Publications

ZORA Publication List

Publications

• 2018

  • Hens, T., & Mayer, J. (2018). Decision Theory Matters for Financial Advice Computational Economics, 52, 195–226. https://doi.org/10.1007/s10614-017-9668-6
  • Meisser, L., Meisser, C., & Kogens, R. (2018). Verfügungsmacht und Verfügungsrecht an Bitcoins im Konkurs Jusletter IT, online. https://jusletter-it.weblaw.ch/issues/2018/24-Mai-2018/verfugungsmacht-und-_7cab5fad5c.html
  • Wagner, A., Zeckhauser, R. J., & Ziegler, A. (2018). Unequal Rewards to Firms: Stock Market Responses to the Trump Election and the 2017 Corporate Tax Reform AEA Papers and Proceedings, 108, 590–596. https://doi.org/10.1257/pandp.20181091
  • Temesvary, J., Ongena, S., & Owen, A. 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. https://doi.org/10.1016/j.jinteco.2018.02.004
  • Chesney, M., & Vasiljevic, N. (2018). Parisian Options with Jumps: A Maturity-Excursion Randomization Approach Quantitative Finance, 18, 1887–1908. https://doi.org/10.1080/14697688.2018.1444785
  • Albrecher, H., Bauer, D., Embrechts, P., Filipović, D., Koch-Medina, P., Korn, R., Loisel, S., Pelsser, A., Schiller, F., Schmeiser, H., & Wagner, J. (2018). Asset-liability management for long-term insurance business European Actuarial Journal, 8, 9–25. https://doi.org/10.1007/s13385-018-0167-5
  • Meisser, L., & Hauser-Spühler, G. (2018). Eigenschaften der Kryptowährung Bitcoin Digma, 1, 6–12. https://github.com/meisserecon/www/raw/gh-pages/2018-04-04%20Hauser%20und%20Meisser%20-%20Digma.pdf
  • Sikic, M., Schweizer, M., & Zivoi, D. (2018). Dynamic Mean-Variance Optimization Problems with Deterministic Information International Journal of Theoretical and Applied Finance, 21, 1850011–1850011. https://doi.org/10.1142/S0219024918500115
  • Gao, N., Leung, D., Munari, C., & Xanthos, F. (2018). Fatou property, representations, and extensions of law-invariant risk measures on general Orlicz spaces Finance and Stochastics, 22, 395–415. https://doi.org/10.1007/s00780-018-0357-7
  • Roukny, T., Battiston, S., & Stiglitz, J. E. (2018). Interconnectedness as a Source of Uncertainty in Systemic Risk Journal of Financial Stability, 35, 93–106. https://doi.org/10.1016/j.jfs.2016.12.003
  • Iyer, R., & Sautner, Z. (2018). Contracting between Firms: Empirical Evidence The Review of Economics and Statistics, 100, 92–104. https://doi.org/10.1162/rest_a_00648
  • Koch-Medina, P., & Wenzelburger, J. (2018). Equilibria in the CAPM with non-tradeable endowments Journal of Mathematical Economics, 75, 93–107. https://doi.org/10.1016/j.jmateco.2017.12.004
  • Habib, M. A. (2018). Multifaceted Transactions and Organizational Ownership Review of Corporate Finance Studies, 7, 22–69. https://doi.org/10.1093/rcfs/cfx019
  • Grosshans, D., & Zeisberger, S. (2018). All’s Well That Ends Well? On the Importance of How Returns Are Achieved. Journal of Banking and Finance, 87, 397–410. https://doi.org/10.1016/j.jbankfin.2017.09.021
  • Koch-Medina, P., Munari, C., & Šikić, M. (2018). A simple characterization of tightness for convex solid sets of positive random variables Positivity, 22, 1015–1022. https://doi.org/10.1007/s11117-018-0556-7
  • Bloechlinger, A., & Leippold, M. (2018). Are ratings the worst form of credit assessment apart from all the others? Journal of Financial and Quantitative Analysis, 53, 299–334. https://doi.org/10.1017/S0022109017000874
  • Cooper, I. A., & Nyborg, K. G. (2018). Consistent valuation of project finance and LBOs using the flows-to-equity method European Financial Management, 24, 34–52. https://doi.org/10.1111/eufm.12136
  • Leippold, M., Bernardi, S., & Lohre, H. (2018). Maximum diversification strategies along commodity risk factors European Financial Management, 24, 53–78. https://doi.org/10.1111/eufm.12122
  • Dacorogna, M., Elbahtouri, L., & Kratz, M. (2018). Validation of aggregated risks models Annals of Actuarial Science, 12, 433–454. https://doi.org/10.1017/S1748499517000227
  • Bachmann, K. (2018). Can advisors eliminate the outcome bias in judgements and outcome-based emotions? Review of Behavioral Finance, 10, 336–352. https://doi.org/10.1108/RBF-11-2016-0072
  • Garcia-Appendini, E. (2018). Financial distress and competitors’ investment. Journal of Corporate Finance, 51, 182–209. https://doi.org/10.1016/j.jcorpfin.2018.06.003
  • Rochet, J.-C., & Coculescu, D. (2018). Shareholder Risk Measures Mathematical Finance, 28, 5–28. https://doi.org/10.1111/mafi.12142
  • Bachmann, K., Hens, T., & Stössel, R. (2018). Which measures predict risk taking in a multi-stage controlled investment decision process? Financial Services Review, 26, 339–365.
  • Kölbel, J., & Jentges, E. (2018). The Six-Sentence Argument: Training Critical Thinking Skills Using Peer Review Management Teaching Review, 3, 118–128. https://doi.org/10.1177/2379298117739856
  • Dacorogna, M. (2018). A change of paradigm for the insurance industry Annals of Actuarial Science, 12, 211–232. https://doi.org/10.1017/S1748499518000040
  • Rohner, P., & Uhl, M. W. (2018). Increasing Investor Happiness with Holistic and Goal-Based Investment Advice Journal of Wealth Management, 20, 22–28. https://doi.org/10.3905/jwm.2018.20.4.022
  • Neufeld, A., & Sikic, M. (2018). Robust Utility Maximization in Discrete-Time Markets with Friction SIAM Journal on Control and Optimization, 56, 1912–1937. https://doi.org/10.1137/16M1101829

• 2017

  • Dzhabarov, C., Ziegler, A., & Ziemba, W. T. (2017). Sell in May and Go Away: The Evidence in the International Equity Index Futures Markets Quantitative Finance, 18, 171–181. https://doi.org/10.1080/14697688.2017.1406232
  • Meisser, L. (2017). The Code is the Model International Journal of Microsimulation, 10, 184–201. http://microsimulation.org/IJM/V10_3/IJM_2017_10_3_6.pdf
  • Hens, T., & Mayer, J. (2017). Cumulative prospect theory and mean-variance analysis: a rigorous comparison Journal of Computational Finance, 21, 47–73. https://doi.org/10.21314/JCF.2017.336
  • Dacorogna, M., & Busse, M. (2017). The price of being a Systemically Important Financial Institution (SIFI) International Review of Finance, 17, 611–616. https://doi.org/10.1111/irfi.12115
  • Rochet, J.-C., & Gersbach, H. (2017). Capital Regulation and Credit Fluctuations Journal of Monetary Economics, 90, 113–124. https://doi.org/10.1016/j.jmoneco.2017.05.008
  • Butler, R. W., & Paolella, M. S. (2017). Autoregressive Lag-Order Selection Using Conditional Saddlepoint Approximations Econometrics, 5, 43–43. https://doi.org/10.3390/econometrics5030043
  • Fu, J., Queralt, J., & Romano, M. (2017). Financial inclusion and the 2030 Agenda for Sustainable Development: a missed opportunity Enterprise Development and Microfinance, 28, 200–211. https://doi.org/10.3362/1755-1986.16-00037
  • Brumm, J., & Scheidegger, S. (2017). Using Adaptive Sparse Grids to Solve High-Dimensional Dynamic Models Econometrica, 85, 1575–1612. https://doi.org/10.3982/ECTA12216
  • Tasca, P., Deghi, A., & Battiston, S. (2017). Portfolio Diversification and Systemic Risk in Interbank Networks Journal of Economic Dynamics and Control, 82, 96–124. https://doi.org/10.1016/j.jedc.2017.01.013
  • Hens, T., & Gerber, A. (2017). Modelling alpha in a CAPM with heterogenous beliefs Journal of Finance and Economics, 5, 1–21. https://doi.org/10.12735/jfe.v5n2p01
  • Chesney, M., Lasserre, P., & Troja, B. (2017). Mitigating Global Warming: A Real Options Approach Annals of Operations Research, 255, 465–506. https://doi.org/10.1007/s10479-016-2258-5
  • Humphery‐Jenner, M., Sautner, Z., & Suchard, J. (2017). Cross‐border mergers and acquisitions: The role of private equity firms Strategic Management Journal, 38, 1688–1700. https://doi.org/10.1002/smj.2623
  • Rajamani, A., Van der Poel, M., de Jong, A., & Ongena, S. (2017). The international diversification of banks and the value of their cross-border M&A advice Management Science, 63, 2211–2232. https://doi.org/10.1287/mnsc.2015.2396
  • Chesney, M., Gheyssens, J., & Troja, B. (2017). Market uncertainty and risk transfer in REDD projects Journal of Sustainable Forestry, 36, 535–553. https://doi.org/10.1080/10549811.2017.1326940
  • Kübler, F., & Polemarchakis, H. (2017). The identification of beliefs from asset demand Econometrica, 85, 1219–1238. https://doi.org/10.3982/ECTA13880
  • Uhl, M. W. (2017). Emotions Matter - Sentiment and Momentum in FX Journal of Behavioral Finance, 18, 249–257. https://doi.org/10.1080/15427560.2017.1332061
  • Coculescu, D. (2017). From the decompositions of a stopping times to risk premium decompositions ESAIM: Proceedings and Surveys, 60, 1–60.
  • Gambacciani, M., & Paolella, M. S. (2017). Robust normal mixtures for financial portfolio allocation Econometrics and Statistics, 3, 91–111. https://doi.org/10.1016/j.ecosta.2017.02.003
  • Antonopoulos, A., Kartsakli, E., Perillo, C., & Verikoukis, C. (2017). Shedding Light on the Internet: Stakeholders and Network Neutrality IEEE Communications Magazine, 55, 216–223. https://doi.org/10.1109/MCOM.2017.1600417
  • Paolella, M. S. (2017). The Univariate Collapsing Method for Portfolio Optimization Econometrics, 5, 18–18. https://doi.org/10.3390/econometrics5020018
  • Basten, C., von Ehrlich, M., & Lassmann, A. (2017). Income taxes, sorting and the costs of housing: evidence from municipal boundaries in Switzerland Economic Journal, 127, 653–687. https://doi.org/10.1111/ecoj.12489
  • Arismendi, J. C., & Broda, S. (2017). Multivariate elliptical truncated moments Journal of Multivariate Analysis, 157, 29–44. https://doi.org/10.1016/j.jmva.2017.02.011
  • Hens, T., Rieger, M. O., & Wang, M. (2017). The Impact of Culture on Loss Aversion Journal of Behavioral Decision Making, 30, 270–281. https://doi.org/10.1002/bdm.1941
  • Shahid Ebrahim, M., Molyneux, P., & Ongena, S. (2017). Finance and development in muslim economies Journal of Financial Services Research, 51, 165–167. https://doi.org/10.1007/s10693-017-0273-6
  • Rieger, M. O., Wang, M., & Hens, T. (2017). Estimating cumulative prospect theory parameters from an international survey Theory and Decision, 82, 567–596. https://doi.org/10.1007/s11238-016-9582-8
  • Leippold, M., & Vasiljevic, N. (2017). Pricing and Disentanglement of American Puts in the Hyper-Exponential Jump-Diffusion Model Journal of Banking and Finance, 77, 78–94. https://doi.org/10.1016/j.jbankfin.2017.01.014
  • Farkas, W., Gourier, E., Huitema, R., & Necula, C. (2017). A Two-Factor Cointegrated Commodity Price Model with an Application to Spread Option Pricing Journal of Banking and Finance, 77, 249–268. https://doi.org/10.1016/j.jbankfin.2017.01.007
  • Pappas, V., Ongena, S., Izzeldin, M., & Fuertes, A.-M. (2017). A survival analysis of islamic and conventional banks Journal of Financial Services Research, 51, 221–256. https://doi.org/10.1007/s10693-016-0239-0
  • Kölbel, J. F., Busch, T., & Jancso, L. M. (2017). How Media Coverage of Corporate Social Irresponsibility Increases Financial Risk Media Coverage of Corporate Social Irresponsibility Strategic Management Journal, 38, 2266–2284. https://doi.org/10.1002/smj.2647
  • Ongena, S., Schindele, I., & Vonnak, D. (2017). Monetáris politika és a bankok hitelkínálata Hungarian Economic Review, 64, 217–237. https://doi.org/10.18414/KSZ.2017.3.217
  • Halla, M., Wagner, A. F., & Zweimüller, J. (2017). Immigration and voting for the far right Journal of the European Economic Association, 15, 1341–1385. https://doi.org/10.1093/jeea/jvx003
  • Seele, P., & Chesney, M. (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, 139–146. https://doi.org/10.1080/20430795.2016.1238213
  • Nyborg, K. G. (2017). Central bank collateral frameworks Journal of Banking and Finance, 76, 198–214. https://doi.org/10.1016/j.jbankfin.2016.12.010
  • Ongena, S., & Yu, Y. (2017). Firm industry affiliation and multiple bank relationships Journal of Financial Services Research, 51, 1–17. https://doi.org/10.1007/s10693-015-0237-7
  • Leippold, M., & Schärer, S. (2017). Discrete-time option pricing with stochastic liquidity Journal of Banking and Finance, 75, 1–16. https://doi.org/10.1016/j.jbankfin.2016.11.014
  • Fuhrer, L. M., Müller, B., & Steiner, L. (2017). The Liquidity Coverage Ratio and Security Prices Journal of Banking and Finance, 75, 292–311. https://doi.org/10.1016/j.jbankfin.2016.11.018
  • Bardoscia, M., Battiston, S., Caccioli, F., & Caldarelli, G. (2017). Pathways towards instability in financial networks Nature Communications, 8, 14416. https://doi.org/10.1038/ncomms14416
  • Koch-Medina, P., Munari, C., & Šikić, M. (2017). Diversification, protection of liability holders and regulatory arbitrage Mathematics and Financial Economics, 11, 63–83. https://doi.org/10.1007/s11579-016-0171-y
  • Ineichen, C., Christen, M., & Tanner, C. (2017). Measuring value sensitivity in medicine BMC Medical Ethics, 18, 5. https://doi.org/10.1186/s12910-016-0164-7
  • Göncü, A., & Akyildirim, E. (2017). Statistical arbitrage in the multi-asset Black–Scholes economy Annals of Financial Economics, 12, 1750004–1750004. https://doi.org/10.1142/S201049521750004X
  • Klimenko, N., Pfeil, S., & Rochet, J.-C. (2017). A Simple Macroeconomic Model with Extreme Financial Frictions Journal of Mathematical Economics, 68, 92–102. https://doi.org/10.1016/j.jmateco.2016.04.002
  • Meisser, L., & Kreuser, C. F. (2017). An agent-based simulation of the stolper–samuelson effect Computational Economics, 50, 533–547. https://doi.org/10.1007/s10614-016-9616-x
  • Brumm, J., Kryczka, D., & Kübler, F. (2017). Recursive equilibria in dynamic economies with stochastic production Econometrica, 85, 1467–1499. https://doi.org/10.3982/ECTA13047
  • Mahmoud, O. (2017). The temporal dimension of risk Journal of Risk, 19, 57–83. https://doi.org/10.21314/JOR.2016.353
  • Wagner, A., & Weber, R. (2017). Corporate Governance auf der Blockchain Schweizerische Zeitschrift für Wirtschafts- und Finanzmarktrecht = Revue suisse de droit des affaires et du marché financier, 1, 59–70. https://www.uzh.ch/dam/bf/persons/employee-assets/wagner_alexander/papers/WagnerWeber_Blockchain_2017.pdf
  • Goldberg, L. R., & Mahmoud, O. (2017). Drawdown: from practice to theory and back again Mathematics and Financial Economics, 11, 275–297. https://doi.org/10.1007/s11579-016-0181-9
  • Paolella, M. S. (2017). Asymmetric stable Paretian distribution testing Econometrics and Statistics, 1, 19–39. https://doi.org/10.1016/j.ecosta.2016.05.002

• 2016

  • Buncic, D., & Lentner, P. (2016). The Term Structure of Interest Rates in an Estimated New Keynesian Policy Model Journal of Macroeconomics, 50, 126–150. https://doi.org/10.1016/j.jmacro.2016.09.004
  • Albrecher, H., Embrechts, P., Filipović, D., Harrison, G. W., Koch, P., Loisel, S., Vanini, P., & Wagner, J. (2016). Old-age provision: past, present, future European Actuarial Journal, 6, 287–306. https://doi.org/10.1007/s13385-016-0136-9
  • Antonopoulos, A., Perillo, C., & Verikoukis, C. (2016). Internet Service Providers vs. Over-the-Top Companies Friends or Foes? SIGMETRICS Performance Evaluation Review, 44, 37. https://doi.org/10.1145/3040230.3040242
  • Wälchli, B. (2016). A proximity based macro stress testing framework Dependence Modeling, 4, 251–276. https://doi.org/10.1515/demo-2016-0015
  • Battiston, S., & Zeng, A. (2016). The multiplex network of EU lobby organizations PLoS ONE, 11, e0158062–e0158062. https://doi.org/10.1371/journal.pone.0158062
  • Carletti, E., Colla, P., Gulati, M., & Ongena, S. (2016). Pricing contract terms in a crisis: Venezuelan bonds in 2016 Capital Markets Law Journal, 11, 540–555. https://doi.org/10.1093/cmlj/kmw022
  • Battiston, S., Caldarelli, G., May, R. M., Roukny, T., & Stiglitz, J. E. (2016). The price of complexity in financial networks Proceedings of the National Academy of Sciences of the United States of America, 113, 10031–10036. https://doi.org/10.1073/pnas.1521573113
  • Dogan, A., Morishima, Y., Heise, F., Gibson, R., Tanner, C., Wagner, A. F., & Tobler, P. N. (2016). Prefrontal connections express individual differences in intrinsic resistance to trading off honesty values against economic benefits Scientific Reports, 6, 33263. https://doi.org/10.1038/srep33263
  • Battiston, S., Caldarelli, G., D’Errico, M., & Gurciullo, S. (2016). Leveraging the network: a stress-test framework based on DebtRank Statistics & Risk Modeling, 33, 117–138. https://doi.org/10.1515/strm-2015-0005
  • Bachmann, K., & Hens, T. (2016). Is there Swissness in investment decision behavior and investment competence? Financial Markets and Portfolio Management, 30, 233–275. https://doi.org/10.1007/s11408-016-0274-8
  • Fuhrer, L. M., Guggenheim, B., & Schumacher, S. (2016). Re‐Use of Collateral in the Repo Market Journal of Money, Credit and Banking, 48, 1169–1193. https://doi.org/10.1111/jmcb.12330
  • Degryse, H., Lu, L., & Ongena, S. (2016). Formal, informal or co-funding? Evidence on the co-funding of Chinese firms Journal of Financial Intermediation, 27, 31–60. https://doi.org/10.1016/j.jfi.2016.05.003
  • Habib, M. A., & Johnsen, D. B. (2016). The quality-assuring role of mutual fund advisory fees International Review of Law and Economics, 46, 1–19. https://doi.org/10.1016/j.irle.2015.11.003
  • Rochet, J.-C., & Roger, G. (2016). Risky utilities Economic Theory, 62, 361–382. https://doi.org/10.1007/s00199-015-0919-2
  • Göncü, A., & Akyildirim, E. (2016). Statistical Arbitrage with Pairs Trading International Review of Finance, 16, 307–319. https://doi.org/10.1111/irfi.12074
  • Paolella, M. S. (2016). Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability Econometrics, 4, 25–25. https://doi.org/10.3390/econometrics4020025
  • Delis, M. D., Kokas, S., & Ongena, S. (2016). Foreign ownership and market power in banking: evidence from a world sample Journal of Money, Credit and Banking, 48, 449–483. https://doi.org/10.1111/jmcb.12306
  • Chesney, M., Coculescu, D., & Gokay, S. (2016). Endogenous trading in Credit Default Swaps Decisions in Economics and Finance, 39, 1–31. https://doi.org/10.1007/s10203-015-0168-7
  • Broda, S., & Kan, R. (2016). On distributions of ratios Biometrika, 103, 205–218. https://doi.org/10.1093/biomet/asv052
  • Fehr-Duda, H., & Fehr, E. (2016). Sustainability: Game human nature Nature, 530, 413–415. https://doi.org/10.1038/530413a
  • Christen, M., Ineichen, C., & Tanner, C. (2016). “Moralische Intelligenz” in der medizinischen Praxis: Zur Nutzung moralpsychologischer Konstrukte und Messverfahren in klinischer Diagnostik und Weiterbildung. Praxis, 105, 1261–1266. https://doi.org/10.1024/1661-8157/a002494
  • Pana, A. C., & Gheyssens, J. (2016). Baseline choice and performance implications for REDD Journal of Environmental Economics and Policy, 5, 79–124. https://doi.org/10.1080/21606544.2015.1028465
  • Cerqueiro, G., Ongena, S., & Roszbach, K. (2016). Collateralization, bank loan rates, and monitoring Journal of Finance, 71, 1295–1322. https://doi.org/10.1111/jofi.12214
  • Barth, A., Moreno-Bromberg, S., & Reichmann, O. (2016). A non-stationary model of dividend distribution in a stochastic interest-rate setting Computational Economics, 47, 447–472. https://doi.org/10.1007/s10614-015-9502-y
  • Klimenko, N., & Moreno-Bromberg, S. (2016). The shadow costs of repos and bank liability structure Journal of Economic Dynamics and Control, 65, 1–29. https://doi.org/10.1016/j.jedc.2016.01.004
  • Vitali, S., Battiston, S., & Gallegati, M. (2016). Financial fragility and distress propagation in a network of regions Journal of Economic Dynamics and Control, 62, 56–75. https://doi.org/10.1016/j.jedc.2015.10.003

Pagination