Publications

ZORA Publication List

Publications

• 2018

  • Bloechlinger, Andreas; Leippold, Markus (2018). Are ratings the worst form of credit assessment apart from all the others?
  • Schmid, Remo; Gloor, Petra; Wagner, Alexander (2018). Variable Vergütung mit strategischer Aktienzuteilung: Ein einfaches, langfristig orientiertes Vergütungssystem Expert Focus, (8):572-577.
  • Bachmann, Kremena; Hens, Thorsten; Stössel, Remo (2018). Which measures predict risk taking in a multi-stage controlled investment decision process?
  • Neufeld, Ariel; Sikic, Mario (2018). Robust Utility Maximization in Discrete-Time Markets with Friction SIAM Journal on Control and Optimization, 56(3):1912-1937.
  • Dacorogna, Michel; Elbahtouri, Laila; Kratz, Marie (2018). Validation of aggregated risks models Annals of Actuarial Science, 12(2):433-454.
  • Kölbel, Julian; Jentges, Erik (2018). The Six-Sentence Argument: Training Critical Thinking Skills Using Peer Review Management Teaching Review, 3(2):118-128.
  • Rohner, Philippe; Uhl, Matthias W (2018). Increasing Investor Happiness with Holistic and Goal-Based Investment Advice Journal of Wealth Management, 20(4):22-28.
  • Bachmann, Kremena (2018). Can advisors eliminate the outcome bias in judgements and outcome-based emotions?
  • Dacorogna, Michel (2018). A change of paradigm for the insurance industry Annals of Actuarial Science, 12(2):211-232.
  • Mahmoud, Ola (2018). On the consistency of choice Theory and Decision, 83(4):547-572.
  • Olsen, Richard; Battiston, Stefano; Caldarelli, Guido; Golub, Anton; Nikulin, Mihail; Ivliev, Sergey (2018). Case study of Lykke exchange: architecture and outlook Journal of Risk Finance, 19(1):26-38.
  • Rochet, Jean-Charles; Coculescu, Delia (2018). Shareholder Risk Measures Mathematical Finance, 28(1):5-28.
  • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2018). Maximum diversification strategies along commodity risk factors European financial management, 24(1):53-78.

• 2017

  • Dzhabarov, Constantine; Ziegler, Alexandre; Ziemba, William T (2017). Sell in May and Go Away: The Evidence in the International Equity Index Futures Markets Quantitative Finance, 18(2):171-181.
  • Dacorogna, Michel; Busse, Marc (2017). The price of being a Systemically Important Financial Institution (SIFI) International Review of Finance, 17(4):611-616.
  • Meisser, Luzius (2017). The Code is the Model International Journal of Microsimulation, 10(3):184-201.
  • Jimenez, Gabriel; Ongena, Steven; Peydró, José Luis; Saurina, Jesús (2017). Macroprudential policy, countercyclical bank capital buffers, and credit supply: evidence from the Spanish dynamic provisioning experiments Journal of Political Economy, 125(6):2126-2177.
  • Rochet, Jean-Charles; Gersbach, Hans (2017). Capital Regulation and Credit Fluctuations Journal of Monetary Economics, 90:113-124.
  • Butler, Ronald W; Paolella, Marc S (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations Econometrics, 5(3):43.
  • Tasca, Paolo; Deghi, Andrea; Battiston, Stefano (2017). Portfolio Diversification and Systemic Risk in Interbank Networks Journal of Economic Dynamics and Control, 82:96-124.
  • Brumm, Johannes; Scheidegger, Simon (2017). Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models Econometrica, 85(5):1575-1612.
  • Moreno-Bromberg, Santiago; Vo, Quynh-Anh (2017). Resolution of financial distress under agency frictions Journal of Banking and Finance, 82:40-58.
  • Jimenez, Gabriel; Ongena, Steven; Peydró, José Luis; Saurina, Jesús (2017). In the short run blasé, In the long run risqué Schmalenbach Business Review, 18(3):181-226.
  • Chesney, Marc; Lasserre, Pierre; Troja, Bruno (2017). Mitigating Global Warming: A Real Options Approach Annals of Operations Research, 255(1-2):465-506.
  • Leippold, Markus; Stromberg, Jacob (2017). Strategic technology adoption and hedging under incomplete markets Journal of Banking and Finance, 81:181-199.
  • Humphery‐Jenner, Mark; Sautner, Zacharias; Suchard, Jo‐Ann (2017). Cross‐border mergers and acquisitions: The role of private equity firms Strategic Management Journal, 38(8):1688-1700.
  • Kübler, Felix; Polemarchakis, Herakles (2017). The identification of beliefs from asset demand Econometrica, 85(4):1219 -1238.
  • Chesney, Marc; Gheyssens, Jonathan; Troja, Bruno (2017). Market uncertainty and risk transfer in REDD projects Journal of Sustainable Forestry, 36(5):535-553.
  • Rajamani, Anjana; Van der Poel, Marieke; de Jong, Abe; Ongena, Steven (2017). The international diversification of banks and the value of their cross-border M&A advice Management Science, 63(7):2211-2232.
  • Uhl, Matthias W (2017). Emotions Matter - Sentiment and Momentum in FX Journal of Behavioral Finance, 18(3):249-257.
  • Coculescu, Delia (2017). From the decompositions of a stopping times to risk premium decompositions ESAIM: Proceedings and Surveys, 60:1-60.
  • Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation Econometrics and Statistics, 3:91-111.
  • Antonopoulos, Angelos; Kartsakli, Elli; Perillo, Chiara; Verikoukis, Christos (2017). Shedding Light on the Internet: Stakeholders and Network Neutrality IEEE Communications Magazine, 55(7):216-223.
  • Paolella, Marc S (2017). The Univariate Collapsing Method for Portfolio Optimization Econometrics, 5(2):18.
  • Kübler, Felix; Selden, Larry; Wei, Xiao (2017). What are asset demand tests of expected utility really testing?
  • Arismendi, Juan C; Broda, Simon (2017). Multivariate elliptical truncated moments Journal of Multivariate Analysis, 157:29-44.
  • Basten, Christoph; von Ehrlich, Maximilian; Lassmann, Andrea (2017). Income taxes, sorting and the costs of housing: evidence from municipal boundaries in Switzerland Economic Journal, 127(601):653-687.
  • Hens, Thorsten; Rieger, Marc O; Wang, Mei (2017). The Impact of Culture on Loss Aversion Journal of Behavioral Decision Making, 30(2):270-281.
  • Shahid Ebrahim, M; Molyneux, Philip; Ongena, Steven (2017). Finance and development in muslim economies Journal of Financial Services Research, 51(2):165-167.
  • Farkas, Walter; Gourier, Elise; Huitema, Robert; Necula, Ciprian (2017). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing Journal of Banking and Finance, 77:249-268.
  • Battiston, Stefano; Mandel, Antoine; Monasterolo, Irene; Schuetze, Franziska; Visentin, Gabriele (2017). A Climate stress-test of the financial system Nature Climate Change, 7:283-288.
  • Kölbel, Julian F; Busch, Timo; Jancso, Leonhardt M (2017). How Media Coverage of Corporate Social Irresponsibility Increases Financial Risk Media Coverage of Corporate Social Irresponsibility Strategic Management Journal, 38(11):2266-2284.
  • Ongena, Steven; Schindele, Ibolya; Vonnak, Dzsamila (2017). Monetáris politika és a bankok hitelkínálata Hungarian Economic Review, 64:217-237.
  • Halla, Martin; Wagner, Alexander F; Zweimüller, Josef (2017). Immigration and voting for the far right Journal of the European Economic Association, 15(6):1341-1385.
  • Delis, Manthos D; Kokas, Sotiris; Ongena, Steven (2017). Bank market power and firm performance Review of Finance, 21(1):299-326.
  • Seele, Peter; Chesney, Marc (2017). Toxic sustainable companies? A critique on the shortcomings of current corporate sustainability ratings and a definition of ‘financial toxicity Journal of Sustainable Finance & Investment, 7(2):139-146.
  • Fuhrer, Lucas Marc; Müller, Benjamin; Steiner, Luzian (2017). The Liquidity Coverage Ratio and Security Prices Journal of Banking and Finance, 75:292-311.
  • Leippold, Markus; Schärer, Steven (2017). Discrete-time option pricing with stochastic liquidity Journal of Banking and Finance, 75:1-16.
  • Ongena, Steven; Yu, Yuejuan (2017). Firm industry affiliation and multiple bank relationships Journal of Financial Services Research, 51(1):1-17.
  • Paolella, Marc S (2017). Asymmetric stable Paretian distribution testing Econometrics and Statistics, 1:19-39.
  • Zhang, Ally Quan; Thul, Matthias (2017). How Much Is the Gap? Efficient Jump Risk-Adjusted Valuation of Leveraged Certificates Quantitative Finance, 17(9):1387-1401.
  • Meisser, Luzius; Kreuser, C Friedrich (2017). An agent-based simulation of the stolper–samuelson effect Computational Economics, 50(4):533-547.
  • Goldberg, Lisa R; Mahmoud, Ola (2017). Drawdown: from practice to theory and back again Mathematics and Financial Economics, 11(3):275-297.
  • Ineichen, Christian; Christen, Markus; Tanner, Carmen (2017). Measuring value sensitivity in medicine BMC Medical Ethics, 18:5.
  • Klimenko, Nataliya; Pfeil, Sebastian; Rochet, Jean-Charles (2017). A Simple Macroeconomic Model with Extreme Financial Frictions Journal of Mathematical Economics, 68:92-102.
  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2017). Diversification, protection of liability holders and regulatory arbitrage Mathematics and Financial Economics, 11(1):63-83.
  • Brumm, Johannes; Kryczka, Dominika; Kübler, Felix (2017). Recursive equilibria in dynamic economies with stochastic production Econometrica, 85(5):1467-1499.
  • Wagner, Alexander; Weber, Rolf (2017). Corporate Governance auf der Blockchain Schweizerische Zeitschrift für Wirtschafts- und Finanzmarktrecht (SZW), 1:59-70.
  • Mahmoud, Ola (2017). The temporal dimension of risk Journal of Risk, 19(3):57-83.
  • Chhaibi, Reda; Najnudel, Joseph; Nikeghbali, Ashkan (2017). The circular unitary ensemble and the Riemann zeta function: the microscopic landscape and a new approach to ratios Inventiones Mathematicae, 207(1):23-113.
  • Bardoscia, Marco; Battiston, Stefano; Caccioli, Fabio; Caldarelli, Guido (2017). Pathways towards instability in financial networks Nature Communications, 8:14416.

• 2016

  • Ongena, Steven; Popov, Alexander (2016). Gender bias and credit access Journal of Money, Credit and Banking, 48(8):1691-1724.
  • Buncic, Daniel; Lentner, Philipp (2016). The Term Structure of Interest Rates in an Estimated New Keynesian Policy Model Journal of Macroeconomics, 50:126-150.
  • McCahery, Joseph A; Sautner, Zacharias; Starks, Laura T (2016). Behind the scenes: the corporate governance preferences of institutional investors Journal of Finance, 71(6):2905-2932.
  • Antonopoulos, Angelos; Perillo, Chiara; Verikoukis, Christos (2016). Internet Service Providers vs. Over-the-Top Companies Friends or Foes?
  • Wälchli, Boris (2016). A proximity based macro stress testing framework Dependence Modeling, 4(1):251-276.
  • Battiston, Stefano; Zeng, An (2016). The multiplex network of EU lobby organizations PLoS ONE, 11(10):e0158062-e0158062.
  • Kara, Alper; Marques-Ibanez, David; Ongena, Steven (2016). Securitization and lending standards: Evidence from the European wholesale loan market Journal of Financial Stability, 26:107-127.
  • Schneider, Roman; Wagner, Alexander F; Wenk, Christoph (2016). Der Verwaltungsrat zwischen Regulierung und Marktdisziplin Expert Focus:670-676.
  • Battiston, Stefano; Caldarelli, Guido; May, Robert M; Roukny, Tarik; Stiglitz, Joseph E (2016). The price of complexity in financial networks Proceedings of the National Academy of Sciences of the United States of America, 113(36):10031-10036.
  • Dogan, Azade; Morishima, Yosuke; Heise, Felix; Gibson, Rajna; Tanner, Carmen; Wagner, Alexander F; Tobler, Philippe N (2016). Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits Scientific Reports, 6:33263.
  • Battiston, Stefano; Caldarelli, Guido; D'Errico, Marco; Gurciullo, Stefano (2016). Leveraging the network: a stress-test framework based on DebtRank Statistics & Risk Modeling, 33(3-4):117-138.
  • Bachmann, Kremena; Hens, Thorsten (2016). Is there Swissness in investment decision behavior and investment competence?
  • Fuhrer, Lucas Marc; Guggenheim, B; Schumacher, S (2016). Re‐Use of Collateral in the Repo Market Journal of Money, Credit and Banking, 48(6):1169-1193.
  • Degryse, Hans; Lu, Liping; Ongena, Steven (2016). Formal, informal or co-funding? Evidence on the co-funding of Chinese firms Journal of Financial Intermediation, 27:31-60.
  • Rochet, Jean-Charles; Roger, Guillaume (2016). Risky utilities Economic Theory, 62(1):361-382.
  • Habib, Michel A; Johnsen, D Bruce (2016). The quality-assuring role of mutual fund advisory fees International Review of Law and Economics, 46:1-19.
  • Göncü, Ahmet; Akyildirim, Erdinc (2016). Statistical Arbitrage with Pairs Trading International Review of Finance, 16(2):307-319.
  • Langnickel, Ferdinand; Zeisberger, Stefan (2016). Do we measure overconfidence? A closer look at the interval production task Journal of Economic Behavior & Organization, 128:121-133.
  • Paolella, Marc S (2016). Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability Econometrics, 4(2):25.
  • Delis, Manthos D; Kokas, Sotiris; Ongena, Steven (2016). Foreign ownership and market power in banking: evidence from a world sample Journal of Money, Credit and Banking, 48(2-3):449-483.
  • Chesney, Marc; Coculescu, Delia; Gokay, Selim (2016). Endogenous trading in Credit Default Swaps Decisions in Economics and Finance, 39(1):1-31.
  • Basten, Christoph; Fagereng, Andreas; Telle, Kjetil (2016). Saving and Portfolio Allocation Before and After Job Loss Journal of Money, Credit and Banking, 48(2-3):293-324.
  • Broda, Simon; Kan, Raymond (2016). On distributions of ratios Biometrika, 103(1):205-218.
  • Battiston, Stefano; D'Errico, Marco; Gurciullo, Stefano (2016). DebtRank and the network of leverage The Journal of Alternative Investments, 18(4):68-81.
  • Pana, Anca Claudia; Gheyssens, Jonathan (2016). Baseline choice and performance implications for REDD Journal of Environmental Economics and Policy, 5(1):79-124.
  • De Giorgi, Enrico G; Mahmoud, Ola (2016). Diversification preferences in the theory of choice Decisions in Economics and Finance, 39(2):143-174.
  • Christen, Markus; Ineichen, Christian; Tanner, Carmen (2016). "Moralische Intelligenz" in der medizinischen Praxis: Zur Nutzung moralpsychologischer Konstrukte und Messverfahren in klinischer Diagnostik und Weiterbildung Praxis, 105(21):1261-1266.
  • Fasnacht, Daniel; Stämpfli, Thomas (2016). Antizyklisches verhalten lohnt sich in volatilen Märkten Private - Das Geld-Magazin:22-23.
  • Klimenko, Nataliya; Moreno-Bromberg, Santiago (2016). The shadow costs of repos and bank liability structure Journal of Economic Dynamics and Control, 65:1-29.
  • Ongena, Steven; Peydró, José Luis; van Horen, Neeltje (2016). Shocks abroad, pain at home? Bank-firm level evidence on financial contagion during the recent financial crisis IMF Economic Review, 63(4):698-750.
  • Dluhosch, Barbara; Hens, Thorsten (2016). A rigorous approach to business services offshoring and North–North trade Applied Economics, 48(15):1390-1401.
  • Akyildirim, Erdinc; Altarovici, Albert (2016). Partial hedging and cash requirements in discrete time Quantitative Finance, 16(6):929-945.
  • Drimus, Gabriel; Farkas, Walter; Gourier, Elise (2016). Valuations of options on discretely sampled variance: A general analytic approximation Journal of Computational Finance, 20(2):39-66.
  • Barth, Andrea; Moreno-Bromberg, Santiago; Reichmann, Oleg (2016). A non-stationary model of dividend distribution in a stochastic interest-rate setting Computational Economics, 47(3):447-472.
  • Göncü, Ahmet; Akyildirim, Erdinc (2016). A stochastic model for commodity pairs trading Quantitative Finance, 16(12):1843-1857.
  • Nooijen, Steven J; Broda, Simon (2016). Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models Journal of Behavioral Finance, 17(4):321-335.
  • Koch-Medina, Pablo; Munari, Cosimo (2016). Unexpected shortfalls of expected Shortfall: Extreme default profiles and regulatory arbitrage Journal of Banking and Finance, 62:141-151.
  • Battiston, Stefano; Tasca, Paolo (2016). Market procyclicality and systemic risk Quantitative Finance, 16(8):1219-1235.
  • Vitali, Stefania; Battiston, Stefano; Gallegati, Mauro (2016). Financial fragility and distress propagation in a network of regions Journal of Economic Dynamics and Control, 62:56-75.

Pagination