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;

2015

Scientific Articles

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Apathy and noradrenaline; silent partners to mild cognitive impairment in parkinsons's disease?Loued-Khenissi, Leyla; Preuschoff, Kerstin;
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Contagion Channels between Real Estate and Financial MarketsHoesli, Martin E.; Reka, Kustrim;
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Contagion Channels between Real Estate and Financial MarketsHoesli, Martin E.; Reka, Kustrim;
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Corporate Goodness and Shareholder WealthKrueger, Philipp;
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Determinants of the Homeownership Rate: an international perspectiveHoesli, Martin E.; Bourassa, Steven C.; Haurin, Donald R.; Hendershott, Patric H.;
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Do Public Real Estate Returns Really Lead Private Returns?Hoesli, Martin E.; Oikarinen, Elias; Serrano, Camilo;
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Financing Investment: The Choice Between Bonds and Bank LoansValta, Philip; Zhdanov, Alexei; Morellec, Erwan;
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Incentive pay and bank risk-taking: evidence from austrian, german, and swiss banksEfing, Matthias; Hau, Harald; Kamkötter, Patrick; Steinbrecher, Johannes;
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Jumps in high-frequency data : spurious detections, dynamics, and newsBajgrowicz, Pierre Georges; Scaillet, Olivier; Treccani, Adrien;
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Multifamily residential asset and space markets and linkages with the economyHoesli, Martin E.; Chaney, Alain;
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Structured debt ratings: Evidence on conflicts of interestEfing, Matthias; Hau, Harald;
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Transaction-Based and Appraisal-Based Capitalization Rate DeterminantsHoesli, Martin E.; Chaney, Alain;

Doctoral Thesis

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Three essays in financial economicsKousse, Kagba Luc Hervé;

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;

2007

Scientific Articles

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Debt-equity choice in EuropeGaud, Philippe; Hoesli, Martin E.; 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 practiceCharpentier, Arthur; Fermanian, Jean-David; Scaillet, Olivier;

Reports

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