Other Publications

ZORA Publication List

Publications

2015
- Scientific Publication in Electronic Form
  - Halla, Martin; Wagner, Alexander; Zweimüller, Josef (2015). Immigration and far-right voting: New evidence. London: VoxEU, CEPR Policy Portal.
  - Birchler, Urs (2015). Unternehmen als Staatsgehilfen. https://www.infosperber.ch: Infosperber.
- Working Paper
  - Kübler, Felix (2015). Simple ε-equilibria in stochastic economies with overlapping generations. - -, University of Zurich.
  - Brumm, Johannes; Kübler, Felix; Scheidegger, Simon (2015). Computing equilibria in dynamic stochastic macromodels with heterogeneous agents. - -, University of Zurich.
  - Fringuellotti, Fulvia; Necula, Ciprian (2015). A Generalized Bachelier Formula for Pricing Basket and Spread Options. SSRN 2698307, University of Zurich.
  - Wälchli, Boris (2015). A Random Forests Based Performance Ratio for Regulatory Asset Portfolio Management and Optimization. SSRN 2550072, University of Zurich.
  - Vo, Thi Quynh Anh (2015). Liquidity Management in Banking: What is the Role of Leverage?. Swiss Finance Institute Research Paper 15-51, University of Zurich.
  - Célérier, Claire Myriam; Vallee, Boris (2015). The motives for financial complexity: An empirical investigation. SSRN 2289890, University of Zurich.
  - Stössel, Remo (2015). Willingness to be financially informed and the benefits of nudging investors to do so. SSRN 2629058, University of Zurich.
  - Koch-Medina, Pablo; Munari, Cosimo; Sikic, Mario (2015). Diversification, protection of liability holders and regulatory arbitrage. ArXiv.org 1502.03252, Cornell University.
  - Moreno-Bromberg, Santiago; Vo, Quynh-Anh (2015). Agency problems, recapitalization costs and optimal resolution of financial distress. NCCR FINRISK Working Paper Series 861, University of Zurich.
  - Stössel, Remo; Meier, Anna (2015). Framing effects and risk perception: testing graphical representations of risk for the KIID. SSRN 2606615, University of Zurich.
  - Fattinger, Felix; Ziegler, Alexandre (2015). Risk and Return around the Clock. SSRN 2606706, University of Zurich.
  - Meyer, Julia; Krauss, Annette (2015). Measuring and aggregating social performance of microfinance investment vehicles. CMF Working Paper Series 3-2015, University of Zurich.
  - Dahlquist, Magnus; Hasseltoft, Henrik (2015). Economic Momentum and Currency Returns. n/a n/a, University of Zurich.
  - Nyborg, Kjell G (2015). Central Bank Collateral Frameworks. Swiss Finance Institute Research Paper 15-10, University of Zurich.
  - Scheffel, Martin; Gersbach, Hans; Rochet, Jean-Charles (2015). Taking Banks to Solow. CEPR Discussion Papers DP10439, Centre for Economic Policy Research (CEPR).
  - Moreno, Santiago; Klimenko, Nataliya (2015). The shadow cost of repos and bank liability structure. Swiss Finance Institute Research Paper 15-04, University of Zurich.
  - Wälchli, Boris (2015). A Proximity Based Stress Testing Framework. SSRN 2660498, University of Zurich.
  - Necula, Ciprian; Drimus, Gabriel G; Farkas, Walter (2015). A General Closed Form Option Pricing Formula. SSRN 2210359, University of Zurich.
  - Farkas, Walter; Necula, Ciprian; Waelchli, Boris (2015). Herding and Stochastic Volatility. SSRN 2685939, University of Zurich.
  - Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2015). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing. SSRN 2679218, University of Zurich.
  - Bardgett, Chris; Gourier, Elise; Leippold, Markus (2015). Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. Swiss Finance Institute Research Paper 13-40, University of Zurich.
2014
- Dissertation
  - Matthys, Felix. Three essays in quantitative finance. 2014, University of Zurich, Faculty of Economics.
  - Kreher, Dörte. Strict Local Martingales, Random Times and Non-Standard Changes of Probability Measure in Financial Mathematics. 2014, University of Zurich, Faculty of Economics.
  - Bardgett, Chris. Volatility and Correlation Modelling for Equity Indices. 2014, University of Zurich, Faculty of Economics.
  - Güney, Ethem Ibrahim. Essays in Banking and Finance. 2014, University of Zurich, Faculty of Economics.
  - Puhan, Tatjana-Xenia. Essays in Finance. 2014, University of Zurich, Faculty of Economics.
  - Caliskan, Nilufer. Essays in Asset Pricing Anomalies. 2014, University of Zurich, Faculty of Economics.
  - Burkhardt, Dominic. Three Essays in Asset Pricing. 2014, University of Zurich, Faculty of Economics.
  - Huitema, Robert. Essays in Quantitative Finance. 2014, University of Zurich, Faculty of Economics.
  - Steikert, Kristoph. The Weighted Nadaraya-Watson Estimator: Strong Consistency Results, Rates of Convergence, and a Local Bootstrap Procedure to Select the Bandwidth. 2014, University of Zurich, Faculty of Economics.
- Edited Scientific Work
  - Edited by: Christen, Markus; van Schaik, Carel P; Fischer, Johannes; Huppenbauer, Markus; Tanner, Carmen (2014). Berlin: Springer. Empirically Informed Ethics: Morality between Facts and Norms.
- Scientific Publication in Electronic Form
  - Wagner, Alexander; Peters, Florian (2014). The Executive Turnover Risk Premium. Cambridge: Harvard Law School.
- Working Paper
  - Brumm, Johannes; Kryczka, Dominika; Kübler, Felix (2014). Recursive equilibria in dynamic economies with stochastic production. s.n. n/a, University of Zurich.
  - Célérier, Claire Myriam; Vallee, Boris (2014). Are Bankers Worth Their Pay? Evidence from a Talent Measure. SSRN 2393110, University of Zurich.
  - Célérier, Claire Myriam; Matray, Adrien (2014). Unbanked Households: Evidence of Supply-Side Factors. SSRN 2392278, University of Zurich.
  - Kübler, Felix; Selden, Larry; Wei, Xiao (2014). Expected utility preferences for contingent claims and lotteries. SSRN 2473611, University of Zurich.
  - Nyborg, Inke (2014). Liquidity creation in the nineteenth century: The role of the clearing houses. - -, University of Zurich.
  - Puhan, Tatjana-Xenia; Kehrle, Kerstin (2014). The information content of option demand. Swiss Finance Institute Research Paper 12-43, University of Zurich.
  - Puhan, Tatjana-Xenia (2014). Volatility information in index option demand. SSRN 2277689, University of Zurich.
  - Klimenko, Nataliya (2014). Tail risk, capital requirements and the internal agency problem in banks. s.n. s.n., University of Zurich.
  - Chesney, Marc; Crameri, Remo; Mancini, Loriano (2014). Detecting informed trading activities in the options markets. NCCR FINRISK Working Paper 560, University of Zurich.
  - Puhan, Tatjana-Xenia; Arnold, Marc; Hackbarth, Dirk (2014). Financing asset sales and business cycles. Swiss Finance Institute Research Paper 14-11, University of Zurich.
  - Battiston, Stefano; Paolo, Tasca (2014). Diversification and financial stability. SRC Discussion Paper 10, University of Zurich.
  - Roukny, Tarik; George, Co-Pierre; Battiston, Stefano (2014). A Network Analysis of the Evolution of the German Interbank Market. Bundesbank Discussion Paper 22/2014, Deutsche Bundesbank.
  - Moreno, Santiago; Koch-Medina, Pablo; Munari, Cosimo (2014). Capital Adequacy Tests and Limited Liability of Financial Institutions. Swiss Finance Institute Research Paper 14-03, University of Zurich.
  - Thul, Matthias; Zhang, Ally Quan (2014). Analytical option pricing under an asymmetrically displaced double gamma jump-diffusion model. SSRN 2311673, University of Zurich.
2013
- Dissertation
  - Polak, Pawel. Forecasting Financial Returns Under Non-Elliptical Distributions with Applications to Portfolio Allocation and Risk Management. 2013, University of Zurich, Faculty of Economics.
  - Maire, Basile. Essays on Banking, Ratings, and Regulation. 2013, University of Zurich, Faculty of Economics.
  - Stromberg, Jacob. Essays on the Pricing and Modeling of Derivatives and Risk-taking Incentives. 2013, University of Zurich, Faculty of Economics.
  - Meyer, Julia. Investing in microfinance: an analysis of financial and social returns. 2013, University of Zurich, Faculty of Economics.
  - Westermann, Ramona. Three Essays in Financial Economics. 2013, University of Zurich, Faculty of Economics.
  - Weidenbach, Lukas. Share-based Payment und Gewinnvolatilität - Eine empirische Untersuchung der Auswirkung von Aktienoptionen auf die Gewinnvolatilität bei US GAAP-Anwendern. 2013, University of Zurich, Faculty of Economics.
  - Bürgi, Markus. Three essays on contingent capital and information efficiency. 2013, University of Zurich, Faculty of Economics.
  - Akyildirim, Erdinc. Essays in quantitative finance. 2013, University of Zurich, Faculty of Economics.
  - Eugster, Florian. Essays on voluntary disclosure quality, earnings management and executive compensation. 2013, University of Zurich, Faculty of Economics.
  - Gourier, Elise. Affine and quadratic models for volatility and interest rates markets. 2013, University of Zurich, Faculty of Economics.
  - Brandi, Lorenzo. Three essays on corporate finance: dual class share structure, parmalat fraud and earnings management and compensation. 2013, University of Zurich, Faculty of Economics.
  - Dzielinski, Michal. The impact of public information on financial markets. 2013, University of Zurich, Faculty of Economics.
  - Wang, Zexi. Three essays on corporate cash policy and financial markets. 2013, University of Zurich, Faculty of Economics.
  - Wenk, Christoph. Essays in Empirical Corporate Finance. 2013, University of Zurich, Faculty of Economics.
- Edited Scientific Work
  - Edited by: Sethe, Rolf; Hens, Thorsten; Von der Crone, Hans Caspar; Weber, Rolf H (2013). Zürich: Schulthess Verlag. Anlegerschutz im Finanzmarktrecht kontrovers diskutiert.
- Scientific Publication in Electronic Form
  - Ongena, Steven; et al (2013). Understanding banks in emerging markets. London: VoxEU, CEPR Policy Portal.
  - Braggion, Fabio; Ongena, Steven (2013). Corporate leverage and firm-bank relationships: A secular perspective. London: VoxEU, CEPR Policy Portal.
- Working Paper
  - Drimus, Gabriel G; Necula, Ciprian; Farkas, Walter (2013). Closed form option pricing under generalized hermite expansions. SSRN 2349868, University of Zurich.
  - Elmiger, Sabine (2013). Can CRRA preferences explain CAPM-anomalies in the cross-section of stock returns?. Swiss Finance Institute Research Paper 13-43, University of Zurich.
  - Barth, Andrea; Moreno, Santiago; Reichmann, Oleg (2013). The finite-time horizon/Stochastic interest rate - Jeanblanc-Shiryaev model. NCCR FINRISK Working Paper Series 859, University of Zurich.
  - Barth, Andrea; Moreno, Santiago (2013). Optimal risk-exposure management with costly refinancing opportunities. NCCR FINRISK Working Paper Series 858, University of Zurich.
  - Habib, Michel A; Rochet, Jean-Charles (2013). How can governments borrow so much?. NCCR FINRISK Working Paper Series 863, University of Zurich.
  - Moreno-Bromberg, Santiago; Taschini, Luca (2013). Tradable permits schemes and new technology adoption. NCCR FINRISK Working Paper Series 860, University of Zurich.
  - Nyborg, Kjell G; Wang, Zexi (2013). Stock Liquidity and Corporate Cash Holdings: Feedback and the Cash as Ammunition Hypothesis. Swiss Finance Institute Research Paper 13-36, University of Zurich.
  - Hens, Thorsten; Caliskan, Nilufer (2013). Value and Patience: The Value Premium in a Dividend-Growth Model with Hyperbolic Discounting. Swiss Finance Institute Research Paper 13-32, University of Zurich.
  - Léautier, Thomas-Olivier; Rochet, Jean-Charles (2013). On the strategic value of risk management. SFI Research Paper Series 13-20, Swiss Finance Institute.
  - Brumm, Johannes; Kübler, Felix (2013). Applying Negishi’s method to stochastic models with overlapping generations. NCCR FINRISK Working Paper Series 851, University of Zurich.
  - Di Iasio, Giovanni; Battiston, Stefano; Infante, Luigi; Pierobon, Federico (2013). Capital and contagion in financial networks. MPRA Paper 52141, University of Zurich.
  - Magill, Michael; Quinzii, Martine; Rochet, Jean-Charles (2013). A critique of shareholder value maximization. Swiss Finance Institute Research Paper 13-16, University of Zurich.
  - Zaheer, Sajjad; Ongena, Steven; van Wijnbergen, Sweder (2013). The transmission of monetary policy through conventional and Islamic banks. European Banking Center Discussion Paper 2011-018, University of Zurich.
  - Bachmann, Kremena; Hens, Thorsten (2013). Is there Swissness in investment competence?. SSRN 2388174, University of Zurich.
  - Calvet, Laurent E; Fisher, Adlai J; Leippold, Markus (2013). What's Beneath the Surface? Option Pricing with Multifrequency Latent States. HEC Paris Research Paper 969/2013, University of Zurich.
  - Leippold, Markus; Ibraimi, Meriton (2013). The Fundamental Theorem of Asset Pricing on Measurable Spaces under Uncertainty. SSRN 2257882, University of Zurich.
  - Leippold, Markus; Su, Lujing (2013). Collateral Smile. Swiss Finance Institute Research Paper Series 11-51, University of Zurich.
  - Leippold, Markus; Bloechlinger, Andreas; Maire, Basile (2013). Are ratings the worst form of credit assessment apart from all the others?. Swiss Finance Institute Research Paper 12-09, University of Zurich.
  - Brumm, Johannes; Scheidegger, Simon (2013). Using adaptive sparse grids to solve high-dimensional dynamic models. SSRN 2349281, University of Zurich.
  - Bachmann, Kremena; Hens, Thorsten (2013). Investment competence and advice seeking. Department of Banking and Finance 4499, University of Zurich.
2012
- Conference or Workshop item
  - Brune, Amelie; Hens, Thorsten (2012). Experimental Economics and Financial Market Regulation. In: Internal seminar at the Royal Ministry of Finance, Norway, Oslo, Norway, 24 September 2012.
  - Feng, Zhigang (2012). Time consistent optimal fiscal policy over the business cycle. In: Midwest Macro Meeting, University of Notre Dame, South Bend, Chicago, US, 11 May 2012 - 13 May 2012, 1-39.
  - Paolella, Marc; Hartz, Christoph (2012). Forecasting Financial Time Series: Normal GARCH with Outliers or Heavy Tailed Distribution Assumptions?. In: Fifth International Conference of the Thailand Econometric Society, Chiang Mai University, Thailand, 12 January 2012 - 13 January 2012.
- Dissertation
  - Neukomm, Gabriel. Three essays on capital structure and structured finance. 2012, University of Zurich, Faculty of Economics.
  - Reichenecker, Michael R. Essays on risk management and liquidity, private banking and executive compensation. 2012, University of Zurich, Faculty of Economics.
- Edited Scientific Work
  - Edited by: Marco, Salvi; Schwarz, Gerhard (2012). Zurich: NZZ Libro. Steuerpolitische Baustellen Fiskalische Irrwege und Herausforderungen.
- Published Research Report
  - Birchler, Urs; Ettlin, Daniel; Mettler, Akkio; Zgraggen, Anja (2012). Compliance-Kosten im Schweizerischen Private Banking. Zug: Vereinigung Schweizerischer Handels- und Verwaltungsbanken Association de Banques Suisses Commerciales et de Gestion Associazione di Banche Svizzere Commerciali e di Gestione Association of Swiss Commercial and Investment Banks.
- Working Paper
  - Rochet, Jean-Charles; Güney, Ibrahim Ethem (2012). Optimal dividend policy with random interest rates. SFI 14, University of Zurich.
  - Chesney, Marc; Crameri, Remo; Mancini, Loriano (2012). Detecting informed trading activities in the options markets: Appendix on subprime financial crisis. NCCR FINRISK Working Paper Series 726, University of Zurich.
  - Hens, Thorsten; Mayer, Janos (2012). Cumulative prospect theory and mean variance analysis. A rigorous comparison. NCCR FINRISK Working Paper 792, University of Zurich.
  - Gottardi, Piero; Kübler, Felix (2012). Dynamic competitive economies with complete markets and collateral constraints. NCCR 750, University of Zurich.
  - Belhaj, Mohamed; Klimenko, Nataliya (2012). Optimal preventive bank supervision. AMSE Working Papers 1201, University of Zurich.
  - Stromberg, Jacob; Leippold, Markus (2012). Time-Changed Levy LIBOR Market Model for the Joint Estimation and Pricing of Caps and Swaptions. SFI Research Paper Series 12-23, Swiss Finance Institute.
  - Östberg, Per Nils Anders; Wenk, Christoph (2012). Evidence of excess comovement in US mergers. Swiss Finance Institute Research Paper Series 12-33, University of Zurich.
  - Östberg, Per Nils Anders; Hvide, Hans K (2012). Peer effects at work: The common stock investments of co-workers. Swiss Finance Institute Research Paper Series 12-34, University of Zurich.

Pagination