Publications

ZORA Publication List

Publications

• 2003

  • Nyborg, K G; Strebulaev, Ilya A (2003). Multiple Unit Auctions and Short Squeezes Review of Financial Studies, 17(2):545-580.
  • Kübler, Felix; Schmedders, Karl (2003). Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time Economic Theory, 22(1):1-15.
  • Baranzini, Andrea; Chesney, Marc; Morisset, Jacques (2003). The impact of possible climate catastrophes on global warming policy Energy Policy, 31(8):691-701.
  • Kübler, Felix (2003). Observable restrictions of general equilibrium models with financial markets Journal of Economic Theory, 110(1):137-153.
  • Schneider, Friedrich; Wagner, Alexander (2003). Tradable Permits - Ten Key Design Issues CESifo Forum:15-22.
  • Leippold, Markus; Wu, Liuren (2003). Design and Estimation of Quadratic Term Structure Models European Finance Review, 7(1):47-73.
  • Berger, Allen N; Dai, Qinglei; Ongena, Steven; Smith, David C (2003). To what extent will the banking industry be globalized? A study of bank nationality and reach in 20 European nations Journal of Banking and Finance, 27(3):383-415.
  • Wagner, Alexander (2003). Understanding exchange rate policy announcements: A political economy approach Journal of public and international affairs, 14(1):184-205.
  • Stavins, Robert N; Wagner, Alexander; Wagner, Gernot (2003). Interpreting sustainability in economic terms: Dynamic efficiency plus intergenerational equity Economics Letters, 79(3):339-343.
  • Jungbluth, Niels; Tanner, Carmen (2003). Evidence for the coincidence effect in environmental judgments: Why isn't it easy to correctly identify environmentally friendly food products?
  • Kübler, Felix; Schmedders, Karl (2003). Stationary equilibria in asset-pricing models with incomplete markets and collateral Econometrica, 71(6):1767-1795.
  • Ongena, Steven; Smith, David C; Michalsen, Dag (2003). Firms and their distressed banks: lessons from the Norwegian banking crisis Journal of Financial Economics, 67(1):81-112.
  • Battiston, Stefano; Weisbuch, Gérard; Bonabeau, Eric (2003). Decision spread in the corporate board network Advances in Complex Systems, 6(4):631-644.
  • Tanner, Carmen (2003). Steps to Transdisciplinary Sustainability Research Human Ecology Review, 10(2):180-182.

• 2002

  • Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc (2002). Long-term risk management of nuclear waste: a real options approach Journal of Economic Dynamics and Control, 27(1):157-180.
  • Hens, Thorsten; Evstigneev, Igor V; Schenk-Hoppé, Klaus Reiner (2002). Market selection of financial trading strategies: global stability Mathematical Finance, 12(4):329-339.
  • Krueger, Dirk; Kübler, Felix (2002). Intergenerational Risk-Sharing via Social Security when Financial Markets Are Incomplete American Economic Review, 92(2):407-410.
  • Kübler, Felix; Schmedders, Karl (2002). Recursive equilibria in economies with incomplete markets Macroeconomic Dynamics, 6(2):284-306.
  • Leippold, Markus; Wu, L (2002). Asset Pricing under the Quadratic Class Journal of Financial and Quantitative Analysis, 37(2):271-295.
  • Anderson, Ronald W; Nyborg, Kjell G (2002). Agency and the pace of adoption of new techniques Recherches Economiques de Louvain, 68(1):203-220.
  • Butler, R W; Paolella, Marc S (2002). Calculating the density and distribution function for the singly and doubly noncentral F Statistics and Computing, 12(1):9-16.
  • Degryse, Hans; Ongena, Steven (2002). Bank-firm relationships and international banking markets International Journal of the Economics of Business, 9(3):401-417.
  • Nyborg, Kjell G; Rydqvist, Kristian; Sundaresan, Suresh M (2002). Bidder Behavior in Multiunit Auctions: Evidencefrom Swedish Treasury Auctions The Journal of Political Economy, 110(2):394-424.
  • Leippold, Markus; Vanini, Paolo (2002). Half as many cheers - the multiplier reviewed Wilmott Magazine, 2:104-107.
  • Butler, Ronald W; Paolella, Marc S (2002). Saddlepoint approximation and bootstrap inference for the Satterthwaite class of ratios Journal of the American Statistical Association, 97(459):836-846.
  • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2002). Stationarity of stable power-GARCH processes Journal of Econometrics, 106(1):97-107.
  • Hens, Thorsten; Schenk-Hoppé, Klaus Reiner; Stalder, Martin (2002). An application of evolutionary finance to firms listed in the Swiss Market Index Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 138(4):465-487.

• 2001

  • Schneider, Friedrich; Wagner, Alexander F (2001). Institutions of conflict management and economic growth in the European Union Kyklos, 54(4):509-531.
  • Hens, Thorsten (2001). An extension of Mantel (1976) to incomplete markets Journal of Mathematical Economics, 36(2):141-149.
  • Nyborg, Kjell G; Strebulaev, Ilya A (2001). Collateral and short squeezing of liquidity in fixed rate tenders Journal of International Money and Finance, 20(6):769-792.
  • Kübler, Felix; Schmedders, Karl (2001). Incomplete Markets, Transitory Shocks, and Welfare Review of Economic Dynamics, 4(4):747-766.
  • Hancock, John; Huber, Paul; Koch Medina, Pablo (2001). Value creation in the insurance industry Risk management and insurance review, 4(2):1-9.
  • Ongena, Steven; Smith, David C (2001). The duration of bank relationships Journal of Financial Economics, 61(3):449-475.
  • Mirabella, Giovanni; Battiston, Stefano; Diamond, Mathew E (2001). Integration of multiple-whisker inputs in rat somatosensory cortex Cerebral Cortex, 11(2):164-170.
  • Farkas, Walter; Jacob, Niels (2001). Sobolev spaces on non-smooth domains and Dirichlet forms related to subordinate reflecting diffusions Mathematische Nachrichten, 224(1):75-104.
  • Farkas, Walter; Jacob, N; Schilling, R L (2001). Function Spaces Related to Continuous Negative Definite Functions: Psi-Bessel Potential Spaces Dissertationes Mathematicae, 393:1-63.
  • Degryse, Hans; Ongena, Steven (2001). Bank relationships and firm profitability Financial Management, 30(1):9-34.
  • Farkas, Walter; Jacob, Niels; Schilling, Rene L (2001). Feller semigroups, Lp-sub-Markovian semigroups, and applications to pseudo-differential operators with negative definite symbols Forum Mathematicum, 13(1):59-90.
  • Chesney, Marc; Gibson-Asner, Rajna (2001). Reducing asset substitution with warrant and convertible debt issue The Journal of Derivatives, 9(1):39-52.
  • Farkas, Walter (2001). Eigenvalue distribution of some fractal semi-elliptic differential operators Mathematische Zeitschrift, 236(2):291-320.
  • Paolella, Marc S (2001). Testing the stable Paretian assumption Mathematical and Computer Modelling, 34(9-11):1095-1112.

• 2000

  • Habib, Michel A; Johnsen, D Bruce (2000). The private placement of debt and outside equity as an information revelation mechanism Review of Financial Studies, 13(4):1017-1055.
  • Pinato, Giulietta; Battiston, Stefano; Torre, Vincent (2000). Statistical independence and neural computation in the leech ganglion Biological Cybernetics, 83:119-130.
  • Bettzüge, Marc Oliver; Hens, Thorsten; Laitenberger, Marta; Siwik, Thomas (2000). On Choquet prices in a GEI-model with intermediation costs Research in Economics, 54(2):133-152.
  • Judd, Kenneth L; Kübler, Felix; Schmedders, Karl (2000). Computing equilibria in infinite-horizon finance economies: The case of one asset Journal of Economic Dynamics and Control, 24(5-7):1047-1078.
  • Kübler, Felix; Schmedders, Karl (2000). Computing Equilibria in Stochastic Finance Economies Computational Economics, 15:145-172.
  • Hens, Thorsten (2000). Do Sunspots Matter When Spot Market Equilibria are Unique?
  • Farkas, Walter; Johnsen, J; Sickel, W (2000). Traces of Anisotropic Besov-Lizorkin-Triebel Spaces: A Complete Treatment of the Borderline Cases Mathematica Bohemica, 125(1):1-37.
  • Ongena, Steven; Smith, David C (2000). What determines the number of bank relationships? Cross-country evidence Journal of Financial Intermediation, 9(1):26-56.
  • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (2000). Diagnosing and treating the fat tails in financial returns data Journal of Empirical Finance, 7(3-4):389-416.
  • Mittnik, Stefan; Paolella, Marc S (2000). Conditional density and value-at-risk prediciton of Asian currency exchange rates Journal of Forecasting, 19(4):313-333.

• 1999

  • Tanner, Carmen (1999). Constraints on environmental behavior Journal of Environmental Psychology, 19(2):145-157.
  • Habib, Michel A; Johnsen, D Bruce (1999). The financing and redeployment of specific assets Journal of Finance, 54(2):693-720.
  • Hens, Thorsten; Kirman, Alan; Phlips, Luis; Jaeger, Eckart (1999). Exchange rates and oligopoly European Economic Review, 43(3):621-648.
  • Gottardi, Piero; Hens, Thorsten (1999). Disaggregation of excess demand and comparative statics with incomplete markets and nominal assets Economic Theory, 13(2):287-308.
  • Ongena, Steven (1999). Lending relationships, bank default and economic activity International Journal of the Economics of Business, 6(2):257-280.
  • Nyborg, Kjell G (1999). Cross holdings in Germany: comment Journal of Institutional and Theoretical Economics, 155(1):113-118.
  • Chesney, M; Gibson-Asner, R (1999). The investment policy and the pricing of equity in a levered firm: a re-examination of the 'contingent claims' valuation approach The European Journal of Finance, 5(2):95-107.
  • Farkas, Walter (1999). The behaviour of the eigenvalues for a class of operators related to some self-affine fractals in R^2 Zeitschrift für Analysis und ihre Anwendungen, 18(4):875-893.
  • Mittnik, Stefan; Paolella, Marc S (1999). A simple estimator for the characteristic exponent of the stable paretian distribution Mathematical and Computer Modelling, 29(10-12):161-176.
  • Leippold, Markus; Jovic, Dean (1999). Das Standardverfahren zur Eigenmittelunterlegung: Analyse der Wahlmöglichkeiten Finanzmarkt und Portfolio Management, 13(3):260-290.
  • Reinton, Harald; Ongena, Steven (1999). Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets Applied Financial Economics, 9(6):545-550.
  • Chesney, Marc; Hazari, Bharat R; Sgro, Pasquale M (1999). Immigration, unemployment and welfare International Economic Journal, 13(2):59-74.
  • Farkas, Walter; Triebel, H (1999). The distribution of eigenfrequencies of anisotropic fractal drums Journal of the London Mathematical Society, 60(01):224-236.

• 1998

  • Hens, Thorsten (1998). Financial Intermediation Versus Stock Markets in a Dynamic Intertemporal Model Journal of Institutional and Theoretical Economics, 154(1):325-327.
  • Chesney, Marc; Hazari, Bharat (1998). Irrational entry, rational exit Journal of Mathematical Economics, 29(1):1-13.
  • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (1998). Unconditional and conditional distributional models for the Nikkei index Asia - Pacific Financial Markets, 5(2):99-128.
  • Mittnik, Stefan; Paolella, Marc S; Rachev, Svetlozar T (1998). A tail estimator for the index of the stable paretian distribution Communications in Statistics : Theory and Methods, 27(5):1239-1262.
  • Krauss, Annette (1998). Credibilità delle riforme economiche: il caso della Tunisia Relazioni internazionali : settimanale di politica estera, 45:48-54.
  • Paolella, Marc; Butler, R W (1998). Approximate distributions for the various serial correlograms Bernoulli, 4(4):497-518.

• 1997

  • Habib, Michel (1997). Monitoring, implicit contracting, and the lack of permanence of leveraged buyouts European Finance Review, 1(2):139-163.
  • Hens, Thorsten (1997). Stability of tâtonnement processes of short period equilibria with rational expectations Journal of Mathematical Economics, 28(1):41-67.
  • Hens, Thorsten (1997). Exchange rates and perfect competition Journal of Economics, 65(2):151-161.
  • Habib, Michel A; Johnsen, D Bruce; Naik, Narayan Y (1997). Spinoffs and information Journal of Financial Intermediation, 6(2):153-176.
  • Tanner, Carmen (1997). Das Unsichtbare sichtbar machen Ökologisches Wirtschaften, 12(3-4):14-16.
  • Chesney, Marc; Jeanblanc-Picqué, Monique; Yor, Marc (1997). Brownian excursions and Parisian barrier options Advances in Applied Probability, 29(1):165-184.
  • Farkas, Walter (1997). An embedding result for generalized Orlicz-Sobolev spaces Revue Roumaine de Mathématiques Pures et Appliquées, 42(7/8):555-565.

• 1996

  • Gottardi, Piero; Hens, Thorsten (1996). The Survival Assumption and Existence of Competitive Equilibria When Asset Markets are Incomplete Journal of Economic Theory, 71(2):313-323.
  • Koch-Medina, Pablo; Merino, Sandro; Hieber, Matthias (1996). Diffusive logistic growth on RN Nonlinear Analysis: Theory, Methods & Applications, 27(8):879-894.
  • Koch-Medina, Pablo; Fraile, José M; López-Gómez, Julián; Merino, Sandro (1996). Elliptic Eigenvalue Problems and Unbounded Continua of Positive Solutions of a Semilinear Elliptic Equation Journal of Differential Equations, 127(1):295-319.
  • Chesney, Marc; Eid Júnior, William (1996). Options listing and the volatility of the underling asset: a study on the derivative market function Revista de administração de empresas, 36(1):28-32.
  • Bottazzi, Jean-Marc; Hens, Thorsten (1996). Excess Demand Functions and Incomplete Markets Journal of Economic Theory, 68(1):49-63.
  • Franks, Julian R; Nyborg, Kjell G; Torous, Walter N (1996). A Comparison of US, UK, and German Insolvency Codes Financial Management, 25(3):86-101.
  • Farkas, Walter (1996). On the sharpness of the Orlicz-Sobolev imbedding theorem Revue Roumaine de Mathématiques Pures et Appliquées, 41(5/6):311-320.
  • Nyborg, Kjell G; Sundaresan, Suresh (1996). Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions Journal of Financial Economics, 42(1):63-104.
  • Habib, Michel; Naik, Narayan (1996). Models of information aggregation in financial markets: a review Applied Mathematical Finance, 3(2):159-166.
  • Chesney, Marc; Lefoll, Jean (1996). Predicting premature exercise of an American put on stocks: theory and empirical evidence The European Journal of Finance, 2(1):21-39.
  • Koch-Medina, Pablo; Hieber, Matthias; Merino, Sandro (1996). Linear and Semilinear Parabolic Equations on BUC(ℝN) Mathematische Nachrichten, 179(1):107-118.

• 1995

  • Koch-Medina, Pablo; Schätti, Guido (1995). Long-time behaviour for reaction-diffusion equations on RN Nonlinear Analysis: Theory, Methods & Applications, 25(8):831-870.
  • Hens, Thorsten; Löffler, Andreas (1995). A Note on Gross Substitution in Financial Markets Economics Letters, 49(1):39-43.
  • Farkas, Walter (1995). A Calderon-Zygmund extension theorem for abstract Sobolev spaces Mathematical Reports, 47(5/6):379-395.
  • Chesney, Marc; Gibson, Rajna; Loubergé, Henri (1995). Arbitrage trading and index option pricing at SOFFEX: an empirical study using daily and intradaily data Finanzmarkt und Portfolio Management, 9(1):35-60.

• 1994

  • Koch-Medina, Pablo; Daners, Daniel (1994). Exponential stability, change of stability and eigenvalue problems for linear time-periodic parabolic equations on RN Differential and Integral Equations, 7(5):1265-1284.
  • Koch-Medina, Pablo; Daners, Daniel (1994). Superconvexity of the evolution operator and parabolic eigenvalue problems on RN Differential and Integral Equations Differential and Integral Equations, 7(1):235-255.

• 1993

  • Chesney, Marc; Gibson, Rajna; Elliott, Robert J (1993). Analytical solutions for the pricing of american bond and yield options Mathematical Finance, 3(3):277-294.
  • Chesney, Marc; Elliott, Robert J; Madan, Dilip; Yang, Hailiang (1993). Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying Mathematical Finance, 3(2):85-99.

• 1992

  • Hens, Thorsten (1992). A note on Savage's theorem with a finite number of states Journal of Risk and Uncertainty, 5:63-71.

• 1989

  • Chesney, Marc; Scott, Louis (1989). Pricing European currency options: a comparison of the modified Black-Scholes model and a random variance model Journal of Financial and Quantitative Analysis, 24(3):267-284.

• 1986

  • Chesney, Marc; Loubergé, Henri (1986). Risk aversion and the composition of wealth in the demand for full insurance coverage Swiss Journal of Economics and Statistics = Schweizerische Zeitschrift für Volkswirtschaft und Statistik, 122(3):359-370.

Pagination