Geneva Finance Research Institute

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2019

Scientific Articles

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A diagnostic criterion for approximate factor structureGagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier;

Professional Articles

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Personalized philanthropyUgazio, Giuseppe;

Doctoral Thesis

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Four essays in behavioral economics and information securityDoell, Olivia;

2018

Scientific Articles

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U.S. metropolitan house price dynamicsOikarinen, Elias; Bourassa, Steven C.; Hoesli, Martin E.; Engblom, Janne;

Working paper

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Spanning tests for markowitz stochastic dominanceArvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas;
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The Cross-Sectional Distribution of Fund Skill MeasuresBarras, Laurent; Gagliardini, Patrick; Scaillet, Olivier;

Doctoral Thesis

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Dynamic stochastic general equilibrium models with heterogeneous agents: theory, computation and applicationProehl, Elisabeth Rita;
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Essays in Asset PricingPederzoli, Paola;

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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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?Bourassa, Steeven C.; Haurin, Donald R.; Hoesli, Martin E.;

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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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;

Doctoral Thesis

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High-frequency and high-dimensionality in FinanceTreccani, Adrien; Bajgrowicz, Pierre Georges; Scheidegger, Simon;

2010

Scientific Articles

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A primer on weather derivativesBarrieu, Pauline; Scaillet, Olivier;
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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 SwitzerlandBourassa, S. C.; Hoesli, Martin E.; Scognamiglio, D.;
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The interest rate sensitivity of real estateChaney, Alain; Hoesli, Martin E.;
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Time-varying risk premium in large cross-sectional equity datasetsGagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier;

Contributions à un dictionnaire / une encyclopédie

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CMS spread productsGalluccio, Stefano; Scaillet, Olivier;

2008

Scientific Articles

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A comparative analysis of house prices and bubbles in the U.K. and New ZealandFraser, P.; Hoesli, Martin E.; McAlevey, L.;
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Stock options and managers' incentives to cheatChesney, Marc; Gibson Brandon, Rajna Nicole;

Contributions à un dictionnaire / une encyclopédie

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Swap market modelsGalluccio, Stefano; Scaillet, Olivier;
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Weather derivativesBarrieu, Pauline; Scaillet, Olivier;

Reports

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