Publications

ZORA Publication List

Publications

• 2018

  • Monasterolo, Irene; Zheng, Jiani Isabelle; Battiston, Stefano (2018). Climate Transition Risk and Development Finance: A Carbon Risk Assessment of China's Overseas Energy Portfolios. China & World Economy, 26(6):116-142.
  • Hens, Thorsten; Lensberg, Terje; Schenk-Hoppé, Klaus Reiner (2018). Front-Running and Market Quality: An Evolutionary Perspective on High Frequency Trading. International Review of Finance, 18(4):727-741.
  • Bruno, Brunella; Garcia-Appendini, Emilia; Nocera, Giacomo (2018). Experience and Brokerage in Asset Markets: Evidence from Art Auctions. Financial Management, 47(4):833-864.
  • Rohner, Philippe; Uhl, Matthias W (2018). The Compensation Portfolio. Finance Research Letters, 27:60-64.
  • Perillo, Chiara; Battiston, Stefano (2018). A multiplex financial network approach to policy evaluation: the case of euro area Quantitative Easing. Applied Network Science, 3:49.
  • Jochem, Torsten; Ladika, Tomislav; Sautner, Zacharias (2018). The retention effects of unvested equity: Evidence from accelerated option vesting. Review of Financial Studies, 31(11):4142-4186.
  • Akyildirim, Erdinc; Nguyen, Duc Khuong; Sensoy, Ahmet (2018). A tale of two risks in the EMU sovereign debt markets. Economics Letters, 172:102-106.
  • Wagner, Alexander F; Zeckhauser, Richard J; Ziegler, Alexandre (2018). Company Stock Price Reactions to the 2016 Election Shock: Trump, Taxes and Trade. Journal of Financial Economics, 130(2):428-451.
  • Rüegg, Roger; Leippold, Markus (2018). The Mixed vs the Integrated Approach to Style Investing: Much Ado About Nothing?. European financial management, 24(5):829-855.
  • Chesney, Marc; Vargas, Carlos; Balietti, Anca (2018). Long-Term Investment Choices for Quinoa Farmers in Puno, Peru: A Real Options Case Study. International Journal of Food and Agricultural Economics, 6(4):1-19.
  • Behnk, Sascha; Barreda-Tarrazona, Iván; García-Gallego, Aurora (2018). Punishing liars - how monitoring affects honesty and trust. PLoS ONE, 13(10):1-30.
  • Broda, Simon A; Krause, Jochen; Paolella, Marc S (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8:184-203.
  • Dacorogna, Michel; Ferriero, Alessandro; Krief, David (2018). One-Year Change Methodologies for Fixed-Sum Insurance Contracts. Risks, 6(3):75.
  • Battiston, Stefano; Karpf, Andreas; Mandel, Antoine (2018). Price and network dynamics in the European carbon market. Journal of Economic Behavior & Organization, 153:103-122.
  • Sautner, Zacharias; Vladimirov, Vladimir (2018). Indirect costs of financial distress and bankruptcy law: Evidence from trade credit and sales. Review of Finance, 22(5):1667-1704.
  • Ongena, Steven; Tumer-Alkan, Gunseli; von Westernhagen, Natalja (2018). Do exposures to sagging real estate, subprime or conduits abroad lead to contraction and flight to quality in bank lending at home?. Review of Finance, 22(4):1335-1373.
  • Ongena, Steven; Zalewska, Anna (Ania) (2018). Institutional and individual investors: Saving for old age. Journal of Banking and Finance, 92:257-268.
  • Battiston, Stefano; Monasterolo, Irene; Stolbova, Veronika (2018). A Financial Macro-Network Approach to Climate Policy Evaluation. Ecological Economics, 149:239-253.
  • Hammerschmid, Regina; Lohre, Harald (2018). Regime shifts and stock return predictability. International Review of Economics and Finance, 56:138-160.
  • Koch-Medina, Pablo; Munari, Cosimo; Svindland, Gregor (2018). Which eligible assets are compatible with comonotonic capital requirements?. Insurance: Mathematics and Economics, 81:18-26.
  • Hens, Thorsten; Mayer, János (2018). Decision Theory Matters for Financial Advice. Computational Economics, 52(1):195-226.
  • Almansour, Abdullah M; Ongena, Steven (2018). Bank loan announcements and religious investors: Empirical evidence from Saudi Arabia. Journal of Empirical Finance, 47:78-89.
  • Fuhrer, Lucas Marc (2018). Liquidity in the Repo Market. Journal of International Money and Finance, 84:1-22.
  • Meisser, Luzius; Meisser, Christian; Kogens, Ronald (2018). Verfügungsmacht und Verfügungsrecht an Bitcoins im Konkurs. Jusletter IT:online.
  • Wagner, Alexander; Zeckhauser, Richard J; Ziegler, Alexandre (2018). Unequal Rewards to Firms: Stock Market Responses to the Trump Election and the 2017 Corporate Tax Reform. American Economic Association. Papers and Proceedings, 108(May):590-596.
  • Temesvary, Judit; Ongena, Steven; Owen, Ann L (2018). A global lending channel unplugged? Does U.S. monetary policy affect cross-border and affiliate lending by global U.S. banks?. Journal of International Economics, 112:50-69.
  • Chesney, Marc; Vasiljevic, Nikola (2018). Parisian Options with Jumps: A Maturity-Excursion Randomization Approach. Quantitative Finance, 18(11):1887-1908.
  • Albrecher, Hansjörg; Bauer, Daniel; Embrechts, Paul; Filipović, Damir; Koch-Medina, Pablo; Korn, Ralf; Loisel, Stéphane; Pelsser, Antoon; Schiller, Frank; Schmeiser, Hato; Wagner, Joël (2018). Asset-liability management for long-term insurance business. European Actuarial Journal, 8(1):9-25.
  • Meisser, Luzius; Hauser-Spühler, Gabriela (2018). Eigenschaften der Kryptowährung Bitcoin. Digma, 1:6-12.
  • Sikic, Mario; Schweizer, Martin; Zivoi, Danijel (2018). Dynamic Mean-Variance Optimization Problems with Deterministic Information. International Journal of Theoretical and Applied Finance, 21(02):1850011.
  • Roukny, Tarik; Battiston, Stefano; Stiglitz, Joseph E (2018). Interconnectedness as a Source of Uncertainty in Systemic Risk. Journal of Financial Stability, 35:93-106.
  • D'Errico, Marco; Battiston, Stefano; Peltonen, Tuomas; Scheicher, Martin (2018). How does risk flow in the credit default swap market?. Journal of Financial Stability, 35:53-74.
  • Gao, Niushan; Leung, Denny; Munari, Cosimo; Xanthos, Foivos (2018). Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces. Finance and Stochastics, 22(2):395-415.
  • Iyer, Rajkamal; Sautner, Zacharias (2018). Contracting between Firms: Empirical Evidence. The Review of Economics and Statistics, 100(1):92-104.
  • Koch-Medina, Pablo; Wenzelburger, Jan (2018). Equilibria in the CAPM with non-tradeable endowments. Journal of Mathematical Economics, 75:93-107.
  • Habib, Michel A (2018). Multifaceted Transactions and Organizational Ownership. Review of Corporate Finance Studies, 7(1):22-69.
  • Braggion, Fabio; Dwarkasing, Mintra; Ongena, Steven (2018). Household wealth inequality, entrepreneurs’ financial constraints and the Great Recession: Evidence from the Kauffman Firm Survey. Small Business Economics, 50(3):533-543.
  • Grosshans, Daniel; Zeisberger, Stefan (2018). All's Well That Ends Well? On the Importance of How Returns Are Achieved. Journal of Banking and Finance, 87:397-410.
  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2018). A simple characterization of tightness for convex solid sets of positive random variables. Positivity, 22(4):1015-1022.
  • Bloechlinger, Andreas; Leippold, Markus (2018). Are ratings the worst form of credit assessment apart from all the others?. Journal of Financial and Quantitative Analysis, 53(1):299-334.
  • Cooper, Ian A; Nyborg, Kjell G (2018). Consistent valuation of project finance and LBOs using the flows-to-equity method. European financial management, 24(1):34-52.
  • Leippold, Markus; Bernardi, Simone; Lohre, Harald (2018). Maximum diversification strategies along commodity risk factors. European financial management, 24(1):53-78.
  • Rochet, Jean-Charles; Coculescu, Delia (2018). Shareholder Risk Measures. Mathematical Finance, 28(1):5-28.
  • Schmid, Remo; Gloor, Petra; Wagner, Alexander (2018). Variable Vergütung mit strategischer Aktienzuteilung: Ein einfaches, langfristig orientiertes Vergütungssystem. Expert Focus, (8):572-577.
  • 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.
  • Dacorogna, Michel (2018). A change of paradigm for the insurance industry. Annals of Actuarial Science, 12(2):211-232.
  • 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.
  • 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.
  • Mahmoud, Ola (2018). On the consistency of choice. Theory and Decision, 83(4):547-572.
  • Garcia-Appendini, Emilia (2018). Financial distress and competitors' investment. Journal of Corporate Finance, 51:182-209.
  • Bachmann, Kremena (2018). Can advisors eliminate the outcome bias in judgements and outcome-based emotions?. Review of Behavioral Finance, 10(4):336-352.
  • Bachmann, Kremena; Hens, Thorsten; Stössel, Remo (2018). Which measures predict risk taking in a multi-stage controlled investment decision process?. Financial Services Review, 26:339-365.

• 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.
  • Hens, Thorsten; Mayer, János (2017). Cumulative prospect theory and mean-variance analysis: a rigorous comparison. Journal of Computational Finance, 21(3):47-73.
  • 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.
  • Moreno-Bromberg, Santiago; Vo, Quynh-Anh (2017). Resolution of financial distress under agency frictions. Journal of Banking and Finance, 82:40-58.
  • Fu, Jonathan; Queralt, Jahel; Romano, Michele (2017). Financial inclusion and the 2030 Agenda for Sustainable Development: a missed opportunity. Enterprise Development and Microfinance, 28(3):200-211.
  • 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.
  • Hens, Thorsten; Gerber, Anke (2017). Modelling alpha in a CAPM with heterogenous beliefs. Journal of Finance & Economics, 5(2):1-21.
  • 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.
  • 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.
  • 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.
  • Kübler, Felix; Polemarchakis, Herakles (2017). The identification of beliefs from asset demand. Econometrica, 85(4):1219 -1238.
  • Uhl, Matthias W (2017). Emotions Matter - Sentiment and Momentum in FX. Journal of Behavioral Finance, 18(3):249-257.
  • Gambacciani, Marco; Paolella, Marc S (2017). Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics, 3:91-111.
  • Coculescu, Delia (2017). From the decompositions of a stopping times to risk premium decompositions. ESAIM: Proceedings and Surveys, 60:1-60.
  • 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.
  • 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.
  • Kübler, Felix; Selden, Larry; Wei, Xiao (2017). What are asset demand tests of expected utility really testing?. Economic Journal, 127(601):784-808.
  • Leippold, Markus; Vasiljevic, Nikola (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model. Journal of Banking and Finance, 77:78-94.
  • Rieger, Marc Oliver; Wang, Mei; Hens, Thorsten (2017). Estimating cumulative prospect theory parameters from an international survey. Theory and Decision, 82(4):567-596.
  • Hens, Thorsten; Rieger, Marc O; Wang, Mei (2017). The Impact of Culture on Loss Aversion. Journal of Behavioral Decision Making, 30(2):270-281.
  • 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.
  • Shahid Ebrahim, M; Molyneux, Philip; Ongena, Steven (2017). Finance and development in muslim economies. Journal of Financial Services Research, 51(2):165-167.
  • Pappas, Vasileios; Ongena, Steven; Izzeldin, Marwan; Fuertes, Ana-Maria (2017). A survival analysis of islamic and conventional banks. Journal of Financial Services Research, 51(2):221-256.
  • 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.
  • Nyborg, Kjell G (2017). Central bank collateral frameworks. Journal of Banking and Finance, 76:198-214.
  • Fuhrer, Lucas Marc; Müller, Benjamin; Steiner, Luzian (2017). The Liquidity Coverage Ratio and Security Prices. Journal of Banking and Finance, 75:292-311.
  • Ongena, Steven; Yu, Yuejuan (2017). Firm industry affiliation and multiple bank relationships. Journal of Financial Services Research, 51(1):1-17.
  • Leippold, Markus; Schärer, Steven (2017). Discrete-time option pricing with stochastic liquidity. Journal of Banking and Finance, 75:1-16.
  • Koch-Medina, Pablo; Munari, Cosimo; Šikić, Mario (2017). Diversification, protection of liability holders and regulatory arbitrage. Mathematics and Financial Economics, 11(1):63-83.
  • Paolella, Marc S (2017). Asymmetric stable Paretian distribution testing. Econometrics and Statistics, 1:19-39.
  • Klimenko, Nataliya; Pfeil, Sebastian; Rochet, Jean-Charles (2017). A Simple Macroeconomic Model with Extreme Financial Frictions. Journal of Mathematical Economics, 68:92-102.
  • Göncü, Ahmet; Akyildirim, Erdinc (2017). Statistical arbitrage in the multi-asset Black–Scholes economy. Annals of Financial Economics, 12(01):1750004.
  • Mahmoud, Ola (2017). The temporal dimension of risk. Journal of Risk, 19(3):57-83.
  • Goldberg, Lisa R; Mahmoud, Ola (2017). Drawdown: from practice to theory and back again. Mathematics and Financial Economics, 11(3):275-297.
  • Wagner, Alexander; Weber, Rolf (2017). Corporate Governance auf der Blockchain. Schweizerische Zeitschrift für Wirtschafts- und Finanzmarktrecht (SZW), 1:59-70.
  • Bardoscia, Marco; Battiston, Stefano; Caccioli, Fabio; Caldarelli, Guido (2017). Pathways towards instability in financial networks. Nature Communications, 8:14416.
  • Ineichen, Christian; Christen, Markus; Tanner, Carmen (2017). Measuring value sensitivity in medicine. BMC Medical Ethics, 18:5.
  • 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.
  • Brumm, Johannes; Kryczka, Dominika; Kübler, Felix (2017). Recursive equilibria in dynamic economies with stochastic production. Econometrica, 85(5):1467-1499.
  • 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.
  • Meisser, Luzius; Kreuser, C Friedrich (2017). An agent-based simulation of the stolper–samuelson effect. Computational Economics, 50(4):533-547.

• 2016

  • 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?. SIGMETRICS Performance Evaluation Review, 44(3):37.
  • Buncic, Daniel; Lentner, Philipp (2016). The Term Structure of Interest Rates in an Estimated New Keynesian Policy Model. Journal of Macroeconomics, 50:126-150.
  • Albrecher, Hansjörg; Embrechts, Paul; Filipović, Damir; Harrison, Glenn W; Koch, Pablo; Loisel, Stéphane; Vanini, Paolo; Wagner, Joël (2016). Old-age provision: past, present, future. European Actuarial Journal, 6(2):287-306.
  • Ongena, Steven; Popov, Alexander (2016). Gender bias and credit access. Journal of Money, Credit and Banking, 48(8):1691-1724.
  • 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.
  • Carletti, Elena; Colla, Paolo; Gulati, Mitu; Ongena, Steven (2016). Pricing contract terms in a crisis: Venezuelan bonds in 2016. Capital Markets Law Journal, 11(4):540-555.
  • 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.
  • 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.
  • Bachmann, Kremena; Hens, Thorsten (2016). Is there Swissness in investment decision behavior and investment competence?. Financial markets and portfolio management, 30(3):233-275.
  • 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.
  • 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.
  • Rochet, Jean-Charles; Roger, Guillaume (2016). Risky utilities. Economic Theory, 62(1):361-382.
  • 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.
  • Chesney, Marc; Coculescu, Delia; Gokay, Selim (2016). Endogenous trading in Credit Default Swaps. Decisions in Economics and Finance, 39(1):1-31.
  • 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.
  • 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.
  • Fehr-Duda, Helga; Fehr, Ernst (2016). Sustainability: Game human nature. Nature, 530(7591):413-415.
  • Fasnacht, Daniel; Stämpfli, Thomas (2016). Antizyklisches verhalten lohnt sich in volatilen Märkten. Private - Das Geld-Magazin:22-23.
  • Dluhosch, Barbara; Hens, Thorsten (2016). A rigorous approach to business services offshoring and North–North trade. Applied Economics, 48(15):1390-1401.
  • 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.
  • 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.
  • 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.
  • Akyildirim, Erdinc; Altarovici, Albert (2016). Partial hedging and cash requirements in discrete time. Quantitative Finance, 16(6):929-945.
  • Göncü, Ahmet; Akyildirim, Erdinc (2016). A stochastic model for commodity pairs trading. Quantitative Finance, 16(12):1843-1857.
  • 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.
  • Battiston, Stefano; Tasca, Paolo (2016). Market procyclicality and systemic risk. Quantitative Finance, 16(8):1219-1235.
  • Pana, Anca Claudia; Gheyssens, Jonathan (2016). Baseline choice and performance implications for REDD. Journal of Environmental Economics and Policy, 5(1):79-124.
  • Wang, Mei; Rieger, Marc Oliver; Hens, Thorsten (2016). How time preferences differ: Evidence from 53 countries. Journal of Economic Psychology, 52:115-135.
  • Klimenko, Nataliya; Moreno-Bromberg, Santiago (2016). The shadow costs of repos and bank liability structure. Journal of Economic Dynamics and Control, 65:1-29.
  • 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.
  • Henriet, Dominique; Klimenko, Nataliya; Rochet, Jean-Charles (2016). The dynamics of insurance prices. The Geneva Risk and Insurance Review, 41(1):2-18.
  • 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.
  • Battiston, Stefano; Farmer, J Doyne; Flache, Andreas; Garlaschelli, Diego; Haldane, Andrew G; Heesterbeek, Hans; Hommes, Cars; Jaeger, Carlo; May, Robert; Scheffer, Marten (2016). Complexity theory and financial regulation. Science, 351(6275):818-819.
  • Battiston, Stefano; D'Errico, Marco; Gurciullo, Stefano (2016). DebtRank and the network of leverage. The Journal of Alternative Investments, 18(4):68-81.
  • 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.
  • Cerqueiro, Geraldo; Ongena, Steven; Roszbach, Kasper (2016). Collateralization, bank loan rates, and monitoring. Journal of Finance, 71(3):1295-1322.

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