Concept
Financial economics
Related publications (138)
Machine Learning for Modeling Stock Returns
Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...
EPFL2024Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation
Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...
EPFL2024Stripping the Swiss discount curve using kernel ridge regression
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...
Springer Heidelberg2024Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development
Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...
2023Biodiversity protection: who pays, who benefits?
Why is protecting biodiversity essential, how are first impressions most often wrong, what is the state of biodiversity protection in 2023, why Switzerland is doing a lot less than is commonly assumed? Paying for biodiversity is not a financial decision co ...
Business School Lausanne (BSL)2023Asset purchases, limited asset markets participation and inequality
This paper analyses the effects of quantitative easing (QE) on households' income and consumption inequality in the Euro Area. Using a SVAR with high frequency identification, I show that an identified QE shock is redistributive and expansionary. To ration ...
ELSEVIER2023International Portfolio Choice with Frictions: Evidence from Mutual Funds
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
OXFORD UNIV PRESS INC2023Territorial reading in Ukraine’s recovery policy: conceptual and methodological gaps
Approaches to Ukraine’s wartime and anticipated post-war reconstruction and recovery, united under a general slogan of ‘build back better’, are currently reflected in multiple policies, regulations, planning tools and data registers, as well as showcased t ...
2023Higher-order organization of multivariate time series
Time series analysis has proven to be a powerful method to characterize several phenomena in biology, neuroscience and economics, and to understand some of their underlying dynamical features. Several methods have been proposed for the analysis of multivar ...
NATURE PORTFOLIO2023Inference and Computation for Sparsely Sampled Random Surfaces
Victor Panaretos, Tomas Rubin, Tomas Masák
Nonparametric inference for functional data over two-dimensional domains entails additional computational and statistical challenges, compared to the one-dimensional case. Separability of the covariance is commonly assumed to address these issues in the de ...
TAYLOR & FRANCIS INC2022