Institute of Finance (IFin)

Publications

Journal Article (176)

Ben-David I., Landier A., Moussawi R. (forthcoming) Do Hedge Funds Manipulate Stock Prices?, Journal of Finance
Allen F., Haas M., Nowak E., Tengulov A. (forthcoming) Market Efficiency and Limits to Arbitrage, Journal of Financial Economics:forthcoming-98
Croci E., Ehrhardt O., Nowak E. (forthcoming) The Corporate Governance Endgame - Minority Squeeze-out Regulation and Post-Deal Litigation in, Managerial Finance:1-589039
Barbon A., Franzoni F., Di Maggio M., Landier A. (2019) Brokers and Order Flow Leakage: Evidence from Fire Sales, Journal of Finance:1-43
Gagliardini P., Ronchetti D. (2019) Comparing Asset Pricing Models with the Conditional Hansen Jagannathan Distance, Journal of Financial Econometrics
Gandhi P., Golez B., Jackwerth J., Plazzi A. (2019) Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation, Management Science:5268-5289
Berardi A., Plazzi A. (2019) Inflation Risk Premia, Yield Volatility, and Macro Factors, Journal of Financial Econometrics:397-431
Gagliardini P., Gourieroux C., Rubin M. (2019) Positional Portfolio Management, Journal of Financial Econometrics
Barbon A., Gianinazzi V. (2019) Quantitative Easing and Equity Prices: Evidence from the ETF Program of the Bank of Japan, Journal of Asset Pricing Studies:1-50
Croci E., Hertig G., Nowak E. (2016) Decision-Making during the Crisis: Did the Treasury let Commercial Banks fail?, Journal of Empirical Finance, 38:476-497
Boulland R., Degeorge F., Ginglinger E. (2016) News dissemination and investor attention, Review of Finance, forthcoming:---
Degeorge F., Martin J., Phalippou L. (2016) On Secondary Buyouts, Journal of Financial Economics:124-145
Barone Adesi G. (2016) VaR and CVaR Implied in Option Prices, Journal of Financial Risk Management:5-15
Mira A., Friel N., Chris O. (2015) Exploiting Multi-Core Architectures for Reduced-Variance Estimation with Intractable Likelihoods, Bayesian Analysis:to appear-to appear
Gagliardini P., Ossola E., Scaillet O. (2015) Time-varying Risk Premium in Large Cross-sectional Equity Datasets, Econometrica:---
Barone Adesi G., Farkas W., Koch-Medina P. (2014) Capital Levels and Risk-Taking Propensity in Financial Institutions, Accounting and Finance Research:85-89
Gagliardini P., Gourieroux C. (2014) Efficiency in Large Dynamic Panel Models with Common Factors, Econometric Theory:961-1020
Barone Adesi G., Geman H., Theal J. (2014) On the Lease Rate, Convenience Yield and Speculative Effects in the Gold Futures Market, International Journal of Financial Engineering and Risk Management, Vol.1, N.3:282-307
Degeorge F., Ding Y., Jeanjean T., Stolowy H. (2013) Analyst Coverage, Earnings Management and Financial Development: An International Study, Journal of Accounting and Public Policy, 32 (1):1-25
Gagliardini P., Gourieroux C. (2013) Correlated Risks vs Contagion in Stochastic Transition Models, Journal of Economic Dynamics and Control:2241-2269
Gagliardini P., Ronchetti D. (2013) Semi-parametric Estimation of American Option Prices, Journal of Econometrics:57-82
Barone Adesi G., Dall'O H., Vovchak V. (2012) Is the Price Kernel Monotone?, Journal of Finance and Risk Perspectives:43-69
Gagliardini P., Gourieroux C., Monfort A. (2012) Microinformation, Nonlinear Filtering and Granularity, Journal of Financial Econometrics:1-53
Gagliardini P., Scaillet O. (2012) Nonparametric Instrumental Variable Estimation of Quantile Effects, Econometrica:1533-1562
Gagliardini P., Scaillet O. (2012) Tikhonov Regularisation for Nonparametric Instrumental Variable Estimators, Journal of Econometrics:61-75
Gagliardini P., Gourieroux C. (2011) Approximate Derivative Pricing for Large Classes of Homogeneous Assets with systematic Risks, Journal of Financial Econometrics:237-280
Plazzi A., Torous W., Valkanov R. (2011) Exploiting property characteristics in commercial real estate portfolio allocation, Journal of Portfolio Management, 2011, Vol. 35:5, 39-50
Barone Adesi G., Sorwar G. (2011) Valuation of Two Factor Interest rate models Using Green’s Theorem, Applied Mathematical Finance, Vol. 18:277-289
Degeorge F., Derrien F., Womack K. L. (2010) Auctioned IPOs: The U.S. Evidence, Journal of Financial Economics
Plazzi A., Torous W., Valkanov R. (2010) Expected Returns and Expected Growth in Rents of Commercial Real Estate, Review of Financial Studies, Vol. 23:9, 3469-3519
Barone Adesi G., Sorwar G. (2010) Value at Risk under Jump GARCH processes, Banking and Finance Review, Vol. 2, Issue 1:5-15
Franzoni F., Adrian T. (2009) Learning about Beta: Time-Varying Factor Loadings, Expected Returns, and the Conditional CAPM, Journal of Empirical Finance
Lo S. N., Ronchetti E. (2009) Robust and Accurate Inference for Generalized Linear Models, Journal of Multivariate Analysis,Vol. 100, pp. 2126-2136
Cassese G. (2009) Sure Wins, Separating Probabilities and the Representation of Linear Functionals, Journal of Mathematical Analysis and Applications, vol. 354, 558-563
Franzoni F. (2009) Underinvestment Vs. Overinvestment: Evidence From Price Reactions To Pension Contributions, Journal of Financial Economics
Barone Adesi G., Engle R. (2008) A GARCH Option Pricing Model with Filtered Historical Simulation, Review of Financial Studies, 21 (May 2008), pp.1223-1258
Cassese G. (2008) Asset Pricing With no Exogenous Probability Measure, Mathematical Finance, 18:23-54
Barone Adesi G., Fusari N., Theal J. (2008) Barrier Option Pricing Using Adjusted Transition Probabilities, Journal of Derivatives, Vol.16 (Winter 2008)
Fusari N., Theal J. (2008) Barrier Option Pricing Using Adjusted transition Probabilities, Journal of Derivatives, Vol.16:36-53
Gagliardini P., Gourieroux C. (2008) Duration Time Series Models with Proportional Hazard, Journal of Time Series Analysis
De Giorgi E. (2008) Evolutionary Portfolio Selection with Liquidity Shocks, Journal of Economic Dynamics and Control, 32(4), pp. 1088-1119
Cassese G. (2008) Finitely Additive Supermartingales, Journal of Theoretical Probability
Field C., Robinson J., Ronchetti E. (2008) Saddlepoint Approximations for Multivariate M-estimates With Applications to Bootstrap Accuracy, Annals of the Institute of Statistical Mathematics, Vol. 60, pp. 205-224/225-227
De Giorgi E., Post T. (2008) Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM, Journal of Financial and Quantitative Analysis, 43(2):525-546
De Giorgi E., Reimann S. (2008) The alpha-Beauty Contest: Choosing Numbers, Thinking Intervals, Games and Economic Behavior, 64(2), pp. 470-486.
Plazzi A., Torous W., Valkanov R. (2008) The Cross-Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations, Real Estate Economics, Vol.36:3, 403-439
Gagliardini P., Gourieroux C. (2007) An Efficient Nonparametric Estimator for Models with Nonlinear Dependence, Journal of Econometrics, 137, 189-229
Degeorge F., Derrien F., Womack K. (2007) Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding, Review of Financial Studies
De Giorgi E., Audrino F. (2007) Beta Regimes for the Yield Curve, Journal of Financial Econometrics, 5(3), pp. 456-490
De Giorgi E., Hens T., Mayer J. (2007) Computational Aspects of Prospect Theory with Asset Pricing Applications, Computational Economics, 29(3-4), pp. 267-281
Moselle B., Degeorge F., Zeckhauser R. (2007) Conspicuous conservatism in risk choice, Journal of Risk and Uncertainty
Cassese G. (2007) Decomposition of Supermartingales Indexed by a Linearly Ordered Set, Statistics and Probability Letters Vol 77:8, 795-802
Czellar V., Karolyi G. A., Ronchetti E. (2007) Indirect Robust Estimation of the Short-term Interest Rate Process, Journal of Empirical Finance, Vol. 14,pp. 546-563.
Cantoni E., Field C. A., Flemming M. J., Ronchetti E. (2007) Longitudinal Variable Selection by Cross-validation in the Case of Many Covariates, Statistics in Medicine, Vol. 26, pp. 919-930, DOI: 10.1002/sim.2572
Castelletti A., De Rigo D., Rizzoli A. E., Soncini-Sessa R., Weber E. (2007) Neuro-dynamic programming for designing water reservoir network management policies, Control Engineering Practice, 15(8):1031-1038
Ghysels E., Plazzi A., Valkanov R. (2007) Valuation in the U.S. Commercial Real Estate, European Financial Management, Vol.13:3, 472-497
Sorwar G., Barone Adesi G., Allegretto W. (2007) Valuation of Derivatives Based on Single Factor Interest Rate Models, The Global Finance Journal,Vol.18,N.2, pp.251-269
Cassese G. (2007) Yan Theorem in L infinity with Applications to Asset Pricing, Acta Mathematicae Applicatae Sinica (English series) Vol. 23:4, 551-562
Audrino F., Barone Adesi G. (2006) A Dynamic Model of Expected Bond Returns: a Functional Gradient Descent Approach, Computational Statistics and Data Analysis 51, No. 4, 2267-2277
Fernholz F., Audrino F., Ferretti R. (2006) A Forecasting Model for Stock Market Diversity, Annals of Finance:213-240
Cantoni E., Ronchetti E. (2006) A Robust Approach for Skewed and Heavy-tailed Outcomes in the Analysis of Health Care Expenditures, Journal of Health Economics, Vol. 25, pp. 198-213
De Giorgi E., Burkhard J. (2006) An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios, Journal of Risk, 8 (4), pp. 57-95
Audrino F., Barone Adesi G. (2006) Average Conditional Correlation and Tree Structures for Multivariate GARCH Models, Journal of Forecasting 25, 579-600
Barone Adesi G., Elliott R. J. (2006) Cutting the Hedge, Computational Economics (forthcoming)
Audrino F., Trojani F. (2006) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets, Journal of Applied Econometrics 21, No. 3, 345-369.
Ronchetti E. (2006) Frechet and Robust Statistics, Discussion of the paper by M. Frechet, (1940, reprinted), Journal de la Societe Francaise de Statistique, Vol. 147, pp. 73-75
De Giorgi E., Hens T. (2006) Making Prospect Theory Fit for Finance, Financial Markets and Portfolio Management, 20(3), pp. 339-360
Cassese G., Guidolin M. (2006) Modelling the Italian MIB30 Implied Volatility Surface. Does Market Efficiency Matter?, International Review of Financial Analysis, Vol. 15:4, 145-178
Knigge A., Nowak E., Schmidt D. (2006) On the Performance of Private Equity Investments: Does Market Timing Matter?, Journal of Financial Transformation, 16:123-134
Franzoni F., Marin J. M. (2006) Pension Plan Funding and Stock Market Efficiency, Journal of Finance:921-956
Franzoni F., Marin J. M. (2006) Portable Alphas From Pension Mispricing, Journal of Portfolio Management, Summer, 2006, pp. 44-53
Audrino F. (2006) The impact of general non-parametric volatility functions in multivariate GARCH models, Computational Statistics and Data Analysis 50, No. 11, 3032-3052
Audrino F. (2006) Tree-structured multiple regimes in interest rates, Journal of Business and Economic Statistics 24, No. 3, 338-353
Audrino F., Barone Adesi G. (2005) A multivariate FGD technique to improve VaR computation in equity markets, Computational Management Science 2, Issue 2, 87-106
Cassese G. (2005) A Note on Asset Bubbles in Continuous Time, International Journal of Theoretical and Applied Finance, Vol. 8: 4, 1-14
Croci E. (2005) Corporate Raiders, Performance, and Governance in Europe, European Financial Management, Fortcoming
Nowak E., Heuser M. (2005) Economic Value Added (EVA) bei deutschen Unternehmen (I) - Korrekturen des Jahresüberschusses nach HGB, Das Wirtschaftsstudium (WISU), 645-650.
Nowak E., Heuser M. (2005) Economic Value Added (EVA) bei deutschen Unternehmen (II) - Berechnung des NOPAT und Ermittlung der Kapitalkosten (with Matthias Heuser), Das Wirtschaftsstudium (WISU), 6/2005, 783-787.
Audrino F., Barone Adesi G. (2005) Functional Gradient Descent for financial time series with an application to the measurement of market risk, Journal of Banking and Finance 29, Issue 4, April 2005, 959-977
Audrino F. (2005) Local Likelihood for non-parametric ARCH(1) models, Journal of Time Series Analysis 26, Issue 2:251-278
Gagliardini P., Gourieroux C. (2005) Migration Correlation: Definition and Efficient Estimation, Journal of Banking and Finance, 29, 865-894
Mancini L., Ronchetti E., Trojani F. (2005) Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, Journal of the American Statistical Association, Vol. 100, 628-641
Maniscalco C. (2005) Per uno sviluppo della fidelizzazione, Schweizer Apothekerzeitung, in Journal Suisse de Pharmacie, Giornale Svizzero di Farmacia, 4 (143)
De Giorgi E. (2005) Reward-Risk Portfolio Selection and Stochastic Dominance, Journal of Banking and Finance, 29(4), pp. 895-926
Gagliardini P., Trojani F., Urga G. (2005) Robust GMM Tests for Structural Breaks, Journal of Econometrics, 129, 139-182
Gagliardini P., Gourieroux C. (2005) Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, 3, 188-226
Barone Adesi G. (2005) The Saga of the American Put, Journal of Banking and Finance
Audrino F., Barone Adesi G., Mira A. (2005) The Stability of Factor Models of Interest Rates, Journal of Financial Econometrics 3, No. 3, 422-441
Cantoni E., Flemming M. J., Ronchetti E. (2005) Variable Selection for Marginal Longitudinal Generalized Linear Models, Biometrics, Vol. 61, pp. 507-514
Degeorge F. (2005) Vers une analyse financière indépendante?, Revue d´Economie Financière, n0 79, 221-227
Nowak E., Ehrhardt O. (2005) Viel Lärm um Nichts? Zur (Ir)Relevanz der Risikoprämie für die Unternehmensbewertung im Rahmen von Squeeze-Outs, Die Aktiengesellschaft (AG), Vol. 50, S/2005, 3-8
Nowak E., Mahr T., Rott R. (2005) Wer den Kodex nicht einhält, den bestraft der Kapitalmarkt? Eine empirische Analyse der Selbstregulierung und Kapitalmarktrelevanz des Deutschen Corporate Governance Kodex, Zeitschrift für Unternehmens- und Gesellschaftsrecht (ZGR), Vol. 34 (2):252-279
Leippold M., Trojani F., Vanini P. (2004) A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities, Journal of Economic Dynamics and Control, Volume 28, p. 1079-1113
Barone Adesi G., Rasmussen H., Ravanelli C. (2004) An option pricing formula for the GARCH diffusion model, Computational Statistics and Data Analysis
De Giorgi E., Burkhard J., Komaric V. (2004) Default Risk for Residential Mortgage Portfolios, Wilmott Magazine
Huber P., Ronchetti E., Victoria Feser M. P. (2004) Estimation of Generalized Linear Latent Variable Models, Journal of the Royal Statistical Society, Series B, Vol. 66, pp. 893-908
Barone Adesi G. (2004) Hidden Dangeris, in Denaris
Cassese G., Guidolin M. (2004) Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High Frequency Data, Economic Notes, vol 33:2, 275-321.
Ortelli C., Trojani F. (2004) Robust Efficient Method of Moments, Journal of Econometrics, forthcoming
Trojani F., VANINI P. (2004) Robustness and Ambiguity Aversion in General Equilibrium, Review of Finance, 2:279-324
Degeorge F., Jenter D., Moel A., Tufano P. (2004) "Selling company shares to reluctant employees: France Telecom´s experience", Journal of Financial Economics, January 2004 (vol.71), pp. 169-2002
Audrino F., Buehlmann P. (2004) Synchronizing Multivariate Financial Time Series, Journal of Risk 6, No. 2, 81-106
Barone Adesi G., Gagliardini P., Urga G. (2004) Testing Asset Pricing Models with Coskewness, Journal of Business and Economic Statistics, 22, 474-485
Theal J., Dunscombe P., Leszczynski K., Reed L. (2004) The characterization of a promising new optical source for use with a radiotherapy treatment simulator, Medical Physics
Degeorge F., Moselle B., Zeckhauser R. (2004) "The ecology of risk taking", Journal of Risk and uncertainty, 28:3, 195-215
Nowak E. (2004) The Expiration of Mandatory and Voluntary IPO Lock-up Provisions - Empirical Evidence from Germany's Neuer Markt, Advances in Financial Economics, Vol. 10, 183-203
Trojani F., VANINI P., Vignola L. (2003) A Note on the Three-Portfolios Matching Problem, European Financial Management Journal, 9 (1)
Ferretti R. (2003) Diophantine Approximations and Toric Deformations, Duke Math. Journal, 118, no. 3, 493-522
Leippold M., Trojani F., Vanini P. (2003) Efficient Portfolios with Endogenous Liabilities, Submitted Annals of Operations Research, 2nd round
Leippold M., rojani F., VANINI P. (2003) Equilibrium Impact of Value at Risk, Submitted Review of Financial Studies
Cassese G. (2003) Il Mercato Italiano delle Opzioni sull'Indice di Borsa, Bancaria (1):87-95
Ehrhardt O., Nowak E. (2003) Private Kontrollrenten in deutschen Familienunternehmen, Die Betriebswirtschaft (DBW), Vol. 63 (4), 2003, 361-375.
Dell Aquila R., Ronchetti E., Trojani F. (2003) Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, Vol. 10, pp. 373-397
Genton M. G., Ronchetti E. (2003) Robust Indirect Inference, Journal of the American Statistical Association, 98:67-76
Robinson J., Ronchetti E., Young G. A. (2003) Saddlepoint Approximations and Tests Based on Multivariate M-estimates, The Annals of Statistics, 31:1154-1169
Ehrhardt O., Nowak E. (2003) The Effect of IPOs on German Family-Owned Firms: Governance Changes, Ownership Structure, and Performance, Journal of Small Business Management, 41 (2):222-232
De Giorgi E., Daul S., Lindskog F., McNeil A. (2003) Using the grouped t-copula, Risk 16(11)
Audrino F., Buehlmann P. (2003) Volatility Estimation with Functional Gradient Descent for very High-Dimensional Financial Time Series, Journal of Computational Finance 6, No. 3, 1-26
Trojani F., VANINI P. (2002) A Note on Robustness in Merton´s Model of Intertemporal Consumption and Portfolio Choice, Journal of Economic Dynamics and Control, 26 (3):423-435
Barone Adesi G., Giannopoulos K., Vosper L. (2002) "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)", European Financial Management, pp. 31-58. March 2002
Ehrhardt O., Nowak E. (2002) Die Durchsetzung von Corporate-Governance-Regeln, Die Aktiengesellschaft (AG), Vol. 47 (6), 2002, 336-345
Evertse J., Ferretti R. (2002) Diophantine Inequalities on Projective Varieties., Int. Math. Res. Notices. 2002:25, 1295-1330,
Ehrhardt O., Nowak E. (2002) Evolution von Aktionärsstrukturen, Kontrolltransfers und Performanceentwicklung bei Börsengängen deutscher Familienunternehmen, Zeitschrift f|r Betriebswirtschaft (ZfB), Vol. 72, Ergänzungsheft 2/2002, 25-31
Barone Adesi G., Sorwar G. (2002) "Interest Rate Barrier Options", in Computational Methods in Decision Making,Economics and Finance, E. Kontoghiorghes et al. editors, Kluwer Academic Publishing, pp. 313-322
Nowak E., Gropp A. (2002) Ist der Ablauf der Lock-up-Frist bei Neuemissionen ein kursrelevantes Ereignis? Eine empirische Analyse von Unternehmen des Neuen Marktes, Schmalenbachs Zeitschrift für betriebswirtschaftliche Forschung (zfbf), Vol. 54 (1), 2002, 19-45
Trojani F., VANINI P. (2002) Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making, Submitted Mathematical Finance
Ferretti R., Mazzola G. (2001) Algebraic Varieties of Musical Performances, Tatra Mt. Math. Publ. 23, 59-69,
Schruff W., Nowak E., Feinendegen S. (2001) Die Ad-hoc-Publizitätspflicht des Jahresergebnisses gemdss § 15 WpHG: Wann muss veröffentlicht werden?, Betriebs-Berater, Vol. 56, 14/2001, 719-725.
Kaserer C., Nowak E. (2001) Die Anwendung von Ereignisstudien bei Ad-hoc-Mitteilungen, Zeitschrift f|r Betriebswirtschaft (ZfB), Vol. 71 (11), 2001, 1353-1356
Nowak E. (2001) Eignung von Sachverhalten in Ad-hoc-Mitteilungen zur erheblichen Kursbeeinflussung, Zeitschrift f|r Bankrecht und Bankwirtschaft (ZBB), Vol. 13 (6), 2001, 449-524
Wahrenburg M., Nowak E. (2001) Goethe-Universität: Profilierung durch Schwerpunkt Finanzen, Die Bank - Zeitschrift für Bankpolitik und Bankpraxis, Vol. 18, 5/2001, 362-365
Degeorge F., Derrien F. (2001) "Les Déterminants de la performance à long terme des introductions en bourse: le cas français", Banque et Marchés, novembre-décembre 2001, pp. 8-18
Barone Adesi G., Giannopoulos K. (2001) "Non-parametric VaR Techniques. Myths and Realities", Economic Notes by Banca Monte dei Paschi di Siena, 30, n. 2-2001, pp. 167-181.
Feinendegen S., Nowak E. (2001) Publizitätspflichten börsennotierter Aktiengesellschaften im Spannungsfeld zwischen Regelberichterstattung und Ad-hoc-Publizität - Ueberlegungen zu einer gesetzeskonformen und kapitalmarktorientierten Umsetzung, Die Betriebswirtschaft (DBW), Vol. 61 (3), 2001, 371-389
Nowak E. (2001) Recent Developments in German Capital Markets and Corporate Governance, Journal of Applied Corporate Finance, Vol. 14 (3), Fall 2001, 35-48
Cantoni E., Ronchetti E. (2001) Resistant Selection of the Smoothing Parameter for Smoothing Splines, Statistics and Computing, Vol. 11, pp. 141-146
Cantoni E., Ronchetti E. (2001) Robust Inference for Generalized Linear Models, Journal of the American Statistical Association, Vol. 96, pp.1022-1030
Ronchetti E., Trojani F. (2001) Robust Inference with GMM Estimators, Journal of Econometrics, 101:37-69
Barone Adesi G., Gagliardini P., Trojani F. (2001) Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825
Audrino F., Buehlmann P. (2001) Tree-Structured GARCH Models, Journal of the Royal Statistical Society, Series B, 64, No. 4, 727 - 744
Barone Adesi G. (2000) "Does Volatility Pay?", The Journal of Risk Finance, 2. Fall 2000
Ferretti R. (2000) Mumford´s Degree of Contact and Diophantine Approximations, Compositio Mathematica 121, no. 3, 247-262,
Barone Adesi G., Allegretto W., Dinenis E., Lin Y., Sorwar G. (1999) "A New Approach to Check the Free Boundary of Single Factor Interest Rate Put Options", Finance 20, 2/1999
Nowak E. (1999) Ad hoc-Publizität bei MA-Transaktionen - Neue Erkenntnisse aus der empirischen Kapitalmarktforschung, Der Betrieb, 12/99, 601-604.
Nowak E. (1999) Ad hoc-Publizität bei MA-Transaktionen - Neue Erkenntnisse aus der empirischen Kapitalmarktforschung, Finanz Betrieb - Zeitschrift für Unternehmensfinanzierung und Finanzmanagement, 0/99, 33-38
Cassese G. (1999) Arbitrage Theory with Bounded Prices, International Review of Economics and Business, Vol. 46, pp. 233-244
Degeorge F., Patel J., Zeckhauser R. (1999) Earnings Management to Exceed Thresholds, Journal of Business, 72 (1):1-33
Barone Adesi G., Giannopoulos K. (1999) "The Case for Non-Parametric Market Risk Measures", Risk Professional. December 1999
Barone Adesi G., Giannopoulos K., Vosper L. (1999) "VaR without Correlations for Portfolios of Derivative Securities", Journal of Futures Markets. August 1999.
Degeorge F., Keegan M. (1998) "Audit committees: a study in European corporate governance", September 1998, Corporate Governance: an International Review
Welsh A. H., Ronchetti E. (1998) Bias-Calibrated Estimation From Sample Surveys Containing Outliers, Journal of the Royal Statistical Society, Series B, Vol. 60, pp. 413-428
Barone Adesi G., Bourgoin F., Giannopoulos K. (1998) "Don´t Look Back", Risk. August 1998.
Gagliardini P., Haas S., Rice T. (1998) Generalization of the Luttinger Theorem for Fermionic Ladder Systems, Phys. Rev. B 58
Barone Adesi G., Barone E., Castagna G. (1998) "Pricing Bonds and Bond Options with Default Risk", European Journal of Financial Management. July 1998
Ferretti R. (1997) An Estimate for the Multiplicity of Binary Recurrences., C. R. Acad. Sci. Paris Ser. I Math. 325, no. 11, 1143-1148
Cassese G. (1997) Incompleteness of Markets and Vagueness of Beliefs, International Review of Economics and Business, Vol. 44, pp. 837-855.
Victoria Feser M. P., Ronchetti E. (1997) Robust Estimation for Grouped Data, Journal of the American Statistical Association, Vol. 92, pp. 333-340
Krishnakumar J., Ronchetti E. (1997) Robust Estimators for Simultaneous-Equations Models, Journal of Econometrics, Vol. 78, pp. 295-314
Ronchetti E., Blanchard W., Field C. A. (1997) Robust Linear Model Selection by Cross-Validation, Journal of the American Statistical Association, Vol. 92, pp. 1017-1023
Barone Adesi G., Giannopoulos K. (1996) "A Simplified Approach to the Estimation of Value at Risk", Futures and Options World. October 1996
Ferretti R. (1996) An Effective Version of Faltings´ Product Theorem, Forum Mathematicum 8, 401-427,
Gatto R., Ronchetti E. (1996) General Saddlepoint Approximations of Marginal Densities and Tail Probabilities, Journal of the American Statistical Association, Vol. 91, pp. 666-673
Cassese G. (1995) Asset Evaluation under Continuous-time: Some Remarks, International Review of Economics and Business, Vol. 42, pp. 469-483.
Ronchetti E., Staudte R. G. (1994) A Robust Version of Mallow's Cp, Journal of the American Statistical Association, Vol. 89, pp. 550-559
Ronchetti E., Welsh A. H. (1994) Empirical Saddlepoint Approximations for Multivariate M-estimators, Journal of the Royal Statistical Society, Series B, Vol. 56, pp. 313-326
Heritier S., Ronchetti E. (1994) Robust Bounded-Influence Tests in General Parametric Models, Journal of the American Statistical Association, Vol. 89, pp. 897-904
Victoria Feser M. P. (1994) Robust Methods for Personal Income Distribution Models, The Canadian Journal of Statistics, 22:247-258
Monti A. C., Ronchetti E. (1993) On the Relationship Between Empirical Likelihood and Empirical Saddlepoint Approximation For Multivariate M-estimators, Biometrika, Vol. 80, pp. 329-338
Degeorge F., Zeckhauser R. (1993) The Reverse LBO Decision and Firm Performance: Theory and Evidence, Journal of Finance, September 1993, 1323-1348
Filippini M., Maggi R. (1992) The Cost Structure of the Swiss Private Railways, International Journal of Transport Economics,19(3):307-327
Ronchetti E. (1991) Least Median of Squares Estimation in Power Systems, IEEE Transactions on Power Systems, Vol. 6, No. 2, pp. 511-523. (Discussion of the paper by L. Mili, V. Phaniraj, P.J. Rousseeuw)
Barone Adesi G., Whaley R. E. (1987) Efficient Analytic Approximation of American Option Values, Journal of Finance:301-320
Easton G. S., Ronchetti E. (1986) General Saddlepoint Approximations with Applications to L-Statistics, Journal of the American Statistical Association, Vol. 81, pp. 420-430
Ronchetti E., Rousseeuw P. J. (1985) Change-of-Variance Sensitivities in Regression Analysis, Probability Theory and Related Fields, Vol. 68, pp. 503-519
Hampel F. R., Rousseeuw P. J., Ronchetti E. (1981) The Change-of-Variance Curve and Optimal Redescending M-Estimators, Journal of the American Statistical Association, Vol. 76, pp. 643-648
Audrino F., Trojani F., Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent, Journal of Financial Econometrics

Book (14)

Barone Adesi G., Carcano N. (forthcoming) Modern multi-factor analyses of bond portfolios: critical implications for hedging and investing. Palgrave MacMillan
Gagliardini P., Gourieroux C. (2015) Granularity Theory with Applications to Finance and Insurance. Cambridge University Press
Barone Adesi G., Giannopoulos K. (2015) Simulating Security Returns. Palgrave- MacMillan
Cantoni E., Huber P., Ronchetti E. (2009) Maitriser l'aleatoire: Exercices resolus de probabilites et statistique. Springer, Paris, 2nd edition, 251 p.
Huber P. J., Ronchetti E. (2009) Robust Statistics. 2nd edition, Wiley, New York.
Leis J., Nowak E. (2001) Ad-hoc-Publizitaet nach §15 WpHG. Schaeffer/Poeschel-Verlag: Stuttgart
Krishnakumar J., Ronchetti E. (2000) Panel Data Econometrics: Future Directions, Papers in Honour of Professor Pietro Balestra. Elsevier Science, Amsterdam, 352 p.
Nowak E. (1997) On Investment Performance and Corporate Governance. Verlag Paul Haupt: Bern, Stuttgart, Wien
Kaduff J., Nowak E., Scheuenstuhl G. (1994) Finanzmanagement. Institut fuer Betriebswirtschaft an der Universitaet St. Gallen
Morgenthaler S., Ronchetti E., Stahel W. (1993) New Directions in Statistical Data Analysis and Robustness. Birkhäuser, Basel, 284 p.
Ronchetti E., Antille G., Polla M. (1991) Statistique et Probabilités: Une Introduction. Presses Polytechniques et Universitaires Romandes, Lausanne, 2nd edition, STEP I; with floppy disks (262 p.)
Ronchetti E., Field C. A. (1990) Small Sample Asymptotics. Institute of Mathematical Statistics - Monograph Series, Hayward (CA), 151 p
Hampel F. R., Ronchetti E., Rousseeuw P. J., Stahel W. A. (1986) Robust Statistics: The Approach Based on Influence Functions. Wiley, New York, 502 p.
Rigotti F. (1981) L'umana perfezione. Saggio sulla circolazione e diffusione dell'idea di progresso nell'Italia del primo ottocento. Bibliopolis, Napoli 1981

Book chapter (28)

Nowak E. (2016) Crowdfunding as a success factor to shake up a sleeping. Strategic Innovation. Pearson Financial Times Press, 195-197
Barone Adesi G., Mancini L., Shefrin H. (2013) Systemic Risk and Sentiment. Handbook on Systemic Risk and Sentiment. Cambridge University Press, 45-61
Barone Adesi G., Siragusa S. (2012) Hedge Fund Replication. Linear Model for Passive Hedge Fund. Palgrave MacMillan, 133-145
Barone Adesi G., Giacometti R., Vespucci M., Bertocchi M. (2012) Hedging Electricity Portfolio for a Hydro-Energy Producer via Stochastic Programming. Stochastic Optimization Methods in Finance and Energy. Springer, 34-49
Degeorge F., Maug E. (2008) Corporate Finance in Europe: A Survey. in Xavier Freixas, Philipp Hartmann and Colin Mayer, eds., Financial Markets and Institutions: A European Perspective, Oxford University Press.
Genton M. G., Ronchetti E. (2008) Robust Prediction of Beta. Computational Methods inFinancial Engineering, eds. E.J. Kontoghiorghes, B. Rustem andP. Winker, Springer, Berlin, pp. 147-161
Barone Adesi G., Gagliardini P., Urga G. (2006) A Test of the Homogeneity of Asset Pricing Models. inMulti-moment Asset Allocation and Pricing Models
Nowak E., Ehrhardt O. (2006) Kreditgewährung an Vorstand und Aufsichtsrat. Freidank, Carl-Christian, Laurenz Lachnit, and Jörg Tesch (Eds.), Vahlens Großes Auditing Lexikon, München: Verlag Vahlen, forthcoming
Nowak E., Petersen H. (2005) Grenzüberschreitung in der Politikberatung - Lobbying und das "Outsourcing" von Gesetzgebungsarbeiten als Hemmnis wider besseren Anlegerschutz. Jens, Uwe and Hajo Romahn (Eds.): Glanz und Elend der Politikberatung, Metropolis-Verlag, 107-125
Nowak E. (2003) Investor protection and capital market regulation in Germany, in: Krahnen, Jan P.; Reinhard H. Schmidt (Eds.). The German Financial System, Oxford University Press, 2003, forthcoming
Ortelli C., Trojani F. (2003) Robust Efficient Method of Moments Estimation. Theory and Applications of Recent Robust Methods, M. Hubert, G. Pison, A. Struyf and S. Van Aelst eds., Series: Statistics for Industry and Technology, Birkhauser, Basel
Barone Adesi G., Giannopoulos K. (2003) "Simulating Value at Risk: filtering historical simulation", Metodi statistici per la finanza ed assicurazioni. Vita e Pensiero, Milan
Trojani F., VANINI P. (2002) A Review of Perturbative Approaches for Robust Optimal Portfolio Problems. Computational Methods in Decision-Making, Economics and Finance\', Kluwer Applied Optimization Series
Cassese G. (2002) Il Mercato degli Strumenti Derivati in Italia. Fondazione Rosselli - Settimo Rapporto sul Sistema Finanziario Italiano. Roma, Edibank
Degeorge F., Chalayer Rouchon S., Le Nadant A. (2001) Objectifs de la gestion des résultats et marchés financiers. dans un ouvrage collectif sous l'égide de la FNEGE sous la direction de Robert Teller et Pascal Dumontier, Faire de la recherche en comptabilité financière(pp. 235-249)
Meissner W., Nowak E. (1999) Die Kosten der Wissenschaft - Der ökonomische Nutzen von Bildung und Forschung, in: Helmedag, Fritz; Norbert Reuter (Eds.). Festschrift für Karl Georg Zinn, Metropolis-Verlag, 1999
Degeorge F. (1999) "French boardrooms wake up slowly to the need for reform". in Mastering Global Business, London:Financial Times-Pitman, 1999 (pp. 156-160)
Ronchetti E. (1997) Introduction to Daniels (1954) : Saddlepoint Approximation in Statistics. Breakthroughs in Statistics, Vol. III, eds. S. Kotz and N.L. Johnson, Springer, New York, pp. 171-176
Ronchetti E., Victoria Feser M. P. (1997) Resistant Modeling of Income Distributions and Inequality Measures. The Practice of Data Analysis, Essays in Honor of J.W. Tukey, Princeton University Press, pp. 287-298
Markatou M., Ronchetti E. (1997) Robust Inference : The Approach Based on Influence Functions. Handbook of Statistics, Vol. 15, eds. G.S. Maddala and C.R. Rao, North Holland, pp. 49-75
Barone Adesi G. (1995) Industry Canada Research Volume Series. Commentary on Corporate Governance and Firm Performance, Vol. 5
Barone Adesi G. (1995) "La Consulenza Finanziaria Alle Imprese" in Le Banche e l'efficienza Lasfida Possibile. Edibank, Milan
Barone Adesi G. (1993) "L'Innovazione Finanziaria: Rischi e Opportunita," I Derivati Finanziari. Edibank
Barone Adesi G., Penati A. (1992) "Options to trade foreign currency at the most favorable rate" in Large Scale Economic and Finance Applications: New Tools and Methodologies. Franco Angeli
Barone Adesi G., Hamaui R. (1992) "Titoli di Stato e Credibilita della Politica Economica", Il Mercato Dei Titoli di Stato in Italia. Il Mulino
Barone Adesi G., Penati A. (1991) "Il mercato dei warrant: una prima valutazione", Il Rischio Azionario e la Borsa. Edizioni Giuridiche Economiche Aziendali
Barone Adesi G., Tinic S. (1987) "Stock Returns Seasonality and the Tests of Asset Pricing Models: Canadian Evidence", in Stock Market Regularities. editor E. Dimson, Cambridge University Press
Barone Adesi G., "Stochastic Processes". Entry for the Blackwell Dictionary of Management

Working paper (24)

Cötelioglu E. (2020) Do Mutual Funds and ETFs Affect the Commonality in Liquidity of Corporate Bonds?
Degeorge F., Derrien F., Kecskes A., Michenaud S. (2013) Do Analysts' Preferences Affect Corporate Policies?
Eisele A., Nefedova T., Parise G. (2012) Predation versus Cooperation in Mutual Fund Families
Nefedova T. (2010) Institutional Ownership and Analysts Forecasting Behavior
Nefedova T. (2010) Tippers and tippees: Brokers’ pre-release of price-sensitive information to their VIP clients
Druz M., Nefedova T. (2009) Remote Forecasts and Stock Returns
Franzoni F. (2008) The changing nature of market risk
Piatti A., Trojani F. (2006) Learning from Quasi Perfect Observations under Prior Ignorance
Piatti A., Trojani F., Hutter M. (2006) Learning under Prior Ignorance
Barone Adesi G., Sorwar G., Allegretto W. (2006) Valuation of Derivatives Based on Single Factor Interest Rate Models
Croci E. (2005) Stock Price Performance of Target Firms in Unsuccessful Acquisitions
Croci E. (2005) Why Do Managers Make Serial Acquisitions? An Investigation of Performance Predictability in Serial Acquisitions
Cassese G. (2004) An Extension of Conditional Expectation to Finitely Additive Measures
Barone Adesi G., Engle R. (2004) GARCH Options in Incomplete Markets
Trojani F. (2004) Robust Volatility Estimation for VaR Predictions
Evertse J., Ferretti R. (2003) Diophantine Inequalitites with Moving Targets on Projective Varieties
Ferretti R., Trojani F. (2003) Existence and Regularity of Optimal Policies in Partial Equilibrium Economies
Ferretti R. (2003) Positivity of Heights of Semi-Stable Varieties
Cassese G. (2002) On the Structure of Finitely Additive Martingales
Cassese G., Guidolin M. (2000) Retrieving Probabilities from Asset Prices. The Italian MIB30
Haid M., Nowak E. (1999) Executive Compensation and the Susceptibility of Firms to Hostile Takeovers - An Empirical Investigation of the U.S. Oil Industry
Nowak E. (1998) Finance, Investment, and Firm Value in Germany and the US: A Comparative Analysis
De Giorgi E. (1960) SSRN Working papers
Degeorge F., Patel J., Zeckhauser R., The market response to earnings thresholds

Conference proceedings (6)

Piatti A., Trojani F. (2005) Limits of learning from imperfect observations under prior ignorance: the case of the imprecise Dirichlet model. In: Cozman, F. G., Nau, B., Seidenfeld, T. (Eds), ISIPTA ´05: Proceedings of the Fourth International Symposium on Imprecise Probabilities and Their Applications. SIPTA.
Nowak E., Schade C. (2002) Optimismus, Overconfidence, oder Risikofreude im Verhalten von Unternehmern?. in: Klandt, Heinz; Hermann Weihe (Eds.), Gr|ndungsforschungs-Forum 2001, Dokumentation des 5. G-Forums, Vol. 32, FGF Entrepreneurship-Research Monographien, Lohmar Kvln, 2002, 317-325.
Leippold M., Trojani F., Vanini P. (2002) Optimization of Assets and Liabilities. Proceedings of the International Scientific School 'Modelling and Analysis of Safety, Risk and Quality in Complex Systems', Saint-Petersburg, Russian Foundation of Fundamental Research
Ehrhardt O., Nowak E. (2001) Der Rückzug der Gründerfamilie beim Börsengang. in: Klandt, Heinz; Nathusius, Klaus; Szyperski, Norbert, Heil, A. Heinrike (Eds.), G-Forum 2000, Dokumentation des 4. Forums Gr|ndungsforschung, Vol. 26, FGF Entrepreneurship-Research Monographien, Lohmar Kvln, 2001, 465-476.
Trojani F. (2001) Robust Statistical Analysis of Financial Models for the Short Term Rate. Bulletin of the International Statistical Institute, 53rd ISI Session Proceedings
Malaguerra C., Morgethaler S., Ronchetti E. (1997) Conference on Statistical Science Honouring the Bicentennial of Stefano Franscini's Birth. Birkauser, Basel, 245 p.

Report in scientific conference (36)

De Giorgi E. (2006) A Risk-Reward Perspective on Prospect Theory with Application to the Asset Allocation Puzzle. BSI Gamma Foundation, Conference on Behavioral Finance, Frankfurt
De Giorgi E. (2006) Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle. European Finance Association 2006, Zurich
De Giorgi E. (2006) Beta Regimes for the Yield Curve. International Workshop "Risk Management: from Basel II to Basel III", Monte. Verità, Ascona, Switzerland.
De Giorgi E. (2006) Beta Regimes for the Yield Curve. Econometric Society European Meeting 2006. Vienna
Maniscalco C. (2006) Pharmacists as health literacy providers. COMET (Communication, Medicine & Ethics). Cardiff, GB
Nowak E., Ehrhardt O., Weber F. (2006) Running in the Family - The Evolution of Ownership, Control, and Performance in German Family-owned Firms 1903-2003. Review of Finance/CEPR conference on Early Securities Markets, Humboldt University Berlin
Theal J., Monfort A. (2005) A Nonparametric Approach to Derivative Asset Pricing. Xth Spring Meeting of Young Economists
Audrino F. (2005) Accurate Yield Curve Scenario Generation using Functional Gradient Descent. 11th International Conference on Computing in Economics and Finance
De Giorgi E. (2005) Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM. International Conference on Risk Management and Quantitative Methods in Finance, University of Florida, Gainesville, USA
De Giorgi E. (2005) Second Order Stochastic Dominance, Reward-Risk Portfolio Selection and the CAPM. 14th European Workshop on General Equilibrium Theory, Zurich, Switzerland
Audrino F. (2005) The impact of general non-parametric volatility functions in multivariate GARCH models. Third World Conference on Computational Statistics and Data Analysis
Audrino F. (2005) Tree-structured multiple regimes in interest rates. Conference on changing structures in international and financial markets and the effects on financial decision making
De Giorgi E. (2004) A Credit Risk Model for Retail Portfolios. III Workshop on Risk Measurement and Control, Rome
Audrino F. (2004) Accurate Yield Curve Scenario Generation using Functional Gradient Descent. Bachelier Finance Society, Third World Congress
De Giorgi E. (2004) Existence of CAPM Equilibria with Prospect Theory Preferences. 13th European Workshop on General Equilibrium Theory, Venice
De Giorgi E. (2004) Existence of CAPM Equilibria with Prospect Theory Preferences. FMA European Conference, zurich
Audrino F. (2004) Functional Gradient Descent for Financial Time Series. Computational Management Science Conference and Workshop on Computational Econometrics and Statistics
Audrino F. (2004) Historical Yield Curve Scenario Generation without resorting to Variance Reduction Techniques. 40th Annual Meeting of the Eastern Finance Association
De Giorgi E. (2004) Reward-Risk Portfolio Selection and Stochastic Dominance. Third World Congress Bachelier Finance Society, Chicago
De Giorgi E. (2004) Reward-Risk Portfolio Selection and the Expected Utility Paradigm. III Workshop on Risk Measurement and Control, Rome
Audrino F. (2004) Tree-structured multiple regimes in interest rates. EEA-ESEM 2004
Audrino F. (2003) A multivariate FGD technique to improve VaR computation in equity markets. International Conference on Modeling, Optimization, and Risk Management in Finance
Audrino F. (2003) A multivariate FGD technique to improve VaR computation in equity markets. International Conference on New Frontiers in Financial Volatility Modelling
Trojani F. (2003) Equilibrium Impact of Value at Risk Regulation. International Workshop on Risk and Regulation, Collegium Budapest, Budapest
Trojani F. (2003) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence
De Giorgi E. (2003) Existence of CAPM Equilibria with Prospect Theory Preferences. AFFI Meeting, Paris
Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics
Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland
Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. Annual Meeting of the European Finance Association, Glasgow
Ehrhardt O., Nowak E. (2003) Private Benefits and Minority Shareholder Expropriation (or What Exactly are Private Benefits of Control?). EFA 2003 Annual Conference Paper No. 809
De Giorgi E. (2003) Reward-Risk Portfolio Selection for the two-periods model. erc/METU International Conference in Economics VII, Ankara
Trojani F. (2003) Robust Efficient Method of Moments. International Workshop on Econometric Time Series Analysis - Methods and Applications, University of Linz, Austria
Trojani F. (2003) Robust Efficient Method of Moments Estimation. International Conference on Robust Statistics, Antwerp
Trojani F. (2003) Saddlepoint Approximations and Test Statistics for Accurate Finite Sample GMM Inference in overidentified Moment Conditions Models. European Meeting of the Econometric Society, Stockholm
De Giorgi E. (2002) An intensity based non-parametric default model for residential mortgage portfolios. 2nd World Congress, Bachelier Finance Society, Crete
Theal J., Dunscombe P., Leszczynski K., Reed L. (2002) The Characterization of a Powerful Light Source for Field Positioning. 44th AAPM Annual Meeting, Montreal, Canada

Other publication (11)

De Giorgi E. (2005) Evolutionary Portfolio Selection with Liquidity Shocks
Theal J., Dunscombe P., Leszczynski K., Reed L. (2004) A System to Aid Patient Positioning During Radiotherapy Treatment Simulation
Theal J. (2003) A Matrix-Based Two Dimensional Polygon Clipping Algorithm
Egloff D., Leippold M., VANINI P. (2003) Optimal Derivative Strategies with Risk Constraints
Cassese G. (2001) A Note on Weak Compactness in Banach Spaces
Nowak E. (1999) Ad hoc-Publizität bei MA-Transaktionen, Gastkommentar
Barone Adesi G., Aldabe A., Elliott R. J. (1998) "Option Pricing with Regularized Fractional Brownian Motions"
Barone Adesi G., Dinenis E., Sorwar C. (1997) "A Note on the Use of Binomial Models for Interest-Rate Securities"
Nowak E. (1997) Nobelpreis für Robert C. Merton und Myron S. Scholes, Gastkommentar
Nowak E. (1997) Wettstreit der Rechnungslegungssysteme führt zur bilanziellen Anarchie
Barone Adesi G., Giannopoulos K. (1996) "Why Should Managers Care About VAR"

Contact

katia.mue@usi.ch

tel +41 58 666 4752

fax +41 58 666 4734

Via G. Buffi 13, CH-6900 Lugano

People

Education

Research

Organisation

Institute of Finance (IFin)

Publications

Journal Article (176)

Book (14)

Book chapter (28)

Working paper (24)

Conference proceedings (6)

Report in scientific conference (36)

Other publication (11)

Contact

Links

Maps and directions

Stay in touch