2013-08: There are no predictable jumps in arbitrage-free markets |
Markus Pelger |
2013 |
2013 Working Papers |
2013-09: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
2013-10: Pretrade and Risk-based Clearing: A Case Study of American International Group’s Super Senior CDS Portfolio 2005- 2008 |
William Balson; Gordon Rausser |
2013 |
2013 Working Papers |
2013-11: Centralized Clearing for Over-the-Counter Derivatives |
Gordon Rausser; William Balson; Reid Stevens |
2013 |
2013 Working Papers |
2013-12: Restoring Value to Minimum Variance |
Lisa Goldberg; Ran Leshem; Patrick Geddes |
2013 |
2013 Working Papers |
2013-13: How Relative Compensation can lead to Herding Behavior |
An Chen; Markus Pelger |
2013 |
2013 Working Papers |
2014-02: Determinants of Levered Portfolio Return |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
2014-03: On a Convex Measure of Drawdown Risk |
Lisa Goldberg; Ola Mahmoud |
2014 |
2014 Working Papers |
2014-04: Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management |
Raymond C. W. Leung |
2014 |
2014 Working Papers |
2014-05: In Search of Statistically Valid Risk Factors |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach |
Robert H. Edelstein; Konstantin Magin |
2014 |
2014 Working Papers |
2015-01: Hedging Against Tax Rate Uncertainty: Tax Rate Swaps |
Konstantin Magin |
2015 |
2015 Working Papers |
2015-02: Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis |
Robert H. Edelstein; Konstantin Magin |
2015 |
2015 Working Papers |
2015-03: Diversification Preferences in the Theory of Choice |
Ola Mahmoud; Enrico G. De Giorgi |
2015 |
2015 Working Papers |
2015-04: The Temporal Dimension of Drawdown |
Ola Mahmoud |
2015 |
2015 Working Papers |
2015-05: Are Sticky Prices Costly? Evidence from the Stock Market |
Yuriy Gorodnichenko; Michael Weber |
2015 |
2015 Working Papers |
2015-08: Large-Dimensional Factor Modeling Based on High-Frequency Observations |
Markus Pelger |
2015 |
2015 Working Papers |
2015-09: Understanding Systematic Risk: A High-Frequency Approach |
Markus Pelger |
2015 |
2015 Working Papers |
2015-10: Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2015 |
2015 Working Papers |
2016-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2016 |
2016 Working Papers |
2016-02: Examining US REITs Pricing Bubbles: An Application of the CCAPM with Stochastic Taxation and Money Supply |
Robert H. Edelstein; Konstantin Magin |
2016 |
2016 Working Papers |
2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2016 |
2016 Working Papers |
2016-04: The effect of listing switches from a growth market to a main board: An alternative perspective |
Jong-Ho Park; Ki Beom Binh; Kyong Shik Eom |
2016 |
2016 Working Papers |
2016-06: PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market |
Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon |
2016 |
2016 Working Papers |
2017-01: Controlling shareholders’ value, long-run firm value and short-term performance |
Kyong Shik Eom; Robert Anderson; Hyung Cheol Kang; Sang Koo Kang |
2017 |
2017 Working Papers |
2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2017 |
2017 Working Papers |
2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2017 |
2017 Working Papers |
2018-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
2018-03: Initial Margin Modeling of Credit Default Swap Portfolios |
Samim Ghamami; Baeho Kim; Dong Hwan Oh |
2018 |
2018 Working Papers |
2020-01: Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2020 |
2020 Working Papers |
2020-02: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2020 |
2020 Working Papers |
2021-01: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2021 |
2021 Working Papers |
2021-02: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2021 |
2021 Working Papers |
2021-03: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2021 |
2021 Working Papers |
2021-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2021 |
2021 Working Papers |
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies |
Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger |
2022 |
Journal Article |
2022-2: A propagation model to quantify business interruption losses in supply chain networks |
Hubeyb Gurdogan; Nariman Maddah; Reyhaneh Mohammadi; Elena Pesce; Alicia Montoya; Jeffrey Bohn; Katherine Dalis |
2022 |
Working Papers |
2023-01: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2023 |
2023 Working Papers |
2023-02: General Equilibrium Theory For Climate Change |
Robert Anderson; Haosui Duanmu |
2023 |
2023 Working Papers |
2023-03: Lack of Compactness of Budget Sets in Infinite Dimensional Commodity Spaces and Its Consequences |
Konstantin Magin |
2023 |
2023 Working Papers |
A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease |
Xiaowu Dai; Saad Mouti; Marjorie Lima Do Vale; Sumantra Ray; Jeffrey Bohn; Lisa Goldberg |
2023 |
Journal Article |
Central Clearing and Unintended Consequences of OTC Derivatives Reform |
Samim Ghamami |
2017 |
2017 Working Papers |
Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2021 |
Journal Article |
Contrary to Robert Shiller’s Predictions, Stock Market Investors Made Much Money in the Past Decade: What Does This Tell Us? |
J. Bradford DeLong; Konstantin Magin |
2006 |
Journal Article |
Controlling shareholders' value, long-run firm value and short-term performance |
Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang |
2017 |
Journal Article |
Deep Learning for Mortgage Risk |
Justin Sirignano; Apaar Sadhwani; Kay Giesecke |
2018 |
Journal Article |
Derivatives Pricing under Bilateral Counterparty Risk |
Peter Carr; Samim Ghamami |
2017 |
Journal Article |
Determinants of Levered Portfolio Performance |
Lisa Goldberg; Robert Anderson |
2014 |
Journal Article |
Do Steph Curry and Klay Thompson Have Hot Hands? |
Alon Daks; Nishant Desai; Lisa Goldberg |
2017 |
Other Research Areas |