Publications associées à Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums

Publications associées (32)

Crypto market betas: the limits of predictability and hedging

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary lea ...

Springer Science and Business Media LLC2025

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Informs2024

Asset life, leverage, and debt maturity matching

Erwan Morellec

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Elsevier Science Sa2024

Can one hear the shape of a target zone?

Max-Olivier Hongler

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

2023

Circularity by stock in Sri Lanka: Economic necessity meets urban fabric renovation

Paolo Tombesi, Milinda Pathiraja

Persistent fiscal and political mismanagement, together with the financial pressures of the COVID-19 pandemic, have driven Sri Lanka into a social and economic crisis triggering a decrease in national foreign exchange reserves, an inability to purchase vit ...

FRONTIERS MEDIA SA2023

Essays in macro-finance and deep learning

Goutham Gopalakrishna

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

EPFL2023

Long-Distance Coherent Propagation of High-Velocity Antiferromagnetic Spin Waves

Jean-Philippe Ansermet, Haiming Yu

We report on coherent propagation of antiferromagnetic (AFM) spin waves over a long distance (similar to 10 mu m) at room temperature in a canted AFM alpha-Fe2O3 owing to the Dzyaloshinskii-Moriya interaction (DMI). Unprecedented high group velocities (up ...

AMER PHYSICAL SOC2023

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

Thermal Conditions in Indoor Environments: Exploring the Reasoning behind Standard-Based Recommendations

Dolaana Khovalyg, Sarah Wael Ahmed Crosby

Professionals in the building design and operation fields typically look at standards and guidelines as a reliable source of information and guidance with regard to procedural, contractual, and legal scope and requirements that are relevant to accountabili ...

2023

When do Minimax-fair Learning and Empirical Risk Minimization Coincide?

Volkan Cevher

Minimax-fair machine learning minimizes the error for the worst-off group. However, empirical evidence suggests that when sophisticated models are trained with standard empirical risk minimization (ERM), they often have the same performance on the worst-of ...

2023

Automated Design Appraisal: Estimating Real Estate Price Growth and Value at Risk Due to Local Development

Adam Robert Swietek

Financial criteria in architectural design evaluation are limited to cost performance. Here, I introduce a method – Automated Design Appraisal (ADA) – to predict the market price of a generated building design concept within a local urban context. Integrat ...

2023

Monetary Independence And Rollover Crises

Jorge Mondragon Minero

This article shows that the inability to use monetary policy for macroeconomic stabilization leaves a government more vulnerable to a rollover crisis. We study a sovereign default model with self-fulfilling rollover crises, foreign currency debt, and nomin ...

OXFORD UNIV PRESS INC2022

Are green bonds priced lower than their conventional peers?

Yue Wu

The green bond market's rapid growth has alerted issuers and investors to this sustainable area of investment. This study ascertains whether green bonds are priced lower than conventional bonds-whether a negative green bond premium exists in both Chinese a ...

ELSEVIER2022

Hot rocks: Constraining the thermal conditions of the Mistastin Lake impact melt deposits using zircon grain microstructures

Cyril Cayron

The production of superheated melt during hypervelocity impact events has been proposed to be a common occurrence on terrestrial planetary bodies. Recent direct evidence of superheated impact melt temperatures exceeding > 2370 degrees C from the Kamestasti ...

ELSEVIER2022

Predicting the stressed expected loss of large US banks

Amir Hossein Khalilzadeh Naghneh, Eric Jondeau

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

ELSEVIER2022

Selective area epitaxy of GaAs: the unintuitive role of feature size and pitch

Anna Fontcuberta i Morral, Martin George Friedl, Lucas Güniat, Didem Dede, Nicholas Paul Morgan, Valerio Piazza, Akshay Balgarkashi, Elif Nur Dayi

Selective area epitaxy (SAE) provides the path for scalable fabrication of semiconductor nanostructures in a device-compatible configuration. In the current paradigm, SAE is understood as localized epitaxy, and is modelled by combining planar and self-asse ...

IOP Publishing Ltd2022

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

EPFL2022

Financial Risk Management with Machine Learning

Marc-Aurèle Antoine Divernois

This thesis consists of three applications of machine learning techniques to risk management. The first chapter proposes a deep learning approach to estimate physical forward default intensities of companies. Default probabilities are computed using artifi ...

EPFL2022

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

EPFL2021