Publications des institutions partenaires
Are Securitized Real Estate Returns more Predictable than Stock Returns?
This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a multifactor asset pricing framework as such analyses may bias the results.We use a time...
Institution partenaire
English / 01/01/2010
Bounded rationality and asset pricing with intermediate consumption
Institution partenaire
English / 01/01/2009
Foreign exchange exposure of U.S. firms and macroeconomic conditions: is there a link?
Institution partenaire
English / 01/01/2009
On the pricing of investable securities and the role of implicit barriers
Institution partenaire
English / 01/01/2008
Stock options and managers' incentives to cheat
Institution partenaire
English / 01/01/2008
The estimation of copulas : theory and practice
Institution partenaire
English / 01/01/2007
Heterogeneous preferences and equilibrium trading volume
Institution partenaire
English / 01/01/2007
Are the investable indices priced globally or locally?
Institution partenaire
English / 01/01/2007
Incomplete information, heterogeneity, and asset pricing
Institution partenaire
English / 01/01/2006
Credit migration and basket derivatives pricing with copulas
Institution partenaire
English / 01/01/2006
Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data
We consider asymmetric kernel density estimators and smoothed histograms when the unknown probability density function f is defined on [0,+infinity). Uniform weak consistency on each compact set in [0,+infinity) is proved for these estimators when f is continuous on its support. Weak convergence in L_1 is also established. We further prove that the asymmetric kernel density estimator...
Institution partenaire
English / 01/01/2005
Nonparametric estimation of conditional expected shortfall
Institution partenaire
English / 01/01/2005
Is exchange risk priced beyond intertemporal risk?
Institution partenaire
English / 01/01/2005
Density estimation using inverse and reciprocal inverse Gaussian kernels
Institution partenaire
English / 01/01/2004
Nonparametric estimation and sensitivity analysis of expected shortfall
Institution partenaire
Français / 01/01/2004
Indirect inference, nuisance parameter and threshold moving average models
Institution partenaire
English / 01/01/2003
Nonparametric estimation of copulas for time series
Institution partenaire
English / 01/01/2003
An empirical investigation in credit spread indices
Institution partenaire
English / 01/01/2001
Convergence of discrete time option pricing models under stochastic interest rates
Institution partenaire
English / 01/01/2000
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