Concept

Financial econometrics

Related publications (9)

Essays in Empirical Asset Pricing

This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

Decompositions of dependence for high-dimensional extremes

Emeric Rolland Georges Thibaud

We propose two decompositions that help to summarize and describe high-dimensional tail dependence within the framework of regular variation. We use a transformation to define a vector space on the positive orthant and show that transformed-linear operatio ...

OXFORD UNIV PRESS2019

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Inventory Leanness and the Financial Performance of the Firm

Ralf Seifert, Olov Isaksson

This paper examines the financial consequences that inventory leanness has on firm performance. We conduct an econometric analysis using 4324 publicly traded US manufacturing companies for the period 1980-2008. Using an instrumental variable fixed effects ...

2014

Corporate Science and Voluntary Disclosure

Markus Simeth

The dissertation investigates the phenomenon of firms that make voluntary contributions to the stock of scientific knowledge. Such a firm behaviour appears counterintuitive from a traditional viewpoint, since no direct financial returns can be expected whi ...

EPFL2013

Operational Decisions and Supply Chain Dynamics

Olov Isaksson

While traditional research in operations management has focused on mathematical models for improving the flow of physical goods and information, this dissertation takes a quantitative empirical approach. With three distinct research projects it revisits ce ...

EPFL2013

Ambiguity in Asset Markets: Theory and Experiment

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...

2010

Introduction to this volume: Applying hedonics in the Swiss housing market

Philippe Thalmann, Andrea Baranzini, Caroline Schaerer

On June 27–30, 2007, we organized at the Geneva School of Business Administration an International Symposium entitled "Hedonic Methods in Real Estate". During the first day, called the "Swiss hedonic day", Swiss researchers from universities, consulting fi ...

2008

Prices and portfolio choices in financial markets: Theory, econometrics, experiments

Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobse ...

2007

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