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Seminar papers and events documents 2001

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 State-Uncertainty, 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 Time-Varying 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

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