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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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  • A short literature review on workplace discrimination
    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 ...
  • A unified framework for pricing credit and equity derivatives
    De Martino, Andrea; Ruiz Crosby, Edward Manuel; Stagni, Roberto (2017)
    This Master Project scrutinizes the underlying theoretical arguments within Bayraktar and Yang’s (2011) (4) model and tests if it is robust with newer 2017 data. We demonstrate all the related strong mathematical foundations ...
  • Anti-refugee sentiments, fake news, and voting outcomes : evidence from Germany
    Agus, Yusuf; Esguerra, Emilio; Nolen, Noble; Powell, Joshua; Quentel, Milan (2018)
    How do local populations respond to a large-scale influx of refugees? This paper studies the European refugee crisis and its effects on anti-refugee sentiments in Germany. To identify the causal effects of refugee presence, ...
  • Asymmetric effects of monetary policy in the euro area
    Antezza, Arianna; Abela, Glenn; Gorelova, Alissa; Meta, Gianmarco; Montebello, Roberta (2023-06)
    We study sign asymmetry in the effect of conventional monetary policy on key nominal and real macroeconomic variables in the euro area, using monthly data ranging from 2002 until 2022. We make use of local projections with ...
  • Banking liquidity and systemic risk under panel VAR approach
    Aguilar, Alicia; García, Alberto; González, Pablo; Tackett, Taylor (2017)
    Aquest article pretén analitzarempíricament com els canvis en el risc sistèmic, mesurats per l'indicador compost d'estrèssistèmic (en anglès, CISS), poden afectar la liquiditat bancària i el finançament. Ens centrem i ...
  • Does air pollution exacerbate Covid-19 symptoms? : evidence from France
    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 ...
  • Early warning signals of bank distress: machine learning techniques and shapley values analysis
    Grasso, Emmanuela; Fortugno, Filippo; Cheng, Long (2023-06-11)
    The banking sector plays a crucial role in the economy. Therefore, being able to anticipate banks’ financial distress is key to the overall economic stability. In this study, using a dataset for European and United Kingdom ...
  • Effects of syndication on investment performance
    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 ...
  • An empirical framework : financial globalization and threshold effects
    Flynn, Eimear; Saravia, Florencia; Cenzon, Josefina; Gupta, Nimisha; Tezel, Selena (2019)
    Is financial globalization beneficial to economies at all levels of development? Or are there certain “threshold” levels of financial, institutional and economic development a country must first attain in order to realize ...
  • Estimating causal effects in the absence of treatment observability
    Park, Joon Sup (2023-07-22)
    In this paper, I propose a novel method to estimate causal effects when the treatments are not observable. Treatment observability is not affordable in many instances of noncompliance settings, where the treatments actually ...
  • Estimating stochastic volatility: the rough side to equity returns
    Grimm, Lukas; Haynes, Jonathan; Schmitt, Daniel (2017)
    This Project evaluates the forecasting performance of a Brownian Semi-Stationary (BSS) process in modelling the volatility of 21 equity indices. We implement a sophisticated Hybrid Scheme to simulate BSS processes with ...
  • Estimating time-varying network effects with application to portfolio allocation
    Landau, Daniel; Ramos, Gabriel Lobato (2019)
    In this paper, we characterize a variety of financial markets as partially correlated networks of stock returns via the implementation of the joint sparse regression estimation techniques of Peng et al. (2009). We find ...
  • Forecasting redenomination risk: unleashing the superior predictor via machine learning
    Witzemann, Frederik; Arnorsson, Astthor (2023-06-11)
    We are the first to construct a general model for forecasting redenomination risk by using the difference in a country’s EUR-denominated CDS spreads compared to Germany. The goal of this work is to further close this gap ...
  • Gender differentials in returns to education in developing countries
    Barnardt, Ignatius; Jush, Golschan Khun; Wollesen, Thies; Hayden, Samuel; Sotosek, Eva (2017)
    We investigate a possible gender gap in returns to education using data from the World Bank’ STEP program for seven developing and emerging countries. We control for cognitive skills, non-cognitive skills and parental ...
  • Gender gap and retirement decisions: the maternity pension supplement in Spain
    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 ...
  • Gravity in bank lending within the European Union
    Gudmundsdottir, Saga; Helgason, Olafur Heidar; Leitner, Moritz; McDonnell, Clíona; Schramm, Alexander (2017)
    This paper investigates whether and how geographical distance matters for bank lending within and between countries in the European Union. We estimate gravity-type regressions in various specifications, incorporating ...
  • “Heavy is the head”: the effect of responsibility on delegation
    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 ...
  • Hull-White calibration for swaptions using neural networks
    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 ...
  • Identity crisis in ESG investing: the duplicitous effect on volatility
    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 ...
  • The impact of the sharing economy on housing rental prices : the case of Airbnb in Barcelona
    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 ...

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