Publications

ZORA Publication List

Publications

• 2009

  • Chenchiah, Isaac Vikram; Rieger, Marc Oliver; Zimmer, Johannes (2009). Gradient flows in asymmetric metric spaces. Nonlinear Analysis: Theory, Methods & Applications, 71(11):5820-5834.
  • Mancini, Loriano; Fan, Jianqing (2009). Option pricing with model-guided nonparametric methods. Journal of the American Statistical Association, 104(488):1351-1372.
  • Malmendier, Ulrike (2009). Law and Finance "at the Origin". Journal of Economic Literature, 47(4):1076-1108.
  • Ranaldo, Angelo (2009). Segmentation and time-of-day patterns in foreign exchange markets. Journal of Banking and Finance, 33(12):2199-2206.
  • Malmendier, Ulrike; Tate, Geoffrey (2009). Superstars CEOs. Quarterly Journal of Economics, 124(4):1593-1638.
  • Lorenz, Jan; Battiston, Stefano; Schweitzer, Frank (2009). Systemic risk in a unifying framework for cascading processes on networks. European Physical Journal B : Condensed Matter and Complex Systems, 71(4):441-460.
  • Ranaldo, Angelo; Jordan, Thomas; Söderlind, Paul (2009). The implementation of SNB monetary policy. Financial markets and portfolio management, 23(4):349-359.
  • Ranaldo, Angelo; Söderlind, Paul (2009). Editorial. Financial markets and portfolio management, 23(4):333-334.
  • Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya A (2009). Repo auctions and the market for liquidity. Journal of Money, Credit and Banking, 41(7):1391-1421.
  • Battiston, Stefano; Glattfelder, James B (2009). Backbone of complex networks of corporations: The flow of control. Physical review. E, 80(3):036104.
  • Ongena, Steven; Penas, María Fabiana (2009). Bondholders’ wealth effects in domestic and cross-border bank mergers. Journal of Financial Stability, 5(3):256-271.
  • Syz, Jürg; Vanini, Paolo (2009). Property derivatives and the subprime crisis. Wilmott journal, 1(3):163-166.
  • Sautner, Zacharias; Weber, Martin (2009). How do managers behave in stock option plans? Clinical evidence from exercise and survey data. The journal of financial research, 32(2):123-155.
  • Leippold, Markus; Egloff, Daniel (2009). American Options with Stochastic Stopping Time Constraints. Applied Mathematical Finance, 16(3):287-305.
  • Ranaldo, Angelo; Christiansen, Charlotte (2009). Extreme coexceedances in new EU member states' stock markets. Journal of Banking and Finance, 33(6):1048-1057.
  • Weber, Rolf H; Grünewald, Seraina (2009). UCITS and the Madoff scandal: liability of depositary banks?. Butterworths Journal of International Banking and Financial Law, 24(6):338-341.
  • Gençay, Ramazan; Gradojevic, Nikola; Kukolj, Dragan (2009). Option Pricing With Modular Neural Networks. IEEE Transactions on Neural Networks, 20(4):626-637.
  • Giannetti, Mariassunta; Ongena, Steven (2009). Financial Integration and Firm Performance: Evidence from Foreign Bank Entry in Emerging Markets. Review of Finance, 13(2):181-223.
  • Ongena, Steven; Degryse, H; Laeven, L (2009). The Impact of Organizational Structure and Lending Technology on Banking Competition. Review of Finance, 13(2):225-259.
  • Gort, Christoph (2009). Overconfidence and active management: An empirical study across Swiss pension plans. Journal of Behavioral Finance, 10(2):69-80.
  • Halla, Martina; Schneider, Friedrich; Wagner, Alexander F (2009). The quality of institutions and satisfaction with democracy in Western Europe — A panel analysis. European Journal of Political Economy, 25(1):30-41.
  • Rosenblatt-Wisch, Rina; Schenk-Hoppe, Klaus Reiner (2009). (Un)anticipated Technological Change in an Endogenous Growth Model. Studies in nonlinear dynamics and econometrics, 13(1):1-18.
  • Broda, Simon; Paolella, Marc S (2009). Evaluating the density of ratios of noncentral quadratic forms in normal variables. Computational Statistics and Data Analysis, 53(4):1264-1270.
  • Hens, Thorsten; Steude, Sven C (2009). The leverage effect without leverage. Finance Research Letters, 6(2):83-94.
  • Haas, Markus; Mittnik, Stefan; Paolella, Marc S (2009). Asymmetric multivariate normal mixture GARCH. Computational Statistics and Data Analysis, 53(6):2129-2154.
  • Darbellay, Aline; Wagner, Alexander F; Weber, Rolf H (2009). Pension Fund Governance: Eine rechtlich-ökonomische Analyse des Stiftungsrates und der Anreize in Pensionskassen. Der Schweizer Treuhänder, 83(1-2):54-66.
  • Rieger, Marc Oliver; Zimmer, Johannes (2009). Young measure flow as a model for damage. Zeitschrift für Angewandte Mathematik und Physik (ZAMP), 60(1):1-32.
  • Tanner, Carmen (2009). Geschützte Werte - Fluch oder Segen?. Wissenswert, (3):6-9.
  • Syz, Jürg; Camp, Raphael (2009). Regelungsdefizite bei strukturierten Produkten in der gebundenen Vorsorge 3a. Schweizerische Zeitschrift für Sozialversicherung und berufliche Vorsorge, 53(2):99-115.
  • Artzner, Philippe; Delbaen, Freddy; Koch-Medina, Pablo (2009). Risk measures and efficient use of capital. ASTIN Bulletin, 39(1):101-116.
  • Gourier, Elise; Abbate, Donato; Farkas, Walter (2009). Operational risk quantification using extreme value theory and copulas: from theory to practice. The Journal of Operational Risk, 4(3):1-24.
  • Bodnaruk, Andriy; Östberg, Per (2009). Does investor recognition predict returns?. Journal of Financial Economics, 91(2):208-226.
  • De Giorgi, Enrico; Hens, Thorsten (2009). Prospect theory and mean-variance analysis: Does it make a difference in wealth management?. Investment Management and Financial Innovations, 6(1):122-129.
  • Weber, Rolf H; Grünewald, Seraina (2009). Settlement Finality and Financial Collateral Directives: ignored but crucial in financial turmoil. Butterworths Journal of International Banking and Financial Law, 24(2):70-73.
  • Broda, Simon; Carstensen, Kai; Paolella, Marc S (2009). Assessing and improving the performance of nearly efficient unit root tests in small samples. Econometric Reviews, 28(5):468-494.
  • Broda, Simon; Paolella, Marc S (2009). CHICAGO: A fast and accurate method for portfolio risk calculation. Journal of Financial Econometrics, 7(4):412-436.
  • Fünfgeld, Brigitte; Wang, Mei (2009). Attitudes and behaviour in everyday finance: evidence from Switzerland. International Journal of Bank Marketing, 27(2):108-128.
  • Weber, Rolf H (2009). Mapping and structuring international financial regulation – A theoretical approach. European Business Law Review, 20(5):651-688.
  • Weber, Rolf H; Grünewald, Seraina (2009). Finanzkrise und Wirtschaftspolitik: Herausforderungen für das Europäische Wettbewerbsrecht. Zeitschrift für Europarecht, 11(3):58-67.
  • El Karoui, Nicole; Ravanelli, Claudia (2009). Cash sub-additive risk measures and interest rate ambiguity. Mathematical Finance, 19(4):561-590.
  • Daniel, Gilles; Sornette, Didier; Woehrmann, Peter (2009). Look-ahead benchmark bias in portfolio performance evaluation. Journal of Portfolio Management, 36(1):121-130.

• 2008

  • King, Gary; Rosen, Ori; Tanner, Martin; Wagner, Alexander F (2008). Ordinary economic voting behavior in the extraordinary election of Adolf Hitler. Journal of Economic History, 68(4):951-996.
  • Volkart, Rudolf (2008). Marktwirtschaft quo vadis?: Überlegungen zu alarmierenden Entwicklungen und Befindlichkeiten. Der Schweizer Treuhänder, (12):978-986.
  • Volkart, Rudolf (2008). Transparenz, Vertrauen und Kommunikation: «In der Kürze liegt die Würze». Der Schweizer Treuhänder, (12):993-994.
  • Costeniuc, Marius; Schnetzer, Michaela; Taschini, Luca (2008). Entry and exit decision problem with implementation delay. Journal of Applied Probability, 45(4):1039-1059.
  • De Giorgi, Enrico; Reimann, Stefan (2008). The α-beauty contest: Choosing numbers, thinking intervals. Games and Economic Behavior, 64(2):470-486.
  • Weber, Rolf H; Darbellay, Aline (2008). The regulatory use of credit ratings in bank capital requirement regulations. Journal of banking regulation, 10(1):1-16.
  • Ait-Sahalia, Yacine; Mancini, Loriano (2008). Out of sample forecasts of quadratic variation. Journal of Econometrics, 147(1):17-33.
  • Vettiger, Thomas; Volkart, Rudolf (2008). Methodische Arbeitsweise sorgt für objektive Unternehmensbewertung. io new management, (11):12-15.
  • Geiger, Hans (2008). Leverage Ratio: gut für den Finanzplatz. Schweizer Bank, (11):46.
  • Geiger, Hans; Aeberli, Urs (2008). Bankexperte Prof. Hans Geiger: "System hat ernsthafte Defekte". Stocks, (21):14-15.
  • Rieger, Marc Oliver (2008). Higher dimensional problems with volume constraints— Existence and Gamma-convergence. Interfaces and Free Boundaries, 10(2):155-172.
  • Jostarndt, Philipp; Sautner, Zacharias (2008). Financial distress, corporate control, and management turnover. Journal of Banking and Finance, 32(10):2188-2204.
  • Rosenblatt-Wisch, Rina (2008). Loss aversion in aggregate macroeconomic time series. European Economic Review, 52(7):1140-1159.
  • Volkart, Rudolf (2008). Handeln zwischen Verstand und Intuition: «Das Herz hat seine Gründe, die der Verstand nicht kennt». Der Schweizer Treuhänder, (10):735-736.
  • Paolella, Marc S; Taschini, Luca (2008). An econometric analysis of emission allowance prices. Journal of Banking and Finance, 32(10):2022-2032.
  • Volkart, R (2008). Theorie und Praxis: «Grau... ist alle Theorie». Der Schweizer Treuhänder, (9):663-664.
  • Hagedorn, Marcus; Manovskii, Iourii (2008). The cyclical behavior of equilibrium unemployment and vacancies revisited. American Economic Review, 98(4):1692-1706.
  • Plato-Shinar, Ruth; Weber, Rolf H (2008). Three models of the bank's fiduciary duty. Law and Financial Markets Review, 2(5):422-438.
  • Horst, Ulrich; Moreno, Santiago (2008). Risk minimization and optimal derivative design in a principal agent game. Mathematics and Financial Economics, 2(1):1-27.
  • Volkart, Rudolf (2008). Allgegenwart der Finanzen: «Geld regiert die Welt». Der Schweizer Treuhänder, (8):532-533.
  • Malmendier, Ulrike; Tate, Geoffrey (2008). Who Makes Acquisitions? CEO Overconfidence and the Market’s Reaction. Journal of Financial Economics, 89(1):20-43.
  • Gençay, Ramazan; Gradojevic, Nikola (2008). Overnight interest rates and aggregate market expectations. Economics Letters, 100(1):27-30.
  • Grammig, Joachim; Kehrle, Kerstin (2008). A new marked point process model for the federal funds rate target: methodology and forecast evaluation. Journal of Economic Dynamics and Control, 32(7):2370-2396.
  • Battiston, Stefano; Lorenz, Jan (2008). Systemic risk in a network fragility model analyzed with probability density evolution of persistent random walks. Networks and heterogeneous media, 3(2):185-200.
  • De Giorgi, Enrico; Post, Thierry (2008). Second-order stochastic dominance, reward-risk portfolio selection, and the CAPM. Journal of Financial and Quantitative Analysis, 43(2):525 -546.
  • Malmendier, Ulrike; Tate, Geoffrey; Güner, Burak (2008). Financial Expertise of Directors. Journal of Financial Economics, 88(2):323-354.
  • Evstigneev, Igor V; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2008). Globally evolutionarily stable portfolio rules. Journal of Economic Theory, 140(1):197-228.
  • Barone-Adesi, Giovanni; Engle, Robert F; Mancini, Loriano (2008). A GARCH option pricing model with filtered historical simulation. Review of Financial Studies, 21(3):1223-1258.
  • De Giorgi, Enrico (2008). Evolutionary Portfolio Selection with Liquidity Shocks. Journal of Economic Dynamics and Control, 32(4):1088-1119.
  • Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique (2008). Valuation of default-sensitive claims under imperfect information. Finance and Stochastics, 12(2):195-218.
  • Taschini, Luca (2008). Leading by example. Trading Carbon, (April):36-37.
  • Chesney, Marc; Gibson, Rajna (2008). Stock options and managers’ incentives to cheat. Review of Derivatives Research, 11(1-2):41-59.
  • Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg (2008). Liquidity management and overnight rate calendar effects: Evidence from German banks. North American Journal of Economics and Finance, 19(1):7-21.
  • Oudet, Édouard; Rieger, Marc Oliver (2008). Local minimizers of functionals with multiple volume constraints. ESAIM: Control, Optimisation and Calculus of Variations, 14(4):780-794.
  • Rieger, Marc Oliver; Wang, Mei (2008). Prospect theory for continuous distributions. Journal of Risk and Uncertainty, 36(1):83-102.
  • Salvi, Marco (2008). Spatial Estimation of the Impact of Airport Noise on Residential Housing Prices. Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 144(4):577-606.
  • Cocca, Teodoro D; Kepler, Johannes; Berner, Thomas; Schmid, Stefan (2008). Kundenbindung - persönliche Beratung ist Trumpf: Risiken von Mittelabflüssen und einer allgemein sinkenden Kundenloyalität. Denaris, (2):43-45.
  • Cooper, Ian A; Nyborg, Kjell G (2008). Tax-adjusted discount rates with investor taxes and risky debt. Financial Management, 37(2):365-379.
  • Ranaldo, Angelo; Haeberle, Rainer (2008). Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance. European financial management, 14(1):55-81.
  • Rieger, Marc Oliver; Wang, Mei (2008). What is behind the priority heuristic?: a mathematical analysis and comment on Brandstätter, Gigerenzer, and Hertwig (2006). Psychological Review, 115(1):274-280.
  • Battiston, Stefano; Schweitzer, Frank; Walter, Frank E (2008). A Model of a Trust-based Recommendation System in a Social Network. Autonomous agents and multi-agent systems, 16(1):57-74.
  • Battiston, Stefano; Napoletano, Mauro; Schweitzer, Frank; Michael D, König (2008). On Algebraic Graph Theory and the Dynamics of Innovation Networks. Networks and heterogeneous media, 3(2):201-219.
  • Syz, Jürg; Salvi, Marco; Vanini, Paolo (2008). Property Derivatives and Index-Linked Mortgages. The Journal of Real Estate Finance and Economics, 36(1):23-35.
  • de Ruijter Korver, Martijn; Ongena, Steven (2008). European mezzanine. Applied Financial Economics, 18(20):1613-1622.
  • Leippold, Markus; Vanini, Paolo; Trojani, Fabio (2008). Learning and Asset Pricing under Uncertainty. Review of Financial Studies, 21(6):2565-2597.
  • Geiger, Hans; Juri, Gabriel; Gsponer, André (2008). Was bringt die Zukunft im Zahlungsverkehr der Post?. ClearIT: die Schweizer Fachzeitschrift für den Zahlungsverkehr, (38):4-8.
  • Cocca, Teodoro D; Zoklits, Gertrud (2008). Das Rationale und das Irrationale. Bestbanking: Fachmagazin für das österreichische Bankenmanagement, (3/4):31-33.
  • Cocca, Teodoro D (2008). Size effects and integrated business models in private banking. Journal of Financial Transformation, 23:26-30.
  • Wang, Mei; Fischbeck, Paul S (2008). Evaluating lotteries, risks, and risk-mitigation programs. Journal of Risk Research, 11(6):775-795.
  • Gort, Christoph; Wang, Mei; Siegrist, Michael (2008). Are pension fund managers overconfident?. Journal of Behavioral Finance, 9(3):163-170.
  • Weber, Rolf H; Darbellay, Aline (2008). Combating market abuse: the new Swiss circular on market behavior: regulatory challenges for fair financial markets. Schweizerische Zeitschrift für Wirtschafts- und Finanzmarktrecht (SZW):299-312.
  • Butler, Ronald W; Paolella, Marc S (2008). Uniform saddlepoint approximations for ratios of quadratic forms. Bernoulli, 14(1):140-154.
  • Paolella, Marc S; Steude, Sven C (2008). Risk Prediction: A DWARF-like Approach. The Journal of Risk Model Validation, 2(1):25-43.

• 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.

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