Geneva Finance Research Institute

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2016

Scientific Articles

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Are public and private asset returns and risks the same? evidence from real estate dataHoesli, Martin E.; Oikarinen, Elias;
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Asset allocation and monetary policy: evidence from the eurozoneHau, Harald; Lai, Sandy;
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Comments on: Nonparametric Tail Risk, Stock Returns and the MacroeconomyScaillet, Olivier; Trojani, Fabio; Camponovo, Lorenzo;
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Debt enforcement, investment, and risk taking across countriesFavara, Giovanni; Morellec, Erwan; Schroth, Enrique; Valta, Philip;
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How Does Corporate Investment Respond to Increased Entry Threat?Frésard, Laurent; Valta, Philip;
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Real estate research in europeHoesli, Martin E.;
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Risk factors of european non-listed real estate fund returnsDelfim, Jean-Christophe; Hoesli, Martin E.;
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Robust hedonic price indexesBourassa, Steven C; Cantoni, Eva; Hoesli, Martin E.;
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Strategic Default, Debt Structure, and Stock ReturnsValta, Philip;
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Time-Varying Risk Premium in Large Cross-Sectional Equity Data SetsGagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier;
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Variance After-Effects Distort Risk Perception in HumansPayzan-LeNestour, Elise; Balleine, Bernard W.; Berrada, Tony Nicolas; Pearson, Joel;
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What affects children's outcomes: house characteristics or homeownership?Hoesli, Martin E.; Bourassa, Steeven C.; Haurin, Donald R.;

Preprints

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Early exercise decision in american options with dividends, stochastic volatility and jumpsCosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier;

Working paper

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A diagnostic criterion for approximate factor structureGagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier;
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Comments on : Nonparametric Tail Risk, Stock Returns and the MacroeconomyScaillet, Olivier; Trojani, Fabio; Camponovo, Lorenzo;
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High Frequency House Price Indexes with Scarce DataHoesli, Martin E.; Bourassa, Steven;
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Real Estate Company Reactions to Financial Market RegulationHoesli, Martin E.; Milcheva, Stanimira; Moss, Alex;
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Real Estate Research in EuropeHoesli, Martin E.;
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Valuing American options using fast recursive projectionsCosma, Antonio; Galluccio, Stefano; Pederzoli, Paola; Scaillet, Olivier;

2014

Scientific Articles

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Exchange risk and market integrationChaieb, Ines; Errunza, Vihang R.;
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Integration of sovereign bonds markets: time variation and maturity effectsChaieb, Ines; Gibson Brandon, Rajna Nicole; Errunza, Vihang R.;
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Testing for symmetry and conditional symmetry using asymmetric kernelsScaillet, Olivier; Fernandes, Marcelo; Mendes, Eduardo F.;
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The effect of lock-ups on the suggested real estate portfolio weightHoesli, Martin E.; Liljeblom, Eva; Löflund, Anders;
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The exchange rate effect of multi-currency risk arbitrageHau, Harald;

Preprints

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Beta-Arbitrage strategies: when do they work, and why ?Berrada, Tony Nicolas; Messikh, Reda Jürg; Oderda, Gianluca; Pictet, Olivier Victor Henri;
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Commonality in liquidity and real estate securitiesHoesli, Martin E.; Kadilli, Anjeza; Reka, Kustrim;
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Contagion Channels between Real Estate and Financial MarketsHoesli, Martin E.; Reka, Kustrim;
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Financing Investment: The Choice Between Bonds and Bank LoansValta, Philip; Zhdanov, Alexei; Morellec, Erwan;
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Strategic Default, Debt Structure, and Stock ReturnsValta, Philip;
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The effect of lock-ups on the suggested real estate portfolio weightHoesli, Martin E.; Liljeblom, E.; Löflund, A.;
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Transaction-based and appraisal-based capitalization rate determinantsHoesli, Martin E.; Chaney, Alain;

Professional Articles

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Hedge fund managers: luck and dynamic assessmentScaillet, Olivier; Criton, Gilles;

Doctoral Thesis

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Financial contagion and liquidity in real estate marketsReka, Kustrim;

2010

Scientific Articles

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A primer on weather derivativesScaillet, Olivier; Barrieu, Pauline;
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Are Securitized Real Estate Returns more Predictable than Stock Returns?Hoesli, Martin E.; Serrano, Camillo;
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Housing finance, prices, and tenure in SwitzerlandHoesli, Martin E.; Bourassa, S. C.; Scognamiglio, D.;
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The interest rate sensitivity of real estateHoesli, Martin E.; Chaney, Alain;
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Time-varying risk premium in large cross-sectional equity datasetsScaillet, Olivier; Gagliardini, Patrick; Ossola, Elisa;

Dictionary / Encyclopedia Articles

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CMS spread productsScaillet, Olivier; Galluccio, Stefano;

2008

Scientific Articles

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A comparative analysis of house prices and bubbles in the U.K. and New ZealandHoesli, Martin E.; Fraser, P.; McAlevey, L.;

Dictionary / Encyclopedia Articles

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Swap market modelsScaillet, Olivier; Galluccio, Stefano;
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Weather derivativesScaillet, Olivier; Barrieu, Pauline;

Reports

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On the pricing of investable securities and the role of implicit barriersChaieb, Ines; Carrieri, Francesca; Errunza, Vihang;

2007

Scientific Articles

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Debt-equity choice in EuropeHoesli, Martin E.; Gaud, Philippe; Bender, André;
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International asset pricing under segmentation and PPP deviationsChaieb, Ines; Errunza, R.;

Professional Articles

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Heterogeneous preferences and equilibrium trading volumeBerrada, Tony Nicolas; Hugonnier, Julien; Rindisbacher, Marcel;

Book Chapters

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The estimation of copulas : theory and practiceScaillet, Olivier; Charpentier, Arthur; Fermanian, Jean-David;

Reports

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Are the investable indices priced globally or locally?Chaieb, Ines; Carrieri, Francesca; Errunza, Vihang;
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