Author 
Title 
File 
D. Isakov, University of Geneva, Switzerland 
How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods
December 2001 
125KB 
P. Veronesi, University of Chicago, USA 
Belief Dependent Utilities, Aversion to StateUncertainty, and Asset Prices
December 2001 
821KB 
M. Leippold, University of Zurich, Switzerland 
Design and Estimation of Quadratic Term Structure Models
December 2001 
569KB 
F. Teppa, University of Tilburg, Holland 
Subjective Measures of Risk Aversion and Portfolio Choice
December 2001 
303KB 
O. Scaillet, University of Geneva, Switzerland 
A Fast Subsampling Method for Nonlinear Dynamic Models
November 2001 
278KB 
O. Renault, London School of Economics, England 
Liquidity and Credit Risk
November 2001 
706KB 
P. Dellaportas, Athens University of Economics, Greece 
MCMC and TimeVarying Volatility Models
ECAS Courses, October 2001 
361KB 
P. Giudici, University of Pavia, Italy 
Bayesian Data Mining, with Application to Benchmarking and Credit Scoring
ECAS Courses, October 2001 
225KB 
A. Justel, Universidad Autonoma de Madrid, Spain 
Detection of Outlier Patches in Autoregressive Time Series
ECAS Courses, October 2001 
1.07MB 
F. Trojani, University of Southern Switzerland 
Robust Statistics and Robust Approaches for Portfolio Selection: Overview
ECAS Courses, October 2001 
20KB 

Perturbative Approaches for Robust Intertemporal Optimal Portfolio Selection 
100KB 

Incorporating MR, ER and Robustness in Mean Variance Portfolio Choise 
124KB 
R. Tsay , University of Chicago, USA 
Bayesian Analysis in Financial Econometrics: Value at Risk and High Frequency Data
ECAS Courses, October 2001 
552KB 
W. Polasek, University of Basle, Switzerland 
Portfolio construction by volatility forecasts: Does the covariance structure matter? 
380KB 

Portfolio construction with Bayesian GARCH Forecasts
ECAS Courses, October 2001 
232KB 
O. Scaillet, University of Geneva, Switzerland 
Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall 
3.10MB 

Nonparametric Estimation of Copulas for Times Series
ECAS Courses, October 2001 
1.43MB 
C. Gourieroux, CREST Paris, France 
Pricing with Splines
July 2001 
536KB 
C. Gourieroux, CREST Paris, France 
Econometric Specification of Stochastic Discount Factor Models
July 2001 
464KB 
M. Rockinger, HEC Paris, France 
Conditional Dependency of Financial Series: an Application of Copulas"
Mai 2001 
1.26MB 
V. Mehrotra, University of Alberta, Canada 
The Design of Financial Policies in Corporate Spinoffs
Mai 2001 
104KB 
R. Fernholz, IMTECH, Princeton, USA 
Stable Models for the Distribution of Equity Capital
Mai 2001 
500KB 
A. Floreani, Università Cattolica, Milano, Italy 
Mergers and Shareholers Wealth in the Insurance Industry
April 2001 
92KB 
G. Cassese, USI and Università Bocconi, Milano, Italy 
A Note on Bubbles in Continuous Time
March 2001 
292KB 
A. Sbuelz, Tilburg University, The Netherlands 
Hedging Double Barriers with Singles
February 2001 
252KB 