | Rockinger, M. (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non GARCH data. 15, 868-877. peer reviewed
Jondeau, E. (2008). Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias. Swiss Finance Institute.
Jondeau, E. | Le Bihan, H. (2008). Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification. 143, 375 - 395. [pdf] [abstract] peer reviewed
Jondeau, E. | Sahuc, J.-G. (2008). Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity. 4, 23-72.
Jondeau, E. | Sahuc, J.-G. (2008). Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model. 99, 192-196. peer reviewed
Joos, P. | Zhdanov, A. (2008). Earnings and Equity Valuation in the Biotech Industry: Theory and Evidence. 37, 431-459. [doi] [abstract] peer reviewed
Morellec, E. | Zhdanov, A. (2008). Financing and Takeovers. 87, 556-581. [doi] [abstract] peer reviewed
Nikolov, Boris, Morellec, Erwan (Dir.) (2008). Three essays in dynamic corporate finance. [abstract]

2007

Danthine, J.-P. (2007). Superneutrality. In 1 (Ed.), The New Palgrave Dictionary of Economics. Palgrave Macmillan.
Danthine, J.-P. | Jin, X. (2007). Intangible Capital, Firm Valuation and Asset Pricing. 32, 157-177. peer reviewed
Danthine, J.-P. | Kurmann, A. (2007). The Business Cycle Implications of reciprocity in Labour Relations. Université Laval, CIRPEE.
Green, R.C. | Hollifield, B. | Schuerhoff, N. (2007). Financial Intermediation and the Costs of Trading in an Opaque Market. 20, 275-314. [url] [abstract] peer reviewed
Green, R.C. | Hollifield, B. | Schuerhoff, N. (2007). Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues. 86, 643-682. [doi] [abstract] peer reviewed
Imbs, J. | Jondeau, E. | Pelgrin, F. (2007). Aggregating Phillips Curves. CEPR - Centre for Economic Policy Research.
Jalal, A., Rockinger, M. (Dir.) (2007). Three essays on the psychology of investment and financial markets. [abstract]
Jondeau, E. | Perilla, A. | Rockinger, M. (2007). Optimal Liquidation Strategies in Illiquid Markets. Swiss Finance Institute.
Jondeau, E. | Poon, S.-H. | Rockinger, M. (Ed.). (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. [abstract]
Niu, J., Morellec, E. (Dir.) (2007). Essays in banking and corporate finance. [abstract]
Schmid, L., Danthine, J.-P. (Dir.) (2007). Financing frictions and the cross section of returns.
Zhdanov, A. (2007). Competitive Equilibrium with Debt. 42, 709-734. [doi] [abstract] peer reviewed

2006

Aunon-Nerin, D., Cossin, D. (Dir.) (2006). Essays on risk management with focus on credit risk.
Barclay, M. | Morellec, E. | Smith, C. (2006). On the debt capacity of growth options. forthcoming.
Berrada, T. | Hugonnier, J. | Rindisbacher, M. (2006). Heterogeneous Preferences and Equilibrium Trading Volume. Forthcoming.
Danthine, J.-P. | Kurmann, A. (2006). Efficiency wages revisited: The internal reference perspective. 90, 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. [abstract]
Green, R. | Hollifield, B. | Schuerhoff, N. (2006). Financial intermadiation and the cost of trading in an opaque market. Forthcoming.
Hackbarth, D. | Miao, J. | Morellec, E. (2006). Capital structure, credit risk, and macroeconomic conditions. forthcoming.
Jondeau, E. | Rockinger, M. (2006). Optimal Portfolio Allocation Under Higher Moments. 12, 29-55. [pdf] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2006). The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application. 25, 827-853. [pdf] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2006). Modelling the Dynamics of Conditional Dependency Between Financial Series. In 1 (Ed.), Multi-moment Asset Allocation and Pricing Models. Wiley Finance.
Jondeau, E. | Rockinger, M. (2006). The Economic Value of Distributional Timing. Swiss Finance Institute.
Jondeau, E. | Rockinger, M. (2006). Time-Variability in Higher Moments Is Important for Asset Allocation. 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. [abstract]
Morrison, A. | White, L. (2006). Crises and capital requirements in banking. forthcoming.
Perilla, A., Rockinger, M (Dir.) (2006). Three essays on liquidity risk. [abstract]
Raccuglia, B., Rockinger, M. (Dir.) (2006). Levy processes: theory and financial applications.
Schroth, E. (2006). Innovation, Product Differentiation and the Choice of an Underwriter: Evidence from Equity Linked Securities. Forthcoming.
Semenova, M., Rockinger, M. (Dir.) (2006). Estimation of jump-diffusion processes via empirical characteristic functions. [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. pp. 140-172.
Danthine, J.-P. | Adjaouté, K. | Isakov, D. (2005). Portfolio Diversification in Europe. In 1 (Ed.), The Internationalisation of Asset Ownership in Europe (pp. 140-172). Cambridge University Press.
Danthine, J.P. | Donaldson, J. (Ed.). (2005). Intermediate Financial Theory. Elsevier Academic Press.
Danthine, J.P. | Donaldson, J.B. | Siconolfi, P. (2005). Distribution Risk and Equity Returns. November.
Danthine, J.P. | Kurmann, A. (2005). The Macroeconomic Consequences of Reciprocity in Labor Relations.
Guo, X. | Miao, J. | Morellec, E. (2005). Irreversible investment with regime shifts. 122.
Hugonnier, J. | Kramkov, D. | Schachermayern, W. (2005). On the Utility Based Pricing of Contingent Claims in Incomplete Markets. 15.
Jin, X., Danthine, J.-P. (Dir.) (2005). Essays on asset pricing and asset allocation.
Jondeau, E. (2005). Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?. In 1 (Ed.), European Finance Association meeting.
Jondeau, E. | Le Bihan, H. (2005). Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data. 22, 521-550. [pdf] [abstract] peer reviewed
Morellec, E. | Zhdanov, A. (2005). The dynamics of mergers and acquisitions. 77, 649-672. [doi] [abstract] peer reviewed
Szalay, D. (2005). The economics of extreme options and clear advice. 72.

2004

Adjaouté, K | Danthine, J.-P. (2004). Equity Returns and Integration: Is Europe Changing? . 20(4), 555-570.
Adjaouté, K | Danthine, J.-P. (2004). Portfolio Diversification: Alive and Well in Euroland . 14, 1225-1231.
Chen, K., Rockinger, M. (Dir.) (2004). Three essays on hedge funds and asset allocation with higher moments.
Collin Dufresne, P. | Goldstein, R. | Hugonnier, J. (2004). A General Formula for Valuing Defaultable Securities joint with Pierre. 72, 1377-1407.
Danthine, J.-P. | Adjaouté, K. (2004). Equity Returns and Integration: Is Europe Changing?. 20, 550-570. [url] [abstract] peer reviewed
Danthine, J.-P. | Adjaouté, K. (2004). Portfolio Diversification: Alive and Well in Euroland. 14, 1225-1231. [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. 1, 143-153. [abstract] peer reviewed
Danthine, J.-P. | Kurmann, A. (2004). Fair Wages in a New Keynesian Model of the Business Cycle. 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. 1, 143.
Danthine, J.P. | Kurmann, A. (2004). Fair Wages in a New Keynesian: Model of the Business Cycle. 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.
François, P. | Morellec, E. (2004). Capital structure and asset prices: some effects of bankruptcy procedures. 77.
Henneberger, F | Sousa-Poza, A | Ziegler, A (Ed.). (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. 2, 47-50.
Jondeau, E. | Gallès, C. | Le Bihan, H. (2004). Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function. 22, 225-239. [pdf] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2004). The Bank Bias: Segmentation of French Fund Families. 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. In 1 (Ed.), 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. [abstract]
Kramkov, D. | Hugonnier, J. (2004). Optimal Investment with Random Endowments in Incomplete Markets. 14, 845-864.
Morellec, E (2004). Can managerial discretion explain observed leverage ratios. 17(1) Spring, 257 294.
Morellec, E. (2004). Can managerial discretion explain observed leverage ratios . Issue 1.
Padula, M. | Fabbri, D. (2004). Does Poor Legal Enforcement Make Households Credit-Constrained.
Poon, S. H. | Rockinger, M. (2004). Extreme Values Dependency in International Stock Markets.
Rockinger, M. (Ed.). (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. 17, 581-610. [url] [abstract] peer reviewed
Ziegler, A. (Ed.). (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. In 1 (Ed.), The Transformation of The European Financial System. European Central Bank.
Adjaouté, K | Danthine, JP | Isakov, D (2003). Portfolio Diversification in Europe. 84.
Danthine, J.-P. | Adjaouté, K. (2003). European Financial Integration and Equity Returns: A Theory-Based Assessment. In 1 (Ed.), 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.
Duffie, D | Ziegler, A (2003). Liquidation Risk. 59 (3), 42-51.
Ehling, P., Danthine, J.-P. (Dir.) (2003). Asset Pricing and International Finance.
Entela, S (2003). Essays on venture equity contracts and asset allocation under default risk.
Henneberger, F | Ziegler, A (2003). Aussenhandel und Auslandsproduktion im Dienstleistungssektor: Theorie und Empirie der Beschigungseffekte für die schweizerische Tourismusbranche. 139, 535-561.
Jondeau, E. | Rockinger, M. (2003). Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements. 27, 1699-1737. [pdf] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2003). User's Guide. 27, 1739-1742. [pdf] [abstract] peer reviewed
Jondeau, E. | Rockinger, M. (2003). Testing for Differences in the Tails of Stock-Market Returns. 10, 559-581. [pdf] [abstract] peer reviewed
Lhabitant, F (Ed.). (2003). Hedge funds: myths and limits. J. Wiley.
Ramos, S (2003). Essays on stock market integration.
Rockinger, M | Jondeau, E (2003). The Tail Behavior of Stock Returns: Emerging versus Mature Markets. 10, 559-581.
Rockinger, M | Roche, B (2003). Switching Regime Volatility: An Empirical Evaluation. In 1 (Ed.), Applied quantitative methods for trading and investments. Wiley Finance.
Rockinger, M. | Abadir, K. (2003). Density-Embedding Functions. 19, 778-811. [abstract] peer reviewed
Rockinger, M. | Jondeau, E. (2003). How Higher Moments affect the allocation of assets. 1, 1-5. [abstract] peer reviewed
Rockinger, M. | Poon, S.-H. | Tawn, J. (2003). Extreme-Value Dependence Measures and Finance Applications. 13, 929-953. [abstract] peer reviewed
Sousa-Poza, A | Ziegler, A (2003). Asymmetric Information on Workers Productivity as a Cause for Inefficient Long Working Hours. 10 (6), 727-747.
Von Thadden, E (2003). Asymmetric Information, Bank Lending, and Implicit Contracts: The Winner's Curse. 1.
Von Thadden, E (2003). Liquidity. In 1 (Ed.), 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?. 38.
Xhaja, A (2003). Essays in interest rates and risk management.
Ziegler, A (Ed.). (2003). Incomplete Information and Heterogeneous Beliefs in Continuous-Time Finance. Springer.

2002

Danthine, J.-P. | Donaldson, J.B. (2002). A Note on NNS Models: Introducing Physical Capital; Avoiding Rationing. 77, 433-437. [url] [abstract] peer reviewed
Danthine, J.-P. | Donaldson, J.B. (2002). Labor Relations and Asset Returns. 69, 41-64. [url] [abstract] peer reviewed
Danthine, J.P. | Donaldson, J.B. (Ed.). (2002). Intermediate Financial Theory. Prentice Hall.
Danthine, J.P. | Kurmann, A. (Ed.). (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. 106, 119-142. [pdf] [abstract] peer reviewed
Lhabitant, F (2002). Risk Management with style. 1, 65-71.
Lhabitant, F (2002). Anatomie einer long/short transaction. In 1 (Ed.), Die hedge funds verstehen (pp. 223-226). Coninco.
Lhabitant, F (2002). Assessing the risk of hedge funds. In 1 (Ed.), Financial Risk and Financial Risk Management (pp. 417-449). Th. Ferguson.
Lhabitant, F | Tinguely, O (2002). Financial Constraints and Investment : the Swiss Case. 138 (1), 137-163.
Von Thadden, EL (2002). An Incentive Problem in the Dynamic Theory of Banking. 38, 271-292.
Ziegler, A (2002). State-Price Densities Under Heterogeneous Beliefs, the Smile Effect, and Implied Risk Aversion. 46(8), 1539-1557.
Ziegler, A (2002). State-Price Densities Under Heterogeneous Beliefs, the Smile Effect, and Implied Risk Aversion. 46(8), 1539-1557.
Ziegler, A (2002). When are Retail Stores Preferable to Auctions ?. 02.03.
Ziegler, A (2002). Why does Implied Risk Aversion Smile ?. 47.
Ziegler, A. | Henneberger, F. (2002). Auslandsinvestitionen, sektoraler Strukturwandel und Beschäftigung. 9, 12-15.

2001

1 (Ed.). (2001). Financial Intermediation in the 21st Century. Palgrave.
Akgun, A (2001). Three Essays on Default and Model Risk.
Ané, T (2001). Revisiting the Finite Mixture of Gaussian Distributions with Application to Futures Markets.
Ané, T (2001). Understanding Bid-Ask Spreads of Derivatives under Uncertain Volatility and Transaction Costs.
Ané, T (2001). Implied Volatility Surfaces and Market Activity Over Time.
Ané, T (2001). Order Flow, Transaction Clock and Normality of Asset Returns.
Bacchetta, P | Aghion, P | Banerjee, A (2001). Currency Crises and Monetary Policy in a Credit-Constrained Economy. 45, 1121-1150.
Bacchetta, P | Van Wincoop, E (2001). Trade Flows, Prices and the Exchange Rate Regime. In 1 (Ed.), 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.
Botteron, P (2001). On the Practical Application of the Real Options Theory, Risk Management and Derivatives. 43, 469-479.
Cossin, D | Aparicio Acosta, F (Ed.). (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. 27.
Cossin, D | Pirotte, H (Ed.). (2001). Advanced Credit Risk Analysis. J. Wiley.
Cossin, D. | Aparicio Acosta, F.M. (2001). Control of Credit Risk Collateralization Using Quasi Variational Inequalities. 4.
Danthine, J.-P. (2001). Banking : Is Bigger Really Better ?. In 1 (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 1 (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 1 (Ed.), EMU: Its Impact on Europe and the World. Oxford University Press. [abstract]
Danthine, J.P. (2001). Banking: Is Bigger Really Better. In 1 (Ed.), Financial Intermediation in the 21st Century (pp. 209-219). Palgrave.
Danthine, J.P. | Adjaouté, K. (Ed.). (2001). EMU and Portfolio Diversification Opportunities. Centre for Economic Policy Research.
Danthine, J.P. | Adjaouté, K. (Ed.). (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 1 (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 1 (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.
Lhabitant, F.S. (2001). On Swiss timing and selectivity: in the quest of alpha. 15, 154-172.
Lhabitant, F.S. (2001). Assessing market risk for hedge funds and hedge funds portfolios. printemps, 1-17.
Lhabitant, F.S. (2001). Hedge funds investing: A quantitative look inside the black box. 1, 82-90.
Lhabitant, F.S. (2001). A New Light on European Business. 43, 841-845.
Lhabitant, F.S. (2001). Not Just Another Financial Derivatives Book. 43, 315-319.
Lhabitant, F.S. | Tinguely, O. (2001). Financial risk management: an introduction. 43, 343-363.
Lhabitant, FS (2001). A New Bible for Risk Management. 43, 699-704.
Mougeot, N (2001). Managing Non-Standard Sources of Risk in Financial Markets.
Ziegler, A (2001). Dividend Growth Uncertainty and Stock Prices. 137, 579-598.
Ziegler, A | Duffie, D (Ed.). (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. 149.
Ziegler, A | Henneberger, F (Ed.). (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.

2000

Adjaouté, K | Bottazzi, L | Danthine, JP | Fischer, A | Hamaui, R | Portes, R | Wickens, M (2000). EMU and Portfolio Adjustment. 5.
Ane, T (2000). Stochastic Volatility and Transaction Time: an Activity-Based Volatility Estimator.
Ane, T | Geman, H (2000). Order Flow, Transaction Clock, and Normality of Asset Returns. 55, 2259-2284.
Arpin, S (2000). Is Bank Industrial Ownership Anti-Competitive. 22.
Arping, S (2000). Debt and Product Market Fragility. 21.
Arping, S (2000). Banking, Commerce, and Antitrust. 19.
Arping, S | Gyongyi, L (2000). Product Differentiation and Capital Structure.
Bacchetta, P (2000). Política monetaria con deuda denominada en moneda extranjera. 210, 69-105.
Bacchetta, P | Aghion, P | Banerjee, A (2000). A Simple Model of Monetary Policy and Currency Crises. 44, 728-738.
Bacchetta, P | Ballabriga, F (2000). The Impact of Monetary Policy and Bank Lending: Some International Evidence. 10, 15-26.
Bacchetta, P | Caminal, R (2000). Do Capital Market Imperfections Exacerbate Output Fluctuations ?. 44, 449-468.
Bacchetta, P | Espinosa, MP (2000). Exchange-of-Information Clauses in International Tax Treaties. 7, 275-294.
Bacchetta, P | van Wincoop, E (2000). Does Exchange Rate Stability Increase Trade and Welfare ?. 90, 1093-1109.
Bacchetta, P | van Wincoop, E (2000). Trade in Nominal Assets and Net International Capital Flows. 19, 55-72.
Bacchetta, P | van Wincoop, E (2000). Capital Flows to Emerging Markets: Liberalization, Overshooting, and Volatility. In 1 (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. 60, 21-41.
Clerc, N (2000). Time varying unitary market price of risk and intertemporal asset allocation.
Cossin, D (2000). Credit Risk Pricing. In 1 (Ed.), The Current State of Business Disciplines (pp. 23). Shri Bhagwan Dahiya.
Cossin, D | Hricko, T (2000). Real Options and Short Term Finance.
Cossin, D | Hricko, T (2000). Pricing Credit Risk with Risky Collateral: A Methodology for Haircut Determination.
Cossin, D | Leleux, B | Saliasi, E (2000). Venture Equity Investment Contracts: A Real Option Approach.
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.
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. 220, 147-164.
Henneberger, F | Ziegler, A (2000). Beschaeftigungsentwicklung in multinationalen Unternehmen: Hat die Unternehmensgroesse einen Einfluss auf die heimische Arbeitsnachfrage ?. 46, 139-160.
Jussupova, Y | Probst, AR | Rossi, M (2000). Intelligent Systems for Business Competencies Management. submitted for publication.
Kampshoff, E | Probst, AR (2000). Wenger, Dieter, "Kunden fragen - der Computer antwortet: Höhere Produktivität dur automatische Bearbeitung von Kundenfragen. 19, 1-4.
Probst, A.R. (2000). Wenger, Dieter, "Der E-Worker als Konkurrent zum Call Center-Agent ?". 11, 28-31.
Probst, A.R. | Jussupova, Y. | Rossi, M. (2000). Electronic Marketplace for Business Competencies Exchange. submitted for publication.
Ziegler, A (2000). Optimal Portfolio Choice under Heterogeneous Beliefs. 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. 7, 331-347.

1999

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

1998

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

1997

Adjaoute, K (1997). Stochastic Interest Rates and the Pricing of European Currency Options. 9705.
Adjaoute, K | Bruand, M | Gibson, R (1997). Forecasting Stock Market Volatility : Does History Matter?.
Breitler, M | Hegi, S | Reymond, JD | Tuchschmid, N (1997). Application of High Performance Computing to a Portfolio Choice Problem. 9706.
Breitler, M | Hegi, S | Reymond, JD | Tuchschmid, N (1997). High Performance Computations for an Optimal Portfolio Choice Problem. Springer-Verlag.
Caramanolis-Cotelli, B | Gardiol, L | Gibson, R | Tuchschmid, N (1997). Are Investors Sensitive to the Quality and the Disclosure of Financial Statements?. 9702.
Cossin, D (1997). Les Défis du Management Bancaire : Réflexions sur l'Apport de la Recherche Théorique Récente.
Cossin, D (1997). Advanced Credit Risk Analysis : A Survey. 4.
Cossin, D (1997). Credit Risk Pricing : A Literature Survey. Nr. 14.
Cossin, D | Pirotte, H (1997). Swap Credit Risk : An Empirical Investigation on Transaction Data. Nr. 21, 1351-73.
Cossin, D | Pirotte, H (1997). How Well do Classical Credit Risk Pricing Models Fit Swap Transaction Data?. 9701.
Danthine, J.-P. (1997). In Search of a Successor to IS-LM. 13, 135-144. [url] [abstract] peer reviewed
Danthine, JP | Donaldson, J (1997). Non-Falsified Expectations and General Equilibrium Asset Pricing : the Power of the Peso. 9707.
Danthine, JP | Donaldson, J | Johnsen, T (1997). Productivity Growth, Consumer Confidence and the Business Cycle.
Danthine, JP | Tuchschmid, N (1997). Couverture Optimale et Equilibre sur le Marché à Terme. 261-78.
Gardiol, L | Gibson, R | Tuchschmid, N (1997). Are Liquidity and Corporate Control Priced by Shareholders ? Empirical Evidence from Swiss Dual Class Shares. 3, 299-324.
Lhabitant, F.S. | Mirlesse, D. | Ritschard, G. (1997). Discretionary Asset Management Processes in Switzerland.
Lhabitant, FS (1997). Enhancing Portfolio Performance Using Options Strategies : Why Beating the Market is Easy. 9703.
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). Nr. 15.
Mikdashi, Z (1997). Reflections on Global and Regional Issues in a Mutating World Economy. 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. Nr. 13.
Tinguely, O (1997). Reorganization Costs, Business Cycle, and Asset Prices. 9704.

1996

Adjaoute, K (Ed.). (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. 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.
Bruand, M | Gibson, R (Ed.). (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 (Ed.). (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. 125-150.
Cossin, D (1996). Recent Advances in Investment Valuation.
Cossin, D (1996). Advanced Credit Risk Analysis: A Survey.
Danthine, J.P. | Donaldson, B. (1996). Labor contracts, operating leverage and asset pricing.
Danthine, J.P. | Donaldson, J. (Ed.). (1996). Non-Falsified Expectations, General Equilibrium Asset Pricing, and the Peso Problem. Unil/HEC/IGBF/IBFM.
Danthine, J.P. | Moresi, S. (Ed.). (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.
Gibson, R | Tolle, S | Zimmermann, H (1996). Long Term Options on the Swiss Market Index and Portfolio Insurance Strategies. 3.
Gibson, R | Zimmermann, H (1996). Analyzing and Monitoring Derivatives Risks - An Economic Perspective - Part 1. 2.
Gibson, R | Zimmermann, H (1996). Risiko Kontrolle und Regulierung der Derivativen Finanzmarkte aus Ökonomischer Sicht.
Gibson, R | Zimmermann, H (1996). Analyzing and Monitoring Derivatives Risks - Part 2. 2.
Larcier, R (Ed.). (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. 76-88.
Mikdashi, Z (1996). Reflexions on Global and Regional Issues in a Mutating World Economy.
Tuchschmid, N | Adjaoute, K (1996). Exchange Rate Dynamics, Currency Risk and International Portfolio Strategies. 4, 445-462.

1993

Danthine, J.P | Tuchschmid, N (Ed.). (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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