Publications

ZORA Publication List

Publications

• 2007

  • Battiston, Stefano; Weisbuch, G (2007). From production networks to geographical economics. Journal of Economic Behavior & Organization, 64(3-4):448-469.
  • Malmendier, Ulrike; Shanthikumar, Devin (2007). Are Small Investors Naïve About Incentives?. Journal of Financial Economics, 85(2):457-489.
  • Egloff, Daniel; Leippold, Markus; Vanini, Paolo (2007). A simple model of credit contagion. Journal of Banking and Finance, 31(8):2475-2492.
  • Iseli, Thomas; Wagner, Alexander F; Weber, Rolf H (2007). Legal and economic aspects of best execution in the context of the Markets in Financial Instruments Directive (MiFID). Law and Financial Markets Review, 1(4):313-325.
  • Degryse, Hans; Ongena, Steven (2007). The impact of competition on bank orientation. Journal of Financial Intermediation, 16(3):399-424.
  • Battiston, Stefano; Delli Gatti, D; Gallegati, M; Greenwald, B; Stiglitz, J E (2007). Credit chains and bankruptcy propagation in production networks. Journal of Economic Dynamics and Control, 31(6):2061-2084.
  • Woehrmann, Peter; Hens, Thorsten (2007). Strategic asset allocation and market timing: a reinforcement learning approach. Computational Economics, 29(3-4):369-381.
  • De Giorgi, Enrico; Mayer, János; Hens, Thorsten (2007). Computational aspects of prospect theory with asset pricing applications. Computational Economics, 29(3-4):267-281.
  • Ranaldo, Angelo; Christiansen, Charlotte (2007). Realized bond-stock correlation: Macroeconomic announcement effects. Journal of Futures Markets, 27(5):439-469.
  • Broda, Simon; Paolella, Marc S; Carstensen, Kai (2007). Bias-adjusted estimation in the ARX(1) model. Computational Statistics and Data Analysis, 51(7):3355-3367.
  • Broda, Simon; Paolella, Marc S (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics and Data Analysis, 51(6):2907-2918.
  • Gençay, Ramazan; Gibson, Rajna (2007). Model risk for European-style stock index options. IEEE Transactions on Neural Networks, 18(1):193-202.
  • Dumas, Bernard; Syz, Jürg (2007). Perspectives: Why not trade pension claims?. Financial Analysts Journal, 63(1):46-54.
  • Syz, Jürg; Leippold, Markus (2007). Trend derivatives: pricing, hedging, and application to executive stock options. Journal of Futures Markets, 27(2):151-186.
  • Büttler, Hans-Jürg (2007). Least-Squares Filter versus Hodrick-Prescott Filter. Economic & financial modelling, 14(4):153-198.
  • De Giorgi, Enrico; Audrino, Francesco (2007). Beta Regimes for the Yield Curve. Journal of Financial Econometrics, 5(3):456-490.
  • Farkas, Walter; Reich, N; Schwab, C (2007). Anisotropic stable Levy copula processes-analytical and numerical aspects. Mathematical Models and Methods in Applied Sciences, 17(9):1405-1443.
  • Birchler, Urs; Facchinetti, Matteo (2007). Can bank supervisors rely on market data? A critical assessment from a Swiss perspective. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 143(2):95-132.
  • Leippold, Markus; Wu, Liuren (2007). Design and estimation of multi-currency quadratic models. Review of Finance, 11(2):167-207.
  • Kübler, Felix (2007). Approximate generalizations and computational experiments. Econometrica, 75(4):967-992.
  • Ziegler, Alexandre (2007). Why does implied risk aversion smile?. Review of Financial Studies, 20(2):859-904.
  • Hens, Thorsten; Schenk-Hoppe, Klaus Reiner; Vogt, Bodo (2007). The great capitol hill baby sitting co-op: Anecdote or evidence for the optimum quantity of money?. Journal of Money, Credit, and Banking, 39(6):1305-1333.
  • Ziegler, Alexandre; Habib, Michel A (2007). Why government bonds are sold by auction and corporate bonds by posted-price selling. Journal of Financial Intermediation, 16(3):343-367.
  • Mella-Barral, Pierre; Habib, Michel A (2007). The Role of Knowhow Acquisition in the Formation and Duration of Joint Ventures. Review of Financial Studies, 20(1):189-233.
  • Chemla, Gilles; Ljungqvist, Alexander; Habib, Michel A (2007). An Analysis of Shareholder Agreements. Journal of the European Economic Association, 5(1):93-121.
  • Cooper, Ian; Nyborg, Kjell Gustav (2007). Valuing the Debt Tax Shield. Journal of Applied Corporate Finance, 19(2):30-39.

• 2006

  • De Giorgi, Enrico; Hens, Thorsten (2006). Making prospect theory fit for finance. Financial markets and portfolio management, 20(3):339-360.
  • Huang, Jimmy; Fasnacht, Daniel; Starkey, Ken; Tempest, Sue (2006). The Development of Architectural Ambidexterity: Information Technology in an Age of Hypercompetition. Academy of Management. Proceedings, 2006(1):E1-E6.
  • Gençay, Ramazan; Selçuk, Faruk (2006). Intraday dynamics of stock market returns and volatility. Physica A: Statistical Mechanics and its Applications, 367:375-387.
  • Malmendier, Ulrike; Della Vigna, Stefano (2006). Paying Not to Go to the Gym. American Economic Review, 96(3):694-719.
  • Krüger, Dirk; Kübler, Felix (2006). Pareto-Improving Social Security Reform When Financial Markets Are Incomplete!?. American Economic Review, 96(3):737-755.
  • Gençay, Ramazan; Selçuk, Faruk (2006). Overnight borrowing, interest rates and extreme value theory. European Economic Review, 50(3):547-563.
  • Egli, Dominik; Ongena, Steven; Smith, David C (2006). On the sequencing of projects, reputation building, and relationship finance. Finance Research Letters, 3(1):23-39.
  • De Giorgi, Enrico; Burkhard, Jürg (2006). An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios. Journal of Risk, 8(4):57-95.
  • Tanner, Carmen (2006). Wenn Konsumenten und Konsumentinnen Konsumprodukte nach ihrer Umweltfreundlichkeit beurteilen. GAIA, 15(3):215-220.
  • Caetano, Antonio M; Farkas, Walter (2006). Local Growth Envelopes of Besov Spaces of Generalized Smoothness. Zeitschrift für Analysis und ihre Anwendungen, 25(3):265-298.
  • Vanini, Paolo; Ebnoether, Silvan; Leippold, Markus (2006). Optimal credit limit management under different information regimes. Journal of Banking and Finance, 30:463-487.
  • Blöchlinger, Andreas; Leippold, Markus (2006). The economic benefit of powerful credit scoring. Journal of Banking and Finance, 30:851-873.
  • Vanini, Paolo; Trojani, Fabio; Leippold, Markus (2006). Equilibrium impact of value-at-risk regulation. Journal of Economic Dynamics and Control, 30:1277-1313.
  • Östberg, Per (2006). Disclosure, investment and regulation. Journal of Financial Intermediation, 15(3):285-306.
  • Farkas, Walter; Leopold, H G (2006). Characterisations of function spaces of generalized smoothness. Annali di Matematica Pura ed Applicata, 185:1-62.
  • Schmedders, Karl; Judd, Kenneth; Kübler, Felix (2006). Reply to 'Asset Trading Volume in Innite-Horizon Economies with Dynamically Complete Markets and Heterogeneous Agents: Comment'. Finance Research Letters, 3(2):102-105.
  • Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2006). Modeling and predicting market risk with Laplace-Gaussian mixture distributions. Applied Financial Economics, 16(15):1145-1162.
  • Paolella, Marc; Hartz, Christoph; Mittnik, Stefan (2006). Accurate value-at-risk forecasting based on the Normal-GARCH model. Computational Statistics & Data Analysis, 51(4):2295-2312.
  • Kuester, Keith; Mittnik, Stefan; Paolella, Marc S (2006). Value-at-risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics, 4(1):53-89.
  • Evstigneev, Igor V; Hens, Thorsten; Schenk-Hoppe, Klaus Reiner (2006). Evolutionary Stable Stock Markets. Economic Theory, 27:449-468.
  • Hens, Thorsten; Herings, P Jean-Jacques; Predtetchinskii, Arkadi (2006). Limits to Arbitrage When Market Participation Is Restricted. Journal of Mathematical Economics, 42(4-5):556-564.
  • Hens, Thorsten; Schenk-Hoppe, Klaus Reiner (2006). Markets Do Not Select for a Liquidity Preference as Behavior Towards Risk. Journal of Economic Dynamics and Control, 30(2):279-292.
  • Alesina, Alberto; Wagner, Alexander F (2006). Choosing (and reneging on) exchange rate regimes. Journal of the European Economic Association, 4(4):770-799.
  • Wagner, Alexander F; Miller, Nolan H; Zeckhauser, Richard J (2006). Screening budgets. Journal of Economic Behavior & Organization, 63(3):351-374.
  • Barzel, Yoram; Habib, Michel A; Johnsen, D Bruce (2006). Prevention Is Better than Cure: The Role of IPO Syndicates in Precluding Information Acquisition. Journal of Business, 79(6):2911-2923.
  • Cooper, Ian A; Nyborg, Kjell Gustav (2006). The value of tax shields IS equal to the present value of tax shields. Journal of Financial Economics, 81(1):215-225.
  • Rochet, Jean-Charles; Bommier, Antoine (2006). Risk aversion and planning horizons. Journal of the European Economic Association, 4(4):708-734.
  • Henriet, Dominique; Rochet, Jean-Charles (2006). Is public health insurance an appropriate instrument for redistribution?. Annales d'Economie et de Statistique, (83/84):61-82.
  • Chesney, Marc; Gauthier, Laurent (2006). American Parisian Options. Finance and Stochastics, 10(4):475-506.

• 2005

  • Habib, Michel A; Ljungqvist, Alexander (2005). Firm value and managerial incentives: a stochastic frontier approach. The Journal of Business, 78(6):2053-2094.
  • Bennear, Lori S; Stavins, Robert N; Wagner, Alexander F (2005). Using revealed preferences to infer environmental benefits, evidence from recreational fishing licenses. Journal of Regulatory Economics, 28(2):157-179.
  • Karceski, Jason; Ongena, Steven; Smith, David C (2005). The impact of bank consolidation on commercial borrower welfare. Journal of Finance, 60(4):2043-2082.
  • Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio (2005). Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models. Journal of the American Statistical Association, 100(470):628-641.
  • Barone-Adesi, Giovanni; Rasmussen, Henrik; Ravanelli, Claudia (2005). An option pricing formula for the GARCH diffusion model. Computational Statistics & Data Analysis, 49(2):287-310.
  • Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2005). Evolutionary finance: introduction to the special issue. Journal of Mathematical Economics, 41(1-2):1-5.
  • Amir, Rabah; Evstigneev, Igor V; Hens, Thorsten; Schenk–Hoppé, Klaus Reiner (2005). Market selection and survival of investment strategies. Journal of Mathematical Economics, 41(1-2):105-122.
  • Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2005). Evolutionary stability of portfolio rules in incomplete markets. Journal of Mathematical Economics, 41(1-2):43-66.
  • Degryse, Hans; Ongena, Steven (2005). Distance, Lending Relationships, and Competition. Journal of Finance, 60(1):231-266.
  • Keloharju, Matti; Nyborg, Kjell G; Rydqvist, Kristian (2005). Strategic behavior and underpricing in uniform price auctions: Evidence from finnish treasury auctions. Journal of Finance, 60(4):1865-1902.
  • Battiston, Stefano; Garlaschelli, Diego; Castri, Maurizio; Servedio, Vito D P; Caldarelli, Guido (2005). The scale-free topology of market investments. Physica A: Statistical Mechanics and its Applications, 350(2):491-499.
  • Leippold, Markus; Vanini, Paolo (2005). The Quantification of Operational Risk. Journal of Risk, 8(1):59-85.
  • Fasnacht, Daniel (2005). Kunden wollen nicht nur Produkte, sondern auch Lösungen. IO new Management : Zeitschrift für Unternehmenswissenschaften und Führungspraxis, 74(10):36-41.
  • Barbaroux, J M; Farkas, Walter; Helffer, B; Siedentop, H (2005). On the Hartree-Fock equations of the electron-positron field. Communications in Mathematical Physics, 255(1):131-159.
  • Brown, Donald; Kübler, Felix (2005). Comment on William C. Brainard and Herbert E. Scarf's "How to Compute Equilibrium Prices in 1891". American Journal of Economics and Sociology, 64(1):85-87.

• 2004

  • Degryse, Hans; Ongena, Steven (2004). The Impact of Technology and Regulation on the Geographical Scope of Banking. Oxford Review of Economic Policy, 20(4):571-590.
  • Chesney, Marc; Jeanblanc, Monique (2004). Pricing American currency options in an exponential Lévy model. Applied Mathematical Finance, 11(3):207-225.
  • Battiston, Stefano (2004). Inner structure of capital control networks. Physica A: Statistical Mechanics and its Applications, 338(1-2):107-112.
  • Ziegler, Alexandre; Henneberger, Fred; Sousa-Poza, Alfonso (2004). Befristete Beschäftigung in der Schweiz: Ausmass, Determinanten und ökonomische Bewertung im internationalen Vergleich. Zeitschrift für Arbeitsmarktforschung, 37(3):239-267.
  • Hens, Thorsten; Reimann, Stefan; Vogt, Bodo (2004). Nash competitive equilibria and two-period fund separation. Journal of Mathematical Economics, 40(3-4):321-346.
  • Battiston, Stefano; Catanzaro, M (2004). Statistical properties of corporate board and director networks. European Physical Journal B : Condensed Matter and Complex Systems, 38(2):345-352.
  • Kremer, Ilan; Nyborg, Kjell G (2004). Divisible good auctions: the role of allocation rules. RAND Journal of Economics, 35(1):147-159.
  • Trojani, Fabio; Leippold, Markus; Vanini, Paolo (2004). A Geometric Approach to Multiperiod Mean-Variance Optimization of Assets and Liabilities. Journal of Economic Dynamics and Control, 28(6):1079-1113.
  • Forstinger, Christin; Wagner, Alexander (2004). Emissionshandel und Aufsichtsrecht. Bank-Archiv, 8:607-614.
  • Tanner, Carmen; Medin, Douglas L (2004). Protected values: No omission bias and no framing effects. Psychonomic Bulletin & Review, 11:185-191.
  • Tanner, Carmen; Kaiser, Florian G; Wölfing Kast, Sybille (2004). Contextual Conditions of Ecological Consumerism: A Food-Purchasing Survey. Environment & Behavior, 36(1):94-111.
  • Kübler, Felix (2004). Is intertemporal choice theory testable?. Journal of Mathematical Economics, 40(1-2):177-189.
  • Chiappori, Pierre-Andre; Ekeland, I; Kübler, Felix; Polemarchakis, Herakles M (2004). Testable implications of general equilibrium theory: A differentiable approach. Journal of Mathematical Economics, 40(1-2):105-119.
  • Leippold, Markus; Wiener, Zvi (2004). Efficient Trinomial Trees for Short Rate Models. Review of Derivatives Research, 7:213-239.
  • Fasnacht, Daniel (2004). Keine halben Sachen bei Strategieänderungen. IO Management, 73(9):26-31.
  • Fasnacht, Daniel (2004). Zusammenarbeit ist der beste Dünger für Innovationen. io management, 73(7-8):22-26.
  • Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). Mixed normal conditional heteroskedasticity. Journal of Financial Econometrics, 2(2):211-250.
  • Paolella, Marc (2004). Modeling higher frequency macroeconomic data: an application to German monthly money demand. Applied Economics Quarterly (Konjunkturpolitik), 50(2):--.
  • Paolella, Marc; Haas, Markus; Mittnik, Stefan (2004). A new approach to markov-switching GARCH models. Journal of Financial Econometrics, 2(4):493-530.
  • Kübler, Felix; Polemarchakis, Herakles (2004). Stationary Markov equilibria for overlapping generations. Economic Theory, 24(3):623-643.
  • Kremer, Ilan; Nyborg, Kjell G (2004). Underpricing and market power in uniform price auctions. Review of Financial Studies, 17(3):849-877.

• 2003

  • Chesney, Marc; Hazari, Bharat R (2003). Illegal Migrants, Tourism and Welfare: A Trade Theoretic Approach. Pacific Economic Review, 8(3):259-268.
  • Botteron, Pascal; Chesney, Marc; Gibson-Asner, Rajna (2003). Analyzing firms' strategic investment decisions in a real options' framework. Journal of international financial markets, institutions & money, 13(5):451-479.
  • Ziegler, Alexandre; Sousa-Poza, Alfonso (2003). Asymmetric Information on Workers' Productivity as a Cause for Inefficient Long Working Hours. Labour Economics, 10(6):727-747.
  • Tanner, Carmen; Wölfing Kast, Sybille (2003). Promoting sustainable consumption: Determinants of green purchases by Swiss consumers Promoting Sustainable Consumption. Psychology & Marketing, 20(10):883-902.
  • Chesney, Marc; Barrieu, Pauline (2003). Optimal Timing to Adopt Environmental Policy in a Strategic Framework. Environmental Modeling & Assessment, 8(3):149-163.
  • Nyborg, K G; Strebulaev, Ilya A (2003). Multiple Unit Auctions and Short Squeezes. Review of Financial Studies, 17(2):545-580.
  • Baranzini, Andrea; Chesney, Marc; Morisset, Jacques (2003). The impact of possible climate catastrophes on global warming policy. Energy Policy, 31(8):691-701.
  • Ziegler, Alexandre; Henneberger, Fred (2003). Aussenhandel und Auslandsproduktion im Dienstleistungssektor: Theorie und Empirie der Beschäftigungseffekte für die schweizerische Tourismusbranche. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 139(4):535-561.
  • Battiston, Stefano; Bonabeu, Eric; Weisbuch, Gérard (2003). Decision making dynamics in corporate boards. Physica A: Statistical Mechanics and its Applications, 322:567-582.
  • Schneider, Friedrich; Wagner, Alexander (2003). Tradable Permits - Ten Key Design Issues. CESifo Forum:15-22.
  • Leippold, Markus; Wu, Liuren (2003). Design and Estimation of Quadratic Term Structure Models. European Finance Review, 7(1):47-73.
  • Berger, Allen N; Dai, Qinglei; Ongena, Steven; Smith, David C (2003). To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations. Journal of Banking and Finance, 27(3):383-415.
  • Stavins, Robert N; Wagner, Alexander; Wagner, Gernot (2003). Interpreting sustainability in economic terms: Dynamic efficiency plus intergenerational equity. Economics Letters, 79(3):339-343.
  • Wagner, Alexander (2003). Understanding exchange rate policy announcements: A political economy approach. Journal of public and international affairs, 14(1):184-205.
  • Ongena, Steven; Smith, David C; Michalsen, Dag (2003). Firms and their distressed banks: lessons from the Norwegian banking crisis. Journal of Financial Economics, 67(1):81-112.
  • Battiston, Stefano; Weisbuch, Gérard; Bonabeau, Eric (2003). Decision spread in the corporate board network. Advances in Complex Systems, 6(4):631-644.
  • Jungbluth, Niels; Tanner, Carmen (2003). Evidence for the coincidence effect in environmental judgments: Why isn't it easy to correctly identify environmentally friendly food products?. Journal of Experimental Psychology: Applied, 9(1):3-11.
  • Tanner, Carmen (2003). Steps to Transdisciplinary Sustainability Research. Human Ecology Review, 10(2):180-182.
  • Paolella, Marc S (2003). Computing moments of ratios of quadratic forms in normal variables. Computational Statistics & Data Analysis, 42(3):313-331.
  • Kübler, Felix; Schmedders, Karl (2003). Stationary equilibria in asset-pricing models with incomplete markets and collateral. Econometrica, 71(6):1767-1795.

• 2002

  • Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc (2002). Long-term risk management of nuclear waste: a real options approach. Journal of Economic Dynamics and Control, 27(1):157-180.
  • Hens, Thorsten; Evstigneev, Igor V; Schenk-Hoppé, Klaus Reiner (2002). Market selection of financial trading strategies: global stability. Mathematical Finance, 12(4):329-339.
  • Hens, Thorsten; Laitenberger, Jörg; Löffler, Andreas (2002). Two remarks on the uniqueness of equilibria in the CAPM. Journal of Mathematical Economics, 37(2):123-132.
  • Nyborg, Kjell G; Rydqvist, Kristian; Sundaresan, Suresh M (2002). Bidder Behavior in Multiunit Auctions: Evidencefrom Swedish Treasury Auctions. The Journal of Political Economy, 110(2):394-424.
  • Degryse, Hans; Ongena, Steven (2002). Bank-firm relationships and international banking markets. International Journal of the Economics of Business, 9(3):401-417.
  • Leippold, Markus; Vanini, Paolo (2002). Half as many cheers - the multiplier reviewed. Wilmott Magazine, 2:104-107.
  • Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin (2002). An application of evolutionary finance to firms listed in the Swiss Market Index. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 138(4):465-487.
  • Anderson, Ronald W; Nyborg, Kjell G (2002). Agency and the pace of adoption of new techniques. Recherches Economiques de Louvain, 68(1):203-220.
  • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2002). Stationarity of stable power-GARCH processes. Journal of Econometrics, 106(1):97-107.
  • Butler, R W; Paolella, Marc S (2002). Calculating the density and distribution function for the singly and doubly noncentral F. Statistics and Computing, 12(1):9-16.
  • Butler, Ronald W; Paolella, Marc S (2002). Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios. Journal of the American Statistical Association, 97(459):836-846.
  • Leippold, Markus; Wu, L (2002). Asset Pricing under the Quadratic Class. Journal of Financial and Quantitative Analysis, 37(2):271-295.

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