Publications

Titlesort descending Author Year Publication type
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