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Browsing Master's Degree in Economics and Finance by Issue Date

Browsing Master's Degree in Economics and Finance by Issue Date

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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 ...
  • Laudi, Mattia; Massoni, Hubert; Newland, James (2020)
    Exposure to air pollution is a common cause of health conditions which worsen Covid-19 patient outcomes. Using cross-sectional count data, we investigate the effect of long-term pollution exposure (PPPP2.5) on Covid-19 ...
  • Camilo, Amil; Gokalp, Doruk; Iurchenko, Daniil; Klix, Julian; Rubinoff, Jeremy (2020)
    Using firm-level data from Spain, we investigate robot abandonment, a phenomenon neglected by the literature, and find that a substantial proportion of robot adoption is non-permanent. We also find that (i) firms are most ...
  • Ozkaya, Guneykan; Wang, Yaping (2020)
    In this paper, we combine several Multi-Armed bandit algorithms with methodologies from finance literature and apply it to portfolio choice problem. Our results show that when we combine bandit algorithms with methodologies ...
  • Agustí, Marc; Ásmundsson, Magnús; Bischofberger, Christof; Llanos, Pablo de; Font, Albert; Kazarian, Lucía (2020)
    We offer a novel approach to investigate the extent to which the expansion of the sharing economy is responsible for increases in long-term rents and prices on the housing market. Using a panel of quarterly data on newly ...
  • 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 ...
  • Diken, Ozan; Henderson, Dominic (2020-07)
    In venture capital, two or more venture capitalists (VC) often form syndicates to participate in the same financing rounds. Historically, syndicated investments have been found to have a positive effect on the investment ...
  • 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 ...
  • 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 ...
  • 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 ...
  • 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 ...
  • Fernandez, Oscar; Fonseca, Sergio; Magnini, Gino; Marcelli Fabiani, Riccardo; Nobile, Claudia (2021-07-13)
    We construct a theoretical Overlapping Generations (OLG) model to describe how sovereign debt crises can propagate in the economy under certain financial constraints. When prices of bonds fall due to perceived sovereign ...
  • Casanova, Jorge Luis; Guias, Horia Bogdan; López, Carlos Javier; Salvanti, Andrea; Sewell, Patrick (2021-07-23)
    In line with the growing governmental efforts to reduce the gender income gap, in 2016 a retirement pension supplement for mothers of two or more children was introduced in Spain. Through an Oaxaca-Blinder decomposition ...
  • Lanjouw, Max; Lee, Yuan; Pallud, Vincent; Stern, Fritz; Ziegler, Christoph (2022)
    When deciding for themselves whether to keep or delegate a decision-making right, individuals often fail to delegate even when doing so would yield a higher expected return. However, beyond the individual decision-making ...
  • Bernius, Nikolaus; Brüster, Gabriel; Robertson, William; Stefko, Brenton-Jan; Steinwender, Christian (2022)
    Our study uses an arguably exogenous supply chain shock generated by the March 2021 blockage of the Suez Canal to analyze contributions to import price inflation and transport method substitution. Using a quasi-experimental ...
  • Alvarez Avamilano, Hugo; Sacchi Córdova, Riccardo; Señaris, Tomás (2022-06)
    The purpose of this project is to calibrate the Hull-White model using data on at-the-money payer swaptions and Artificial Neural Networks (ANN) for 100 different combinations of expiries (T0) and tenors (Tn – T0). The ...
  • Kek, Jolynn; Brown, Daniel (2022-06)
    This paper studies the impact of investing preference frictions between ESG and traditional investors on stock price volatility. As these shareholder groups embody heterogeneous preferences, the resulting between-group ...
  • Agarwal, Sunidhi; Ariznavarreta, Ignacio; Chamseddine, Nour; Gonçalves, Ricardo; Oliva, Ignacio (2022-07)
    The following paper examines the downgrading in job status that immigrant workers suffer when settling in a new country. We consider the massive Venezuelan exodus and the impacts this shock had on the job outcomes of ...
  • Cigna, Simone; Figueiras, Isabel; Giribaldi, Antonio; Schwingeler, Franziska (2022-07-22)
    This literature review focuses on the contribution of the heterogeneous agents framework to the empirical robustness of macroeconomic models. First, we focus on the transmission of monetary policy in an economy characterized ...
  • Grignani, Maddalena; Hsu, Wei-Liang; Liu, Jiaxun; Zherebilov, Georgii (2022-07-22)
    In this literature review, we focus on workplace discrimination with particular attention paid to the hiring process. We classified the hiring process into two stages: CV-screening and interview. Following the theoretical ...

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