Publications

ZORA Publication List

Publications

• 2013

  • Goldberg, Lisa R; Hayes, Michael Y; Mahmoud, Ola (2013). Minimizing shortfall Quantitative Finance, 13(10):1533-1545.
  • Delpini, Danilo; Battiston, Stefano; Riccaboni, Massimo; Gabbi, Giampaolo; Pammolli, Fabio; Caldarelli, Guido (2013). Evolution of controllability in interbank networks Scientific Reports, 3(1626):online.
  • Duc, Corinne; Hanselmann, Martin; Boesiger, Peter; Tanner, Carmen (2013). Sacred values: Trade-off type matters Journal of Neuroscience, Psychology and Economics, 6(4):252-263.
  • Haas, Markus; Krause, Jochen; Paolella, Marc S; Steude, Sven C (2013). Time-varying mixture GARCH models and asymmetric volatility North American Journal of Economics and Finance, 26:602-623.
  • Rochet, Jean-Charles; Freixas, Xavier (2013). Taming systemically important financial institutions Journal of Money, Credit, and Banking, 45(s1):37-58.
  • Battiston, Stefano; Caldarelli, Guido (2013). Systemic Risk in Financial Networks Journal of Financial Management, Markets and Institutions, 1(2):129-154.
  • Battiston, Stefano; Caldarelli, Guido; Georg, Co-Pierre; May, Robert; Stiglitz, Joseph (2013). Complex derivatives Nature Physics, 9(3):123-125.
  • Halla, Martin; Schneider, Friedrich G; Wagner, Alexander F (2013). Satisfaction with democracy and collective action problems: The case of the environment Public Choice, 155(1-2):109-137.
  • Bhattacharya, S; Nyborg, K G (2013). Bank bailout menus Review of Corporate Finance Studies, 2(1):29-61.
  • Galbiati, Marco; Delpini, Danilo; Battiston, Stefano (2013). The power to control Nature Physics, 9(3):126-128.
  • Moreno, Santiago; Reveillac, Anthony; Pirvu, Traian (2013). CRRA Utility Maximization under Dynamic Risk Constraints Communications on Stochastic Analysis, 7(2):203-225.
  • Musmeci, Nicolo; Battiston, Stefano; Puliga, Michelangelo; Gabrielli, Andrea (2013). Bootstrapping topology and systemic risk of complex network using the fitness model Journal of Statistical Physics, 151(3-4):720-734.

• 2012

  • Wang, Mei; Bernstein, Abraham; Chesney, Marc (2012). An experimental study on real option strategies Quantitative Finance, 12(11):1753-1772.
  • Chesney, Marc; Taschini, Luca (2012). The endogenous price dynamics of emission allowances and an application to CO2 option pricing Applied Mathematical Finance, 19(5):447-475.
  • Cole, Harold; Kübler, Felix (2012). Recursive contracts, lotteries and weakly concave pareto sets Review of Economic Dynamics, 15 (4)(10-038):479-500.
  • Chesney, Marc; Kempf, Alexander (2012). The value of tradeability Review of Derivatives Research, 15(3):193-216.
  • Jiménez, Gabriel; Ongena, Steven; Peydró, José-Luis; Saurina, Jesús (2012). Credit supply and monetary policy: identifying the bank balance-sheet channel with loan applications American Economic Review, 102(5):2301-2326.
  • Battiston, Stefano; Delli Gatti, Domenico; Gallegati, Mauro; Greenwald, Bruce; Stiglitz, Joseph E (2012). Credit Default Cascades: When Does Risk Diversification Increase Stability?
  • Battiston, Stefano; Delli Gatti, Domenico; Gallegati, Mauro; Greenwald, Bruce; Stiglitz, Joseph E (2012). Liaisons Dangereuses: Increasing Connectivity, Risk Sharing, and Systemic Risk Journal of Economic Dynamics and Control, 36(8):1121-1141.
  • Battiston, Stefano; Bordino, I; Caldarelli, G; Cristelli, M; Ukkonen, A; Weber, I (2012). Web Search Queries Can Predict Stock Market Volumes PLoS ONE, 7(7):e40014.
  • Coculescu, D; Nikeghbali, Ashkan (2012). Hazard processes and martingale hazard processses Mathematical Finance, 22(3):519-537.
  • Coculescu, Delia; Jeanblanc, Monique; Nikeghbali, Ashkan (2012). Default times, no-arbitrage conditions and changes of probability measures Finance and Stochastics, 16(3):513-535.
  • Ongena, Steven; Tümer-Alkan, Günseli; von Westernhagen, Natalja (2012). Creditor concentration: An empirical investigation European Economic Review, 56(4):830-847.
  • Hasseltoft, Henrik (2012). Stocks, bonds, and long-run consumption risks Journal of Financial and Quantitative Analysis, 47(2):309-332.
  • Giannetti, Mariassunta; Ongena, Steven (2012). "Lending by example": Direct and indirect effects of foreign banks in emerging markets Journal of International Economics, 86(1):167-180.
  • Leippold, Markus; Cheng, Jun; Ibraimi, Meriton; Zhang, Jin E (2012). A remark on Lin's and Chang's pager 'Consistent modelling of S&P500 and VIX derivatives' Journal of Economic Dynamics and Control, 36(5):7'8-715.
  • Leippold, Markus; Lohre, Harald (2012). International price and earnings momentum The European Journal of Finance, 18(6):535-573.
  • Barrieu, Pauline; Bensusan, Harry; El Karoui, Nicole; Hillairet, Caroline; Loisel, Stéphane; Ravanelli, Claudia; Salhi, Yahia (2012). Understanding modelling and managing longevity risk: Key issues and main challenges Scandinavian Actuarial Journal, 2012(3):203-231.
  • Uhl, Matthias (2012). And Action: TV Sentiment and the US Consumer Applied Economics Letters, 19(11):1029-1034.
  • Levy, Haim; De Giorgi, Enrico G; Hens, Thorsten (2012). Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
  • Battiston, Stefano; Puliga, M; Kaushik, R; Tasca, P; Caldarelli, G (2012). DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk Scientific Reports, 2:541.
  • Leippold, Markus; Lohre, Harald (2012). Data snooping and the global accrual anomaly Applied Financial Economics, 22(7):509-535.
  • Drimus, Gabriel G (2012). Options on realized variance in Log-OU models Applied Mathematical Finance, 19(5):477-494.
  • Festl, Michael; Festl-Pell, Diana Brigitte (2012). Wirtschaftsethik - Individualmoral oder Rahmenordnung? Ein Beitrag zum Einfluss der Verhaltensökonomik auf die Wirtschaftsethik Zeitschrift für Wirtschafts- und Unternehmensethik, 13(2):141-153.
  • Battiston, Stefano; Cincotti, S; Sornette, D; Treleaven, P; Caldarelli, G; Hommes, C; Kirman, A (2012). An economic and financial exploratory European Physical Journal. Special Topics, 214(1):361-400.
  • Delaloye, Francois-Xavier; Habib, Michel A; Ziegler, Alexandre (2012). Swiss Banking Secrecy: The Stock Market Evidence Financial markets and portfolio management, 26(1):143-176.
  • Bahn, Olivier; Chesney, Marc; Gheyssens, Jonathan (2012). The effect of proactive adaptation on green investment Environmental Science & Policy, 18:9-24.
  • Dzielinski, Michal (2012). Measuring economic uncertainty and its impact on the stock market Finance Research Letters, 9(3):167-175.
  • Leippold, Markus; Rohner, Philippe (2012). Equilibrium implications of delegated asset management under benchmarking Review of Finance, 16(4):935-984.
  • Rochet, Jean-Charles; Gersbach, Hans (2012). Aggregate investment externalities and macroprudential regulation Journal of Money, Credit, and Banking, 44(S2):73-109.
  • Battiston, Stefano; König, Michael D; Napoletano, M; Schweitzer, F (2012). The efficiency and stability of R&D networks Games and Economic Behavior, 75(2):694-713.
  • Drimus, Gabriel G (2012). Options on realized variance by transform methods: A non-affine stochastic volatility model Quantitative Finance, 12(11):1679-1694.
  • Battiston, Stefano; Walter, F E; Yildirim, M; Schweitzer, F (2012). Moving recommender systems from on-line commerce to retail stores Information Systems and e-Business Management, 10(3):367-393.

• 2011

  • Hens, Thorsten; Lensberg, Terje; Schenk-Hoppé, Klaus Reiner; Wöhrmann, Peter (2011). An evolutionary explanation of the value premium puzzle Journal of Evolutionary Economics, 21(5):803-815.
  • Ranaldo, Angelo; Meichle, Mario; Zanetti, Attilio (2011). Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland Financial markets and portfolio management, 25(4):435-453.
  • Ongena, Steven; Şendeniz-Yüncü, İlkay (2011). Which firms engage small, foreign, or state banks? And who goes Islamic? Evidence from Turkey Journal of Banking and Finance, 35(12):3213-3224.
  • Fecht, Falko; Nyborg, Kjell G; Rocholl, Jörg (2011). The price of liquidity: The effects of market conditions and bank characteristics Journal of Financial Economics, 102(2):344-362.
  • Battiston, Stefano; Glattfelder, James B; Vitali, Stefania (2011). The network of global corporate control PLoS ONE, 6(10):e25995.
  • Syz, Jürg M; Vanini, Paolo (2011). Arbitrage Free Price Bounds for Property Derivatives The Journal of Real Estate Finance and Economics, 43(3):281-298.
  • Cerqueiro, Geraldo; Degryse, Hans; Ongena, Steven (2011). Rules versus discretion in loan rate setting Journal of Financial Intermediation, 20(4):503-529.
  • Gençay, Ramazan; Gradojevic, Nikola (2011). Financial Applications of Nonextensive Entropy Institute of Electrical and Electronics Engineers Signal Processing Magazine, 28(5):116-141.
  • Battiston, Stefano; Napoletano, M; Schweitzer, F; König, Michael D (2011). Recombinant knowledge and the evolution of innovation networks Journal of Economic Behavior & Organization, 79(3):145-164.
  • Uhl, Matthias W (2011). Explaining US Consumer Behavior with News Sentiment ACM Transactions on Management Information Systems, 2(2):1-18.
  • Brown, Martin; Ongena, Steven; Yeşin, Pinar (2011). Foreign currency borrowing by small firms in the transition economies Journal of Financial Intermediation, 20(3):285-302.
  • Gençay, Ramazan; In, Francis; Kim, Sangbae (2011). Investment horizon effect on asset allocation between value and growth strategies Economic Modelling, 28(4):1489-1497.
  • Battiston, Stefano; Vitali, Stefania (2011). Geography versus topology in the european ownership network New Journal of Physics, 13:063021.
  • De Giorgi, Enrico G; Post, Thierry (2011). Loss Aversion with a State-Dependent Reference Point Management Science, 57(6):1094-1110.
  • Ranaldo, Angelo; Christiansen, Charlotte; Söderlind, Paul (2011). The Time-Varying Systematic Risk of Carry Trade Strategies Journal of Financial and Quantitative Analysis, 46(4):1107-1125.
  • Ongena, Steven; Tümer-Alkan, Günseli; Vermeer, Bram (2011). Corporate choice of banks: Decision factors, decision maker, and decision process - First evidence Journal of Corporate Finance, 17(2):326-351.
  • Glattfelder, James B; Dupuis, A; Olsen, R B (2011). Patterns in high-frequency FX data: discovery of 12 empirical scaling laws Quantitative Finance, 11(4):599-614.
  • Fehr-Duda, Helga; Epper, Thomas; Bruhin, Adrian; Schubert, Renate (2011). Risk and rationality: The effects of mood and decision rules on probability weighting Journal of Economic Behavior & Organization, 78(1-2):14-24.
  • Coculescu, Delia (2011). Dividends and leverage: How to optimally exploit a non-renewable investment Journal of Economic Dynamics and Control, 35(3):312-329.
  • Leippold, Markus; Bloechlinger, Andreas (2011). A new goodness of fit test for event forecasting and its application to credit default Management Science, 57(3):487-505.
  • Ongena, Steven; Popov, Alexander (2011). Interbank market integration, loan rates, and firm leverage Journal of Banking and Finance, 35(3):544-559.
  • Rosenblatt-Wisch, Rina; Foellmi, Reto; Schenk-Hoppé, Klaus Reiner (2011). Consumption paths under prospect utility in an optimal growth model Journal of Economic Dynamics and Control, 35(3):273-281.
  • Chesney, Marc; Reshetar, Ganna; Karaman, Mustafa (2011). The impact of terrorism on financial markets: an empirical study Journal of Banking and Finance, 35(2):253-267.
  • Cremers, K J Martijn; Huang, Rocco; Sautner, Zacharias (2011). Internal capital markets and corporate politics in a banking group Review of Financial Studies, 24(2):358-401.
  • Forstinger, Christin; Wagner, Alexander (2011). Der Mehr(wert) von wert(e)orientierter Philanthropie Der Schweizer Treuhänder, (12):1024-1029.
  • Leippold, Markus; Trojani, Fabio; Vanini, Paolo (2011). Multiperiod mean-variance efficient portfolios with endogenous liabilities Quantitative Finance, 11(10):1535-1546.
  • Drimus, Gabriel G (2011). Closed-form convexity and cross-convexity adjustments for Heston prices Quantitative Finance, 11(8):1137-1149.
  • Gençay, Ramazan; Gradojevic, Nikola (2011). Errors-in-Variables Estimation with Wavelets Journal of Statistical Computation and Simulation, 81(11):1545-1564.
  • Wagner, Alexander F (2011). Board independence and competence Journal of Financial Intermediation, 20(1):71-93.
  • Hens, Thorsten; Amir, Rabah; Evstigneev, I V; Xu, Le (2011). Evolutionary finance and dynamic games Mathematics and Financial Economics, 5(3):161-184.
  • Krauss, Annette (2011). Mikrofinanzierung – mehr als ein Steckenpferd für Wirtschaftswissenschaftler SGG Revue, 150(1):12-15.
  • Syz, Jürg; Salvi, Marco (2011). What Drives "Green Housing" Construction? Evidence from Switzerland Journal of financial economic policy, 3(1):86-102.
  • Malmendier, Ulrike; Card, David; DellaVigna, Stefano (2011). The Role of Theory in Field Experiments Journal of Economic Perspectives, 25(3):39-62.
  • Malmendier, Ulrike; Young, Han Lee (2011). The Bidder’s Curse American Economic Review, 101(2):749-787.
  • Rochet, Jean-Charles; Villeneuve, Stéphane (2011). Liquidity management and corporate demand for hedging and insurance Journal of Financial Intermediation, 20(3):303-323.
  • Judd, Kenneth L; Kübler, Felix; Schmedders, Karl (2011). Bond ladders and optimal portfolios Review of Financial Studies, 24(12):4123-4166.
  • Constantinescu, Mihnea (2011). How important is that footnote on page 3? Understanding the effect of autocorrelation on the calculation of expected shortfall Journal of European Real Estate Research, 4(1):online.
  • De Giorgi, Enrico; Hens, Thorsten; Mayer, Janos (2011). A note on reward-risk portfolio selection and two-fund separation Finance Research Letters, 8(2):52-58.
  • Kubler, Felix (2011). Verifying competitive equilibria in dynamic economies Review of Economic Studies, 78(4):1379-1399.
  • Evstigneev, Igor V; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner (2011). Local stability analysis of a stochastic evolutionary financial market model with a risk-free asset Mathematics and Financial Economics, 5(3):185-202.
  • Gottardi, Piero; Kübler, Felix (2011). Social security and risk sharing Journal of Economic Theory, 146(3):1078-1106.
  • Birchler, Urs W; Schraner, Johannes J (2011). Bitte keine Schwimmwesten für Kapitäne mehr!
  • Ranaldo, Angelo; Fischer, Andreas M (2011). Does FOMC news increase global FX trading? (Global FX Trading & FOMC Deliberations) Journal of Banking and Finance, 35(11):2965-2973.
  • Rochet, Jean-Charles; Tirole, Jean (2011). Must-take cards: Merchant discounts and avoided costs Journal of the European Economic Association, 9(3):462-495.
  • Anderson, Ronald W; Nyborg, Kjell G (2011). Financing and growth under repeated moral hazard Journal of Financial Intermediation, 20(1):1-24.
  • Rochet, Jean-Charles; Mariotti, Thomas; Décamps, Jean-Paul; Villeneuve, Stéphane (2011). Free cash flow, issuance costs, and stock prices Journal of Finance, 66(5):1501-1544.
  • Hens, Thorsten; Vlcek, Martin (2011). Does prospect theory explain the disposition effect?
  • Brown, Martin; Ongena, Steven; Popov, Alexander; Yeşin, Pinar (2011). Who needs credit and who gets credit in Eastern Europe?

• 2010

  • Rochet, Jean-Charles (2010). Systemic risk: changing the regulatory perspective International Journal of Central Banking, 6:259-276.
  • Hens, Thorsten; Vogt, Bodo (2010). Indirect Reciprocity and Money Games and Economic Behavior, 70(2):354-374.
  • Ioannidou, Vasso; Ongena, Steven (2010). “Time for a Change”: Loan conditions and bank behavior when firms switch banks Journal of Finance, 65(5):1847-1877.
  • Jostarndt, Philipp; Sautner, Zacharias (2010). Out-of-court restructuring versus formal bankruptcy in a non-interventionist bankruptcy setting Review of Finance, 14(4):623-668.
  • Malin, Benjamin A; Krüger, Dirk; Kübler, Felix (2010). Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method Journal of Economic Dynamics and Control, 35(2):229-239.
  • Gençay, Ramazan; Fan, Yanqin (2010). Unit root tests with wavelets Econometric theory, 26(5):1305-1331.
  • De Giorgi, Enrico; Hens, Thorsten; Rieger, Marc Oliver (2010). Financial Market Equilibria with Cumulative Prospect Theory Journal of Mathematical Economics, 46(5):633-651.
  • Beer, Christian; Ongena, Steven; Peter, Marcel (2010). Borrowing in foreign currency: Austrian households as carry traders Journal of Banking and Finance, 34(9):2198-2211.
  • Kübler, Felix; Schmedders, Karl (2010). Tackling multiplicity of equilibria with Gröbner bases Operations Research, 58(4):1037-1050.

Pagination