Publications

Publications | Masters and Phd thesis

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Publications

... | 2020 | 2019 | 2018 | 2017 | ...

2020

Swiss Startup Radar 2020 / 2021

Rockinger Michael, Kyora Stefan, 2020., HEC Lausanne.

[serval:BIB_290232D84359]

2019

Periodic or Generational Actuarial Tables: Which One to Choose?

Arnold S., Jijiie A., Jondeau E., Rockinger M., 2019/12/31. European Actuarial Journal, 9 (2) pp. 519-554. Peer-reviewed.

[DOI][serval:BIB_5EE4D9189F02]

Rebalancing With Transaction Costs: Theory, Simulations, and Actual Data

El Bernoussi Rim, Rockinger Georg Michael, 2019/12/16., Working-paper.

[serval:BIB_5548A03ED091]

Municipal Bond Markets

Schuerhoff N., Li D., Cestau D., Hollifield B., 2019/12/01. Annual Review of Financial Economics, 11 pp. 65-84.

[serval:BIB_0A8E95C08A33]

Predicting Long-term Financial Returns: VAR vs. DSGE Model – A Horse-Race

Jondeau E., Rockinger M., 2019/12. Journal of Money, Credit, and Banking, 51 (8) pp. 2239-2291. Peer-reviewed.

[DOI][serval:BIB_CA675FAB9C48]

Swiss Startup Radar 2019 / 2020

Rockinger Michael, Kyora Stefan, 2019/11/01., HEC Lausanne.

[URN][serval:BIB_A68F201D71AA]

Equity Misvaluation and Default Options

Eisdorfer A., Goyal A., Zhdanov A., 2019/04. The Journal of Finance, 74 (2) pp. 845-898. Peer-reviewed.

[DOI][WoS][serval:BIB_DF85604152D0]

Dynamic corporate liquidity

Nikolov B., Schmid L., Steri R., 2019/04. Journal of Financial Economics, 132 (1) pp. 76-102. Peer-reviewed.

[DOI][WoS][serval:BIB_438E0820D72E]

One country, two systems? The heavy-tailedness of Chinese A- and H- share markets

Chen Zhimin, Ibragimov Rustam, 2019/03. Emerging Markets Review, 38 pp. 115-141.

[DOI][WoS][serval:BIB_D7227012B806]

Average skewness matters

Jondeau E., Zhang Q., Zhu X., 2019/03. Journal of Financial Economics. Peer-reviewed.

[DOI][serval:BIB_59E28DC9DA06]

Dealer Networks

Li D., Schuerhoff N., 2019/02. The Journal of Finance, 74 (1) pp. 91-144. Peer-reviewed.

[DOI][serval:BIB_530949867C7C]

Le modèle de mortalité CMI - Partie 1: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 5 pp. 107-112.

[serval:BIB_4166B0F50C17]

Le modèle de mortalité CMI - Partie 2: La solution pour les caisses de pensions suisses?

Arnold Séverine, Rockinger Michael, Jondeau Eric, Jijiie Anca-Stefania, 2019. Prévoyance Professionnelle Suisse 6 pp. 94-101.

[serval:BIB_0C2007B28370]

2018

Agency Conflicts around the World

Morellec E., Nikolov B., Schürhoff N., 2018/11/01. The Review of Financial Studies, 31 (11) pp. 4232-4287. Peer-reviewed.

[DOI][WoS][serval:BIB_69820D83F4A6]

Swiss Startup Radar 2018 / 2019

Rockinger Michael, Kyora Stefan, 2018/11/01., HEC Lausanne.

[URN][serval:BIB_EE3DD8622B9D]

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Goyal A., Jegadeesh N., 2018/05. The Review of Financial Studies, 31 (5) pp. 1784-1824. Peer-reviewed.

[DOI][serval:BIB_03CCC0B82778]

Behavioral bias in number processing: Evidence from analysts' expectations

Roger T., Roger P., Schatt A., 2018/05. Journal of Economic Behavior & Organization, 149 (315-331) pp. 315-331. Peer-reviewed.

[DOI][WoS][serval:BIB_F3387600C665]

Distress Anomaly and Shareholder Risk: International Evidence : Distress Anomaly and Shareholder Risk

Eisdorfer A., Goyal A., Zhdanov A., 2018/01/11. Financial Management. Peer-reviewed.

[DOI][serval:BIB_E84CAD305ECB]

2017

Merger activity in industry equilibrium

Dimopoulos T., Sacchetto S., 2017/10. Journal of Financial Economics, 126 (1) pp. 200-226.

[DOI][WoS][serval:BIB_60793A466FBD]

Are Capital Market Anomalies Common to Equity and Corporate Bond Markets? An Empirical Investigation

Chordia T., Goyal A., Nozawa Y., Subrahmanyam A., Tong Q., 2017/08. Journal of Financial and Quantitative Analysis, 52 (04) pp. 1301-1342. Peer-reviewed.

[DOI][WoS][serval:BIB_B1A2448B5111]

Phd thesis

In preparation (1)

From Microstructure to Macro Implications: Three Essays on Corporate Bond Pricing and Liquidity

Ivashchenko Alexey, Université de Lausanne, Faculté des hautes études commerciales, Rockinger Michael (dir.).

[URN][serval:BIB_FD06920B2194]

Publications (47)

Three essays in information finance

Nielsen Mads Bibow Busborg, 2023/06/27., Université de Lausanne, Faculté des hautes études commerciales, Schürhoff Norman (dir.).

[serval:BIB_6E72B730A7C8]

Three Essays on Financial Social Media

GOUTTE Maud Rose, 2023., Université de Lausanne, Faculté des hautes études commerciales, Rockinger Michael (dir.).

[URN][serval:BIB_E053F2484518]

Three Essays in Finance

JAUNIN Coralie, 2023., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[serval:BIB_8CFA69DE842F]

THREE ESSAYS IN CORPORATE FINANCE

Rötzer Sebastian, 2023., Université de Lausanne, Faculté des hautes études commerciales, Dimopoulos Theodosios (dir.).

[serval:BIB_CF731D4B9AFC]

THREE ESSAYS ON INNOVATION IN FINANCE

SOMOZA Luciano Alfredo, 2023., Université de Lausanne, Faculté des hautes études commerciales, ROCKINGER Michael (dir.).

[serval:BIB_DEF891470A90]

THREE ESSAYS IN EMPIRICAL ASSET PRICING

BASHCHENKO Oksana, 2022., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[URN][serval:BIB_E9C82159AF5C]

Three Essays on Disasters

PAULI Alexandre, 2022., Université de Lausanne, Faculté des hautes études commerciales, Jondeau Eric (dir.).

[serval:BIB_600069C74C7B]

THREE ESSAYS IN EMPIRICAL CORPORATE FINANCE

ABUZOV Rustam, 2021., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[URN][serval:BIB_93E1F829981A]

Three Essays in Dynamic Corporate Finance

HAJDA Jakub, 2020., Université de Lausanne, Faculté des hautes études commerciales, Nikolov Boris (dir.).

[URN][serval:BIB_AB02A844A795]

THREE ESSAYS ON MARKET FRICTIONS AND FINANCIAL INTERMEDIATION

BIALOVA Ina, 2019., Université de Lausanne, Faculté des hautes études commerciales, Schurhoff Norman (dir.).

[URN][serval:BIB_DE776A62431A]

ESSAYS ON PREDICTABILITY IN THE CROSS-SECTION OF STOCK AND OPTION RETURNS THÈSE DE DOCTORAT

CARNEMOLLA Eugenio, 2019., Université de Lausanne, Faculté des hautes études commerciales, Goyal Amit (dir.).

[serval:BIB_3DA3E0E076F0]

Asset pricing in fixed income markets

Chen Z. H., 2009/10., Université de Lausanne, Faculté des hautes études commerciales, Schürhoff N. (dir.).

[serval:BIB_62AF61A4D225]

Essays in equilibrium asset pricing

Puopolo G. W., 2009/07., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_D5131DB20FEA]

Essays in general equilibrium asset pricing

Osambela Zavala J. E., 2009/02., Université de Lausanne, Faculté des hautes études commerciales, Dumas B. (dir.).

[serval:BIB_9075CDB4B949]

Structural macro factors and the affine term structure of interest rates

Vulkán L. N., 2009. 141, Université de Lausanne, Faculté des hautes études commerciales, Jondeau E. (dir.).

[serval:BIB_E73B0E6796CB]

Three essays in dynamic corporate finance

Nikolov Boris, 2008. 172, Université de Lausanne, Faculté des hautes études commerciales, Morellec Erwan (dir.).

[URN][serval:BIB_R_9761]

Financing frictions and the cross section of returns

Schmid L., 2007/10. 183, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_04680F119788]

Three essays on the psychology of investment and financial markets

Jalal A., 2007/09. 118, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_031B6288A92A]

Essays in banking and corporate finance

Niu J., 2007/07. 93, Université de Lausanne, Faculté des hautes études commerciales, Morellec E. (dir.).

[serval:BIB_56E115F4A054]

Three essays on the determinants of output, inflation and interest rates

Mertens E., 2007. 190, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[URN][serval:BIB_R_8626]

Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies

Kozamernik D., 2006/11. 171, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A814040E0174]

Essays on risk management with focus on credit risk

Aunon-Nerin D., 2006/09. 194, Université de Lausanne, Faculté des hautes études commerciales, Cossin D. (dir.).

[serval:BIB_FF8A19C5365B]

Levy processes: theory and financial applications

Raccuglia B., 2006/09. 148, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_B0CB81C3EE8A]

Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration

Georgiev A., 2006/06. 146, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A0E6420D85B2]

Estimation of jump-diffusion processes via empirical characteristic functions

Semenova M., 2006/03. 135, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_A97AE83DF150]

Three essays on liquidity risk

Perilla A., 2006. PhD Thesis supervision, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M (dir.).

[serval:BIB_82BD730BE91F]

Essays on asset pricing and asset allocation

Jin X., 2005/06. 128, Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_AF0130F691A2]

Three essays on hedge funds and asset allocation with higher moments

Chen K., 2004. 89, Université de Lausanne, Faculté des hautes études commerciales, Rockinger M. (dir.).

[serval:BIB_7D73AE47EA8F]

Cash or cows? household saving and portfolio choices in developing countries : a case study of Nicaragua

Dauner Gardiol I., 2004., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_43033]

Analyst forecasts, corporate governance and firm performance

Kast M., 2004., Université de Lausanne, Faculté des hautes études commerciales, Von Thadden E.-L. (dir.).

[serval:BIB_43037]

Three essays in portfolio management and credit risk.

Demshuk A, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41834]

Asset Pricing and International Finance

Ehling P., 2003., Université de Lausanne, Faculté des hautes études commerciales, Danthine J.-P. (dir.).

[serval:BIB_A8206CA7F4BD]

Essays on venture equity contracts and asset allocation under default risk.

Entela S, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41836]

Essays on stock market integration.

Ramos S, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41837]

Essays in interest rates and risk management.

Xhaja A, 2003., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41838]

Three Essays on Default and Model Risk.

Akgun A, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41829]

Three Essays in Asset Pricing and Continuous Time Finance.

Berrada T, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41830]

Three Essays on Credit Risk.

Hricko T, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41831]

Managing Non-Standard Sources of Risk in Financial Markets.

Mougeot N, 2001., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41832]

Time varying unitary market price of risk and intertemporal asset allocation.

Clerc N, 2000., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41827]

Essays on the role of financial transparancy, analyst follow-up and other firm attributes in explaining stock returns: the swiss stock market case.

Cötelli-Caramanolis B, 2000., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41828]

Essays on Real Options.

Botteron P, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41824]

Theoretical and Empirical Issues in Credit-Sensitive Assets' Pricing.

Pirotte H, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41825]

The Role of Firms' Disclosure Policy and the Influence of Financial Analysts on Performance, Liquidity and Transparency of the Stock Market.

Tamburini P, 1999., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41826]

Price, Volatility and Interest Rate Risk Premia : Estimation in an Option Pricing Framework.

Bruand M., 1998., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41822]

Portfolio Management and Models Performance Evaluation with Contingent Claims.

Lhabitant F., 1998., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41823]

An Investigation into the Modeling of Foreign Exchange Risk Premia, the Pricing of European Currency Options Under Stochastic Interest Rates

Adjaoute Kpate, 1996., Université de Lausanne, Faculté des hautes études commerciales.

[serval:BIB_41821]