Istituto di finanza (IFin)
Pubblicazioni
Articolo pubblicato in rivista scientifica (155)
- Ben-David I., Landier A., Moussawi R. (in uscita) Do Hedge Funds Manipulate Stock Prices?, Journal of Finance
- Croci E., Ehrhardt O., Nowak E. (in uscita) The Corporate Governance Endgame - Minority Squeeze-out Regulation and Post-Deal Litigation in, Managerial Finance
- Allen F., Haas M., Nowak E., Tengulov A. (in uscita) Market Efficiency and Limits to Arbitrage, Journal of Financial Economics
- Multerer M., Schneider P., Sen R. (2024) Fast empirical scenarios, Journal of Computational Mathematics and Data Science
- Gandhi P., Lustig H., Plazzi A. (2020) Equity Is Cheap for Large Financial Institutions, The Review of Financial Studies, 33 (9)
- Barbon A., Franzoni F., Di Maggio M., Landier A. (2019) Brokers and Order Flow Leakage: Evidence from Fire Sales, Journal of Finance
- 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
- Gagliardini P., Gourieroux C., Rubin M. (2019) Positional Portfolio Management, Journal of Financial Econometrics
- Gagliardini P., Ronchetti D. (2019) Comparing Asset Pricing Models with the Conditional Hansen Jagannathan Distance, Journal of Financial Econometrics
- Berardi A., Plazzi A. (2019) Inflation Risk Premia, Yield Volatility, and Macro Factors, 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
- Boulland R., Degeorge F., Ginglinger E. (2017) News dissemination and investor attention, Review of Finance, forthcoming, 21 (2 ( March ))
- Degeorge F., Martin J., Phalippou L. (2016) On Secondary Buyouts, Journal of Financial Economics
- Croci E., Hertig G., Nowak E. (2016) Decision-Making during the Crisis: Did the Treasury let Commercial Banks fail?, Journal of Empirical Finance, 38
- Mira A., Friel N., Chris O. (2015) Exploiting Multi-Core Architectures for Reduced-Variance Estimation with Intractable Likelihoods, Bayesian Analysis
- Gagliardini P., Ossola E., Olivier S. (2015) Time-varying Risk Premium in Large Cross-sectional Equity Datasets, Econometrica
- Gagliardini P., Gourieroux C. (2014) Efficiency in Large Dynamic Panel Models with Common Factors, Econometric Theory
- 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
- Barone Adesi G., Farkas W., Koch-Medina P. (2014) Capital Levels and Risk-Taking Propensity in Financial Institutions, Accounting and Finance Research
- 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 ( January ))
- Gagliardini P., Gourieroux C. (2013) Correlated Risks vs Contagion in Stochastic Transition Models, Journal of Economic Dynamics and Control
- Gagliardini P., Ronchetti D. (2013) Semi-parametric Estimation of American Option Prices, Journal of Econometrics
- Gagliardini P., Olivier S. (2012) Nonparametric Instrumental Variable Estimation of Quantile Effects, Econometrica
- Gagliardini P., Olivier S. (2012) Tikhonov Regularisation for Nonparametric Instrumental Variable Estimators, Journal of Econometrics
- Gagliardini P., Gourieroux C., Monfort A. (2012) Microinformation, Nonlinear Filtering and Granularity, Journal of Financial Econometrics
- Barone Adesi G., Dall'O H., Vovchak V. (2012) Is the Price Kernel Monotone?, Journal of Finance and Risk Perspectives
- Mancini L., Trojani F. (2011) Robust Volatility Estimation for VaR Predictions, Journal of Financial Econometrics
- 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
- Gagliardini P., Gourieroux C. (2011) Approximate Derivative Pricing for Large Classes of Homogeneous Assets with systematic Risks, Journal of Financial Econometrics
- Barone Adesi G., Sorwar G. (2011) Valuation of Two Factor Interest rate models Using Green’s Theorem, Applied Mathematical Finance, Vol. 18
- 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
- Lo S., Ronchetti E. (2009) Robust and Accurate Inference for Generalized Linear Models, Journal of Multivariate Analysis,Vol. 100, pp. 2126-2136
- Fan J., Mancini L. (2009) Option Pricing with Model-Guided Nonparametric Methods, Journal of the American Statistical Association
- Cassese G. (2008) Asset Pricing With no Exogenous Probability Measure, Mathematical Finance, 18
- 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)
- 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
- De Giorgi E., Reimann S. (2008) The alpha-Beauty Contest: Choosing Numbers, Thinking Intervals, Games and Economic Behavior, 64(2), pp. 470-486.
- Barone Adesi G., Fusari N., Theal J. (2008) Barrier Option Pricing Using Adjusted transition Probabilities, Journal of Derivatives, Vol.16
- Degeorge F., Derrien F., Womack K. (2007) Analyst Hype in IPOs: Explaining the Popularity of Bookbuilding, Review of Financial Studies
- Moselle B., Degeorge F., Zeckhauser R. (2007) Conspicuous conservatism in risk choice, Journal of Risk and Uncertainty
- Cassese G. (2007) Yan Theorem in L infinity with Applications to Asset Pricing, Acta Mathematicae Applicatae Sinica (English series) Vol. 23:4, 551-562
- Gagliardini P., Gourieroux C. (2007) An Efficient Nonparametric Estimator for Models with Nonlinear Dependence, Journal of Econometrics, 137, 189-229
- Cassese G. (2007) Decomposition of Supermartingales Indexed by a Linearly Ordered Set, Statistics and Probability Letters Vol 77:8, 795-802
- 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
- Cantoni E., Field C., 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
- De Giorgi E., Audrino F. (2007) Beta Regimes for the Yield Curve, Journal of Financial Econometrics, 5(3), pp. 456-490
- 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)
- 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
- Ghysels E., Plazzi A., Valkanov R. (2007) Valuation in the U.S. Commercial Real Estate, European Financial Management, Vol.13:3, 472-497
- 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
- Audrino F., Trojani F. (2006) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets, Journal of Applied Econometrics 21, No. 3, 345-369.
- 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
- Fernholz F., Audrino F., Ferretti R. (2006) A Forecasting Model for Stock Market Diversity, Annals of Finance
- De Giorgi E., Hens T. (2006) Making Prospect Theory Fit for Finance, Financial Markets and Portfolio Management, 20(3), pp. 339-360
- Knigge A., Nowak E., Schmidt D. (2006) On the Performance of Private Equity Investments: Does Market Timing Matter?, Journal of Financial Transformation, 16 (April)
- 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
- Franzoni F., Marin J. M. (2006) Portable Alphas From Pension Mispricing, Journal of Portfolio Management, Summer, 2006, pp. 44-53
- 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
- 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
- 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
- De Giorgi E. (2005) Reward-Risk Portfolio Selection and Stochastic Dominance, Journal of Banking and Finance, 29(4), pp. 895-926
- Degeorge F. (2005) Vers une analyse financière indépendante?, Revue d´Economie Financière, n0 79, 221-227
- Gagliardini P., Gourieroux C. (2005) Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, 3, 188-226
- Gagliardini P., Gourieroux C. (2005) Migration Correlation: Definition and Efficient Estimation, Journal of Banking and Finance, 29, 865-894
- Croci E. (2005) Corporate Raiders, Performance, and Governance in Europe, European Financial Management, Fortcoming
- 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)
- 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
- Maniscalco C. (2005) Per uno sviluppo della fidelizzazione, Schweizer Apothekerzeitung, in Journal Suisse de Pharmacie, Giornale Svizzero di Farmacia, 4 (143)
- Barone Adesi G. (2005) The Saga of the American Put, Journal of Banking and Finance
- 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
- 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., Gagliardini P., Urga G. (2004) Testing Asset Pricing Models with Coskewness, Journal of Business and Economic Statistics, 22, 474-485
- Ortelli C., Trojani F. (2004) Robust Efficient Method of Moments, Journal of Econometrics, forthcoming
- Audrino F., Buehlmann P. (2004) Synchronizing Multivariate Financial Time Series, Journal of Risk 6, No. 2, 81-106
- Degeorge F., Moselle B., Zeckhauser R. (2004) "The ecology of risk taking", Journal of Risk and uncertainty, 28:3, 195-215
- De Giorgi E., Burkhard J., Komaric V. (2004) Default Risk for Residential Mortgage Portfolios, Wilmott Magazine
- Barone Adesi G., Rasmussen H., Ravanelli C. (2004) An option pricing formula for the GARCH diffusion model, Computational Statistics and Data Analysis
- 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
- 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
- Barone Adesi G. (2004) Hidden Dangeris, in Denaris
- Leippold M., rojani F., VANINI P. (2003) Equilibrium Impact of Value at Risk, Submitted Review of Financial Studies
- Leippold M., Trojani F., Vanini P. (2003) Efficient Portfolios with Endogenous Liabilities, Submitted Annals of Operations Research, 2nd round
- Ferretti R. (2003) Diophantine Approximations and Toric Deformations, Duke Math. Journal, 118, no. 3, 493-522
- Cassese G. (2003) Il Mercato Italiano delle Opzioni sull'Indice di Borsa, Bancaria (1)
- Ehrhardt O., Nowak E. (2003) Private Kontrollrenten in deutschen Familienunternehmen, Die Betriebswirtschaft (DBW), Vol. 63 (4), 2003, 361-375.
- Trojani F., VANINI P., Vignola L. (2003) A Note on the Three-Portfolios Matching Problem, European Financial Management Journal, 9 (1 ( March ))
- 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
- 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
- De Giorgi E., Daul S., Lindskog F., McNeil A. (2003) Using the grouped t-copula, Risk 16(11)
- Genton M. G., Ronchetti E. (2003) Robust Indirect Inference, Journal of the American Statistical Association, 98
- Robinson J., Ronchetti E., Young G. (2003) Saddlepoint Approximations and Tests Based on Multivariate M-estimates, The Annals of Statistics, 31
- Barone Adesi G., Giannopoulos K., Vosper L. (2002) "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)", European Financial Management, pp. 31-58. March 2002
- 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
- Trojani F., VANINI P. (2002) Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making, Submitted Mathematical Finance
- Evertse J., Ferretti R. (2002) Diophantine Inequalities on Projective Varieties., Int. Math. Res. Notices. 2002:25, 1295-1330,
- 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
- 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
- Ehrhardt O., Nowak E. (2002) Die Durchsetzung von Corporate-Governance-Regeln, Die Aktiengesellschaft (AG), Vol. 47 (6), 2002, 336-345
- 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)
- 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.
- Ferretti R., Mazzola G. (2001) Algebraic Varieties of Musical Performances, Tatra Mt. Math. Publ. 23, 59-69,
- Nowak E. (2001) Recent Developments in German Capital Markets and Corporate Governance, Journal of Applied Corporate Finance, Vol. 14 (3), Fall 2001, 35-48
- 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
- Kaserer C., Nowak E. (2001) Die Anwendung von Ereignisstudien bei Ad-hoc-Mitteilungen, Zeitschrift f|r Betriebswirtschaft (ZfB), Vol. 71 (11), 2001, 1353-1356
- 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
- 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.
- Wahrenburg M., Nowak E. (2001) Goethe-Universität: Profilierung durch Schwerpunkt Finanzen, Die Bank - Zeitschrift für Bankpolitik und Bankpraxis, Vol. 18, 5/2001, 362-365
- 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
- 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
- Cantoni E., Ronchetti E. (2001) Robust Inference for Generalized Linear Models, Journal of the American Statistical Association, Vol. 96, pp.1022-1030
- Cantoni E., Ronchetti E. (2001) Resistant Selection of the Smoothing Parameter for Smoothing Splines, Statistics and Computing, Vol. 11, pp. 141-146
- 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., 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.
- 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
- Cassese G. (1999) Arbitrage Theory with Bounded Prices, International Review of Economics and Business, Vol. 46, pp. 233-244
- 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
- Degeorge F., Patel J., Zeckhauser R. (1999) Earnings Management to Exceed Thresholds, Journal of Business, 72 (1 ( January ))
- Barone Adesi G., Barone E., Castagna G. (1998) "Pricing Bonds and Bond Options with Default Risk", European Journal of Financial Management. July 1998
- 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
- Degeorge F., Keegan M. (1998) "Audit committees: a study in European corporate governance", September 1998, Corporate Governance: an International Review
- Welsh A., Ronchetti E. (1998) Bias-Calibrated Estimation From Sample Surveys Containing Outliers, Journal of the Royal Statistical Society, Series B, Vol. 60, pp. 413-428
- 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.
- Krishnakumar J., Ronchetti E. (1997) Robust Estimators for Simultaneous-Equations Models, Journal of Econometrics, Vol. 78, pp. 295-314
- Victoria Feser M., Ronchetti E. (1997) Robust Estimation for Grouped Data, Journal of the American Statistical Association, Vol. 92, pp. 333-340
- Ronchetti E., Blanchard W., Field C. (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.
- Heritier S., Ronchetti E. (1994) Robust Bounded-Influence Tests in General Parametric Models, Journal of the American Statistical Association, Vol. 89, pp. 897-904
- Ronchetti E., Welsh A. (1994) Empirical Saddlepoint Approximations for Multivariate M-estimators, Journal of the Royal Statistical Society, Series B, Vol. 56, pp. 313-326
- Ronchetti E., Staudte R. (1994) A Robust Version of Mallow's Cp, Journal of the American Statistical Association, Vol. 89, pp. 550-559
- Victoria Feser M. (1994) Robust Methods for Personal Income Distribution Models, The Canadian Journal of Statistics, 22
- Degeorge F., Zeckhauser R. (1993) The Reverse LBO Decision and Firm Performance: Theory and Evidence, Journal of Finance, September 1993, 1323-1348
- Monti A., Ronchetti E. (1993) On the Relationship Between Empirical Likelihood and Empirical Saddlepoint Approximation For Multivariate M-estimators, Biometrika, Vol. 80, pp. 329-338
- Filippini M., Maggi R. (1992) The Cost Structure of the Swiss Private Railways, International Journal of Transport Economics,19(3)
- 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
- Easton G., 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. (1985) Change-of-Variance Sensitivities in Regression Analysis, Probability Theory and Related Fields, Vol. 68, pp. 503-519
- Hampel F., Rousseeuw P., 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
Libro (14)
- Barone Adesi G., Carcano N. (in uscita) 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., 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. (1990) Small Sample Asymptotics. Institute of Mathematical Statistics - Monograph Series, Hayward (CA), 151 p
- Hampel F. R., Ronchetti E., Rousseeuw P., Stahel W. (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
Contributo in libro (29)
- Nowak E. (2016) Crowdfunding as a success factor to shake up a sleeping. Strategic Innovation. Pearson Financial Times Press
- Barone Adesi G., Mancini L., Shefrin H. (2013) Systemic Risk and Sentiment. Handbook on Systemic Risk and Sentiment. Cambridge University Press
- Barone Adesi G., Mancini L., Shefrin H. (2013) Systemic Risk and Sentiment. Handbook on Systemic Risk. Cambridge University Press
- Barone Adesi G., Siragusa S. (2012) Hedge Fund Replication. Linear Model for Passive Hedge Fund. Palgrave MacMillan
- 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
- 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., Ronchetti E. (2008) Robust Prediction of Beta. Computational Methods inFinancial Engineering, eds. E.J. Kontoghiorghes, B. Rustem andP. Winker, Springer, Berlin, pp. 147-161
- 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
- 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., 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
- Barone Adesi G., Giannopoulos K. (2003) "Simulating Value at Risk: filtering historical simulation", Metodi statistici per la finanza ed assicurazioni. Vita e Pensiero, Milan
- 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
- Cassese G. (2002) Il Mercato degli Strumenti Derivati in Italia. Fondazione Rosselli - Settimo Rapporto sul Sistema Finanziario Italiano. Roma, Edibank
- 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
- 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)
- 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
- 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. (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
- 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 (22)
- 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) Tippers and tippees: Brokers’ pre-release of price-sensitive information to their VIP clients
- Nefedova T. (2010) Institutional Ownership and Analysts Forecasting Behavior
- Druz M., Nefedova T. (2009) Remote Forecasts and Stock Returns
- Franzoni F. (2008) The changing nature of market risk
- Piatti A., Zaffalon M., Trojani F., Hutter M. (2006) Learning under Prior Ignorance
- Piatti A., Trojani F., Zaffalon M. (2006) Learning from Quasi Perfect Observations under Prior Ignorance
- Barone Adesi G., Sorwar G., Allegretto W. (2006) Valuation of Derivatives Based on Single Factor Interest Rate Models
- Croci E. (2005) Why Do Managers Make Serial Acquisitions? An Investigation of Performance Predictability in Serial Acquisitions
- Croci E. (2005) Stock Price Performance of Target Firms in Unsuccessful Acquisitions
- Cassese G. (2004) An Extension of Conditional Expectation to Finitely Additive Measures
- 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
- Evertse J., Ferretti R. (2003) Diophantine Inequalitites with Moving Targets on Projective 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
Atti di conferenza (6)
- Piatti A., Zaffalon M., 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.
Relazione in convegno scientifico (36)
- 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
- 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) 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. Econometric Society European Meeting 2006. Vienna
- Maniscalco C. (2006) Pharmacists as health literacy providers. COMET (Communication, Medicine & Ethics). Cardiff, GB
- 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
- Audrino F. (2005) Accurate Yield Curve Scenario Generation using Functional Gradient Descent. 11th International Conference on Computing in Economics and Finance
- Theal J., Monfort A. (2005) A Nonparametric Approach to Derivative Asset Pricing. Xth Spring Meeting of Young Economists
- Audrino F. (2005) The impact of general non-parametric volatility functions in multivariate GARCH models. Third World Conference on Computational Statistics and Data Analysis
- 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. (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
- Audrino F. (2004) Accurate Yield Curve Scenario Generation using Functional Gradient Descent. Bachelier Finance Society, Third World Congress
- Audrino F. (2004) Tree-structured multiple regimes in interest rates. EEA-ESEM 2004
- De Giorgi E. (2004) Reward-Risk Portfolio Selection and Stochastic Dominance. Third World Congress Bachelier Finance Society, Chicago
- De Giorgi E. (2004) Existence of CAPM Equilibria with Prospect Theory Preferences. 13th European Workshop on General Equilibrium Theory, Venice
- De Giorgi E. (2004) A Credit Risk Model for Retail Portfolios. III Workshop on Risk Measurement and Control, Rome
- De Giorgi E. (2004) Reward-Risk Portfolio Selection and the Expected Utility Paradigm. III Workshop on Risk Measurement and Control, Rome
- De Giorgi E. (2004) Existence of CAPM Equilibria with Prospect Theory Preferences. FMA European Conference, zurich
- 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
- 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) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence
- Trojani F. (2003) Robust Efficient Method of Moments Estimation. International Conference on Robust Statistics, Antwerp
- 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
- 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
- Trojani F. (2003) Equilibrium Impact of Value at Risk Regulation. International Workshop on Risk and Regulation, Collegium Budapest, Budapest
- Trojani F. (2003) Robust Efficient Method of Moments. International Workshop on Econometric Time Series Analysis - Methods and Applications, University of Linz, Austria
- 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
- De Giorgi E. (2003) Existence of CAPM Equilibria with Prospect Theory Preferences. AFFI Meeting, Paris
- De Giorgi E. (2003) Reward-Risk Portfolio Selection for the two-periods model. erc/METU International Conference in Economics VII, Ankara
- 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
Altra pubblicazione (12)
- Degeorge F. (2024) ESG, dagli USA una lezione per la Svizzera
- De G. 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
- Egloff D., Leippold M., VANINI P. (2003) Optimal Derivative Strategies with Risk Constraints
- Theal J. (2003) A Matrix-Based Two Dimensional Polygon Clipping Algorithm
- 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"
