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Current research
The Impact of Green Investors on Stock Prices (with G. Chen, B. Mojon and Dimitri Vayanos) (2023) BIS Working Papers No. 1127
Building Portfolios of Sovereign Securities with Decreasing Carbon Footprints (with B. Mojon and G. Chen) (2022) Swiss Finance Institute Research Paper No. 22-66
How Sustainable Is Swiss Real Estate? Evidence from Institutional Property Portfolios (with F. Alessandrini, G. Lang, and E. Reins) (2022) Swiss Finance Institute Research Paper No. 22-46
Environmental Subsidies to Mitigate Transition Risk (with G. Levieuge, J.-G. Sahuc, and G. Vermandel) (2022) Swiss Finance Institute Research Paper No. 22-45
Measuring and Stress-Testing Market-Implied Bank Capital (with M. Indergand and A. Fuster) (2022) Swiss Finance Institute Research Paper No. 22-11
Building Benchmarks Portfolios with Decreasing Carbon Footprints (with B. Mojon and L. A. Pereira da Silva) (2021) Swiss Finance Institute Research Paper No. 21-91
Climate-Related Disasters and the Death Toll (with V. Chavez-Demoulin and L. Mhalla) (2021) Swiss Finance Institute Research Paper No. 21-63
Disasters, Large Drawdowns, and Long-term Asset Management (with A. Pauli) (2021) Swiss Finance Institute Research Paper No. 21-37
Greening (Runnable) Brown Assets with a Liquidity Backstop (with B. Mojon and C. Monnet) (2021) Swiss Finance Institute Research Paper No. 21-22
Textual Analysis of Banks’ Pillar 3 Documents (with M. Dong and M. Rockinger) (2019)
Strategic Interaction between Hedge Funds and Prime Brokers (with N. Gerasimova) (2018) Swiss Finance Institute Research Paper No. 18-54
Asymmetric Beta Comovement and Systematic Downside Risk (with Q. Zhang) (2014) (Technical Appendix) Swiss Finance Institute Research Paper No. 14-59
Optimal Long-Term Allocation with Pension Fund Liabilities (with M. Rockinger) (2014) Swiss Finance Institute Research Paper No. 14-58
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Publications
Deconstructing ESG Scores: Investing at the Category Score Level (with T. Ehlers, U. Elsenhuber, and A. Jegarasasingam) (2024) Journal of Asset Management
Bank Rollover Risk and Liquidity Supply Regimes (with B. Mojon and J.-G. Sahuc) (2024) (Online Technical Appendix, Data) International Journal of Central Banking
Greening the Swiss National Bank’s Portfolio (with R. Fahlenbrach) (2023) Review of Corporate Finance Studies, 12, 792-833
Bank Capital Shortfall in the Euro Area (with J.-G. Sahuc) (2022) Journal of Financial Stability, 2022, 62, 101070
ESG Screening in the Fixed-Income Universe (with F. Alessandrini and D. Baptista Balula) (2022) Journal of Investment Management, 2022, 20(4), 65-86
Predicting the Stressed Expected Loss of Large U.S. Banks (with A. Khalilzadeh) (2021) (Online Technical Appendix), Journal of Banking and Finance, 2022, 134, 106321
Optimal Strategies for ESG Portfolios (with F. Alessandrini) (2021) Journal of Portfolio Management , 47 (6), 114–138
When are Stocks Less Volatile in the Long Run? (with Q. Zhang and X. Zhu) (2021), Journal of Financial and Quantitative Analysis, 56(4), 1228–1258 (Online Technical Appendix)
The Case for Reopening Economies by Sector (with J.-P. Bonardi, A. Bris, M. Brülhart, J.-P. Danthine, D. Rohner, and M. Thoenig) (2020), Harvard Business Review
ESG Investing: From Sin Stocks to Smart Beta (with F. Alessandrini) (2020), Journal of Portfolio Management, 46(2), 75–94 (Online Technical Appendix)
Skewness and Index Futures Return (with X. Wang, Z. Yan, and Q. Zhang) (2020), Journal of Futures Markets, 40(11), 1648–1664
Average Skewness Matters! (with Q. Zhang and X. Zhu) (last draft, 2019), Journal of Financial Economics, 134(1), 29–47 (Online Technical Appendix, Data, Codes)
Predicting Long-Term Financial Returns: VAR vs. DSGE Model – A Horse-Race (with M. Rockinger) (last draft, 2019), Journal of Money, Credit, and Banking, 51(8), 2239–2291 (Online Technical Appendix)
Periodic or Generational Actuarial Tables: Which One to Choose? (with S. Arnold-Gaille, A. Jijiie, and M. Rockinger) (2019), European Actuarial Journal, 9(2), 519–554
Moment Component Analysis: An Illustration with International Stock Markets (with E. Jurczenko and M. Rockinger) (2018), Journal of Business and Economic Statistics, 36(4), 576–598
Collateralization, Leverage, and Stressed Expected Loss (with A. Khalilzadeh) (2017), Journal of Financial Stability, 33, 226–243
Asymmetry in Tail Dependence in Equity Portfolios (2016), Computational Statistics and Data Analysis, 100, 351–368 (Technical Appendix)
Estimating the Price Impact of Trades in a High-Frequency Microstructure Model with Jumps (with J. Lahaye and M. Rockinger) (2015), Journal of Banking and Finance, 61, S205–S224 (New Version)
The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models (2015), Journal of Empirical Finance, 32, 80–93 (Online Technical Appendix)
Systemic Risk in Europe (with R. Engle and M. Rockinger) (2015), Review of Finance, 19(1), 145–190 (Update in VOX)
Estimating Aggregate Autoregressive Processes When Only Macro Data Are Available (with F. Pelgrin) (2014), Economics Letters, 124(3), 341–347 (Last Draft)
Systemic Risk in Europe (with M. Rockinger) (2013), Global Credit Review, 3(1), 1–6
On the Importance of Time-Variability in Higher Moments for Asset Allocation (with M. Rockinger) (2012), Journal of Financial Econometrics, 10(1), 84–123 (Last Draft)
Sectoral Phillips curves and the aggregate Phillips curve (with J. Imbs and F. Pelgrin) (2011), Journal of Monetary Economics, 58(4), 328–344 (Last Draft)
The Impact of Shocks on Higher Moments (with M. Rockinger) (2009), Journal of Financial Econometrics, 7(2), 77–105 (Last Draft)
Examining Bias in Estimators of Linear Rational Expectations Models under Misspecification (with H. Le Bihan) (2008), Journal of Econometrics, 143(2), 375–395 (Last Draft)
Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-country Heterogeneity (with J.-G. Sahuc) (2008), International Journal of Central Banking, 4(2), 23–72 (Last Draft)
Testing Heterogeneity within the Euro Area Using a Structural Multi-Country Model (with J.-G. Sahuc) (2008), Economics Letters, 99, 192–196 (Last Draft)
Optimal Portfolio Allocation Under Higher Moments (with M. Rockinger) (2006), European Financial Management, 12(1), 29–55 (Last Draft)
The Copula-GARCH Model of Conditional Dependencies: An International Stock Market Application (with M. Rockinger) (2006), Journal of International Money and Finance, 25, 827–853 (Last Draft)
Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US Data (with H. Le Bihan) (2005), Economic Modelling (Last Draft)
Assessing Generalized Method of Moments Estimates of the Federal Reserve Reaction Function (with C. Gallès and H. Le Bihan) (2004), Journal of Business and Economic Statistics (Last Draft)
Testing for Differences in the Tails of Stock-Market Returns (with M. Rockinger) (2003), Journal of Empirical Finance (Last Draft)
Conditional Volatility, Skewness, and Kurtosis: Existence, Persistence, and Comovements (with M. Rockinger) (2003), Journal of Economic Dynamics and Control (Last Draft)
User’s Guide (with M. Rockinger) (2003), Journal of Economic Dynamics and Control (Last Draft)
Entropy Densities with an Application to Autoregressive Conditional Skewness and Kurtosis (with M. Rockinger) (2002), Journal of Econometrics (Last Draft)
Gram-Charlier Densities (with M. Rockinger) (2001), Journal of Economic Dynamics and Control (Last Draft)
Reading PIBOR Futures Options Smiles: The 1997 French Snap Election (with S. Coutant and M. Rockinger) (2001), Journal of Banking and Finance (Last Draft)
Does Correlation Between Stock-Market Returns Really Increase During Turbulent Periods? (with F. Chesnay) (2001), Economic Notes (Last Draft)
Reading the Smile: The Message Conveyed by Methods Which Infer Risk Neutral Densities (with M. Rockinger) (2000), Journal of International Money and Finance (Last Draft)
The Expectations Hypothesis: Tests on US, German, French, and UK Euro-Rates (with R. Ricart) (1999), Journal of International Money and Finance (Last Draft)
Long-Run Causality, with an Application to International Links Between Long-Term Interest Rates (with C. Bruneau) (1999), Oxford Bulletin of Economics and Statistics (Last Draft)
Forecasting French and German Long-Term Rates Using a Rational Expectations Model (with F. Sédillot) (1999), Weltwirtschaftliches Archiv (Last Draft)
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Unpublished Working Papers
Aggregating Rational Expectations Models In the Presence of Unobserved Micro Heterogeneity (with F. Pelgrin) (2009)
Optimal Liquidation Strategies in Illiquid Markets (with A. Perilla and M. Rockinger) (2007)