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Seminar papers and events documents 2005

Author Title File
Rajnish Mehra, University of California, Santa Barbara and NBER Junior is Rich: Bequests as Consumption
December 2005
4.09MB
Ghulam Sorwar, University of Nottingham Valuation of Derivatives Based on Single-Factor Interest Rate Models
December 2005
534KB
Dr Attilio Meucci, Lehman Brothers, Inc., New York Issues in Statistical Trading and Quantitative Portfolio Management: Modeling, Estimation Risk, and Robust Allocation
November 2005
1.63MB
Prof. Andrew Ellul, Kelley School of Business, Indiana University
External Governance and Debt Agency Costs of Family Firms
November 2005
140KB
Prof. Christoph Kaserer, Technical University of Munich Insider Ownership and Corporate Performance – Evidence from Germany
October 2005
293KB
Fausto Galli, CORE, all'Université Catholique de Louvain EIS for the estimation of SCD models.
October 2005
1MB
Dr. Guenter Franke, University of Konstanz Return Predictability and Stock Market Crashes in a Simple Rational Expectation Model.
October 2005
313KB
Prof. Nicola Bruiti Liberati, University of technology, Sydney On the Strong Approximation of Jump-Diffusion Processes
September 2005
346KB
Prof. Michael Rockinger and Prof. Eric Jondeau, Université de Lausanne Conditional Asset Allocation under Non-Normality: How Costly Is the Mean-Variance Criterion?
June 2005
661KB
Prof. Jens Jackwerth, Department of Economics, University of Konstanz Incentive Contracts and Hedge Fund Management
June 2005
389KB
Prof. Marcelo Fernandes, Queen Mary, University of London Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
June 2005
350KB
Prof. James Angel, Georgetown University Short-Selling and the Accrual Anomaly
June 2005
392KB
Prof. Tim Bollerslev, Duke University - Department of Economics Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility
June 2005
 
Matthias Ick, PhD student, University of Lugano Performance Measurement and Appraisal of Private Equity Investments relative to Public Equity Markets
May 2005
466KB
Thorsten Lehnert, Ph.D., Assistant Professor of Finance, Maastricht University Mandelbrot and the Smile
May 2005
267KB
Prof. Patrice Fontaine, Université Pierre Mendès-France, Grenoble et CNSR DOES PRIVATE INFORMATION ENGENDER SUPERIOR PERFORMANCE: A STUDY OF ACTIVELY MANAGED EQUITY FUNDS
May 2005
220KB
Prof. Olivier Scaillet, HEC Genève Theory and Calibration of Swap Market Models
May 2005
620KB
Michel Ruffa INFORMATION ET RENDEMENT BOURSIER EN SUISSE (1993-2000)
April 2005
293KB
Alberto Piatti, Institute of Finance, University of Lugano Limits of Learning from imperfect observations under prior ignorance:the case of the imprecise Dirichlet model
April 2005
136KB
Tim Jenkinson, Saïd Business School, University of Oxford; CEPR Why are European IPOs so rarely priced outside the indicative price range?
March 2005
292KB
Maurizio Luisi, ABN AMRO - ABN-Amro Bank, United Kingdom Macro Factors in the Term Structure of Credit Spreads
February 2005
678KB
Alex Stomper, University of Vienna Why Leverage Distorts Investment
January 2005
329KB
Prof. Chiara Pederzoli, Università di Modena e Reggio Emilia Default probabilities and business cycle regimes: a forward-looking apporach
January 2005
64KB
Sonia Petrone, Istituto di Metodi Quantitativi, Università Bocconi, Milano Dynamic polynomial models for the term structure of interest rates
January 2005
328KB
Gianluca Cassese, University of Lugano Asset pricing without probability
January 2005
528KB

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