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Browsing Master's Degree in Economics and Finance by Title

Browsing Master's Degree in Economics and Finance by Title

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  • Bogatyreva, Natalya S.; Grandez, Rodrigo; Rodríguez Apolinar, Sergio; Soldevilla, Abraham (2019)
    The Black and Scholes model (BS) assumes that the volatility of an asset is constant over the trading period. As a result, BS returns a flat volatility surface. This assumption fails to capture the asset’s volatility ...
  • Ito, Hirotaka; Özen, Kadir (2021-07)
    2008-2009 Global Financial Crisis led to European debt crisis leaving the periphery of euro zone with very high borrowing costs compared to core countries. When Covid-19 Pandemic Crisis hit the economies, unconventional ...
  • Ortiz de Zevallos, Alejandro (2021-06)
    IFRS 9, which changes the estimation of Loan Loss Provisions from an Incurred Loss model to an Expected Credit Loss model, entered into application in 2018. It changed the focus to a forward-looking perspective, which ...
  • Gutiérrez, Jordi; Kellner, Domenic; King, Philip; Neumeyer, Simon; Scibisz, Dorota (2018)
    We identify contemporaneous and Granger-causal linkages between the 86 biggest companies, representing both the financial and real sectors, of the Eurozone economy that serve as paths of shock transmission. Network analysis ...
  • García, Alejandro; Kelly, Thomas; Seguí, Joan (2020-07)
    Previous research has identified stealth trading by informed participants as a primary driver of price discovery in equity markets. Using two distinct empirical approaches, this paper extends the stealth trading literature ...
  • Aliyeva, Farida; Bertez, Conrad; Kaithakkel, Aswathi John; Mostacci, Maurizio; Özcan, Elif (2017)
    In the wake of the global financial crisis that began in 2007, central banks throughout the world engaged in unprecented amounts of monetary policy aimed at stimulating their respective economies. One frequent comment from ...
  • Barrera, Marc de la; Falath, Juraj; Henricot, Dorian; Vaglio, Jean-Alexandre (2017)
    This paper empirically investigates the impact of forward guidance announcements on inflation expectations in the Eurozone. The ECB first resorted to forward guidance on July 4, 2013 thereby expanding its array of ...
  • Carpentier, Sebastián; Carrera, Daniel; Miranda, Antonio; Requejo, Fernando; Rojano, Joan (2023-06)
    Using a fuzzy regression discontinuity design we estimate the effect of a country-wide free tuition policy on university enrollment and attrition in Chile. Exploiting an administrative dataset of the 2019 cohort of applicants ...
  • Lavagna, Gabriela; Patterson, Helena; Razmadze, Robizon (2021-07)
    We develop early warning models for systemic crises prediction using machine learning techniques on macrofinancial data for 36 countries for quarterly data spanning 1970-2013. Machine learning models outperform logistic ...
  • Amuchastegui, Pedro; Klink, Janick; Leister, Lukas; Nagarajan, Avinash; Talini Lapi, Riccardo (2023-06)
    This thesis explores the intersection of mental health and economics through a review of the literature on five key subtopics: economic fluctuations, inequality, lockdowns, narratives and social media. The empirical evidence ...
  • Khairani, Rina; Ruzzier, Gianmarco (2018)
    This paper simulates the value premium anomaly under neoclassical framework of investment adapted from Zhang (2005) calibrated with standard, high and low capital structure specifications and leverage settings. Our model ...
  • Bini, Lapo; Mueck, Daniel (2021-05-30)
    In order to analyse whether financial conditions are relevant downside risk predictors for the 5% Growth at Risk conditional quantile, we propose a Dynamic Factor- GARCH Model, comparing it to the two most relevant approaches ...

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