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Sim Kee Boon Institute for Financial Economics

Research

Financial Innovation

Proceedings:

  1. Härdle WK, Lu HS, Shen CS (2018) Handbook of Big data Analytics,, Springer Verlag, ISBN 978-3-319-18284-1, DOI: 10.1007/978-3-319-18284-1
  2. Härdle WK, Chen CYH, Overbeck L (2017) Applied Quantitative Finance (3rd ed) Springer Verlag, ISBN 978-3-662-54485-3
  3. Härdle WK, Okhrin O, Okhrin Y (2017) Basic Elements of Computational Statistics Springer Verlag, ISBN 978-3-319-55335-1
  4. Franke J, Härdle WK, Hafner C (2016) ⾦金金融计量量：⾦金金融市场统计分析, 第四版. Chinese translation of Statistics of Financial Markets: an Introduction. Mechanical Industry Press. ISBN 9787111549383
  5. Van den Berg T, Bommes E, Härdle WK, Petukhina A (2016) Computing Machines. A book on the C.A.S.E. Computer Museum. License: CC BY-NC-SA 3.0, DOI: doi.org/10.20386/hub-43565
  6. Härdle WK, Klinke S, Rönz B (2015) Introduction to Statistics, Using Interactive MM*Stat Elements, Springer Verlag, Heidelberg, ISBN 978-3-319-17703-8 (hardcover), ISBN 978-3-319-17704-5 (ebook), DOI: 10.1007/978-3-319-17704-5

Working paper series:

  1. Fan, Y.,  Härdle, W., Wang. W. and Zhu. L. (2016) CoVaR with very high dimensional risk factors , Journal of Business & Economic Statistics, accepted 30.1.2016
  2. Härdle, W. K., Yu, L. and Wang, W. (2016) TENET - Tail Event driven NETwork risk. Journal of Econometrics, DOI: 10.1016/j.jeconom.2016.02.013
  3. Lee, David K.C. and Teo, Ernie G. S., Emergence of Fintech and the Lasic Principles (September 30, 2015). Available at SSRN: http://ssrn.com/abstract=2668049
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  4. Härdle, W., Lopez Cabrera, B., Okhrin, O. and Wang, W. (2013) Localising Temperature Risk, J. Amer Stat Assoc, SFB 649 DP 2011-001
  5. Dai, X., Härdle, W. and Yu, K. (2014)  Do Material Health Problems Influence Child’s Worrying Status? Evidence from British Cohort Study. SFB 649 DP 2014-021
  6. Härdle, W., Sirotko-Sibirska, N., and Wang, W. (2014) TENET - Tail Event driven NETwork risk,  J. Econometrics. SFB 649 DP 2014-066
  7. Chen, C.Y., Härdle, W. and Hien, P.T. (2014) The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends, J. Banking and Finance. SFB 649 DP 2014-039
  8. Härdle, W., Mihoci, A. and Ting, Ch.H.A. (2014) Adaptive Order Flow Forecasting with Multiplicative Error Models, Quantitative Finance, SFB 649 DP 2014-035
  9. Fang, L. and Härdle, W. (2015) Stochastic Population Analysis: A Functional Data Approach, Asian Demography, SFB 649 DP 2015-007
  10. Härdle, W., Yang, L. and Zheng, S. (2013) A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data, J. Amer Stat Assoc,  DOI: 10.1080/01621459.2013.763726
  11. Gu, L., Wang, L., Härdle, W. and Yang, L. (2014) A Simulation Confidence Corridor for Varying Coefficient Regression, TEST, DOI: 10.1007/s11749-014-0392-4
  12. Chen, S., Härdle, W. and Jeong, K. (2014) Recurrent Support Vector Regression for a Nonlinear ARMA Model with Applications to Forecasting Financial Returns, Computational Statistics
  13. Choros, B. Härdle, W. and Okhrin, O. (2015) A semiparametric factor model for CDO Surfaces Dynamics. J. Multivariate Analysis, submitted 14.1.2015, accepted 20150908
  14. Stahlschmidt, St., Eckardt, M. and Härdle, W. (2014) Expectile Treatment Effects: An efficient alternative to compute the distribution of treatment effects, Spatial Economic Analysis, Vol 2, 2, 160-180:
  15. Härdle, W. and Hlavka, Z. (2015) Multivariate Statistics: Exercises and Solutions (2nd ed) Springer Verlag, Heidelberg.ISBN 978-3-642-36004-6 (Print), ISBN 978-3-642-36005-3 (online)
  16. Härdle, W. and Simar, L. (2015) Applied Multivariate Statistical Analysis, 4th ed., Springer Verlag, Heidelberg, ISBN: 978-3-662-45170-0 (Print) 978-3-662-45171-7 (Online), DOI: 10.1007/978-3-662-45171-7
  17. Franke, J., Härdle, W. and Hafner, Ch. (2015) Statistics of Financial Markets: An Introduction. 4th Ed. Springer Verlag, Heidelberg. eBook ISBN 978-3-642-54539-9, Softcover ISBN 978-3-642-54538-2, DOI: 10.1007/978-3-642-54539-9
  18. "Electronic Contract Signing without Using Trusted Third Party" by Zhiguo Wan, Robert H. Deng and David Lee was submitted to NSS 2015 – 9th International Conference on Network and System Security
  19. “The Next Big Investment Idea: AliPay, Cryptocurrency, and Serving the Underserved 70%”
  20. Handbook of Digital Currency “Bitcoin, Innovation, Financial Instruments, and Big Data”, 1st Edition, David Lee Kuo Chuen, Elsevier, May 2015, ISBN-10: 0128021179
    1. Chapter 1 - Introduction to Bitcoin, Lam Pak Nian and David LEE Kuo Chuen
    2. Chapter 3 - Bitcoin Mining Technology, Nirupama Devi Bhaskar and David LEE Kuo Chuen
    3. Chapter 5 - Evaluating the Potential of Alternative Cryptocurrencies, Bobby Ong, Teik Ming Lee, Guo Li and David LEE Kuo Chuen
    4. Chapter 9 - Emergence, Growth, and Sustainability of Bitcoin: The Network Economics Perspective, Ernie G.S. Teo
    5. Chapter 16 - A Light Touch of Regulation for Virtual Currencies, Lam Pak Nian and David LEE Kuo Chuen
    6. Chapter 21 - Bitcoin-Like Protocols and Innovations, Ignacio Mas and David LEE Kuo Chuen
    7. Chapter 27 - Bitcoin IPO, ETF, and Crowdfunding, Nirupama Devi Bhaskar, Lam Pak Nian and David LEE Kuo Chuen
    8. Chapter 28 - Bitcoin Exchanges, Nirupama Devi Bhaskar and David LEE Kuo Chuen
  21. Zhiguo Wan, Robert H. Deng and David Lee Kuo Chuen, "Electronic Contract Signing without Using Trusted Third Party", Apr 2015
  22. Wolfgang Karl Härdle, “CRIX - a Crypto Currency Index”, Jul 2015
  23. Maria Grith and Ernie Teo, “Speculative Behaviour in Digital Currencies”, Jul 2015
  24. Teo, Ernie G. S., “Looking at the economics of decentralized digital currency systems”, Mar 2015
  25. Wolfgang Karl Härdle, David Lee Kuo Chuen, Sergey Nasekin, Xinwen Ni, Alla Petukhina, “Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets”, Mar 2015
  26. Teo, Ernie G. S., 2014, “A dynamic model of mining choice in Bitcoin and other cryptocurrencies”
  27. Wan Zhiguo, “Practically Fair Online Contract Signing Using Trustworthy Timestamping Services”, Feb 2015
  28. Gregoriou, Greg and David Lee (eds.). 2014. Handbook of Asian Finance: Financial Markets and Sovereign Wealth Funds. Amsterdam: Academic Press.
  29. Gregoriou, Greg and David Lee (eds.). 2014. Handbook of Asian Finance: REITs, Trading, and Fund Performance. Amsterdam: Academic Press.
  30. Zhiguo Wan, Robert Deng and David Lee, Electronic Contract Signing without Using Trusted Third Party, in Proc. of 9th International Conference on Network and System Security, 2015
  31. Zhiguo Wan, Robert Deng and David Lee, MicroBTC: Efficient, Flexible and Fair Micropayment for Bitcoin
  32. Zhiguo Wan, Robert Deng and David Lee, Things-Market: A Transaction Platform for Internet-of-Things
  33. Zhiguo Wan, Raymond Choo, Hiang Tiak Chan and David Lee, Cryptocurrency: A Technical Perspective
  34. Teo, Ernie G.S. and Low, Kelvin, 2015, “Bitcoins as property”
  35. Teo, Ernie G.S. and Low, Kelvin, 2015, “Bitcoins as property”, accepted to be presented at the 13th Australasian Property Law Teachers Conference 2016 to be held on 14-15 April 2016 and Association for Law, Property and Society Annual Meeting, 20-21 May 2016, Queen’s University, Belfast
  36. Denis Belomestny, Shujie Ma and Wolfgang Karl Härdle, 'Pricing Kernel Modeling'
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  37. Shiyi Chen and Wolfgang Karl Härdle, 'Dynamic Activity Analysis Model-based Win-win Development Forecasting Under Environment Regulations in China.' 
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  38. Shiyi Chen, Wolfgang Karl Härdle and Li Wang, 'Estimation and Determinants of Chinese Banks’ Total Factor Efficiency: A New Vision Based on Unbalanced Development of Chinese Banks and Their Overall Risk.'
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  39. Wolfgang Karl Härdle, Natalia Sirotko-Sibirskaya and Weining Wang, 'TENET: Tail-Event driven NETwork risk' 
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  40. Dedy Dwi Prastyo and Wolfgang Karl Härdle, 'Localising Forward Intensities for Multiperiod Corporate Default' 
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  41. Wolfgang Karl Härdle and Li-Shan Huang, 'Analysis of Deviance in Generalized Partial Linear Models'
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  42. Barbara Choroś-Tomczyk, Wolfgang Karl Härdle and Ostap Okhrin, 'CDO Surfaces Dynamics'
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  43. Wolfgang Karl Härdle and Dedy Dwi Prastyo, 'Default Risk Calculation based on Predictor Selection for the Southeast Asian Industry'
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  44. Ngoc Mai Tran, Maria Osipenko and Wolfgang Karl Härdle, 'Principal Component Analysis in an Asymmetric Norm'
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  45. Lijie Gu,Li Wang, Wolfgang Karl Härdle and Lijian Yang, 'A Simultaneous Confidence Corridor for Varying Coefficient Regression with Sparse Functional Data'
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  46. Qihua Wang, Tao Zhang and Wolfgang Karl Härdle, 'An Extended Single Index Model with Missing Response at Random'
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  47. Shuzhuan Zheng, Rong Liu, Lijian Yang and Wolfgang Karl Härdle, 'Simultaneous Confidence Corridors and Variable Selection for Generalized Additive Models'
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  48. Wolfgang Karl Härdle and Annette B. Vogt, 'Ladislaus von Bortkiewicz - statistician, economist, and a European intellectual'
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  49. Xianhua Dai, Wolfgang Karl Härdle and Keming Yu, 'Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study'
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  50. Shih-Kang Chao, Wolfgang Karl Härdle and Hien Pham-Thu, 'Credit Risk Calibration based on CDS Spreads'
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  51. Wolfgang Karl Härdle, Sergey Nasekin, David Lee Kuo Chuen and Phoon Kok Fai, 'TEDAS - Tail Event Driven ASset Allocation'
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  52. Maria Grith, Wolfgang Karl Härdle and Volker Krätschmer, 'Reference Dependent Preferences and the EPK Puzzle'
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Publications:

  1. Xu X, Mihoci A, Härdle, WK (2018) lCARE - localizing Conditional AutoRegressive Expectiles, 20180105 J Empirical Finance, accepted
  2. Chao SK, Härdle WK, Huang C (2018) Multivariate Factorisable Sparse Asymmetric Least Squares Regression. Comp Stat Data Analysis, https://doi.org/10.1016/j.csda.2017.12.001
  3. Härdle WK, Osipenko M (2017) Dynamic Valuation of Weather Derivatives under Default Risk, International Journal of Financial Studies, doi:10.3390/ijfs5040023
  4. Belomestny D, Härdle WK, Krymova E (2017) Sieve estimation of the minimal entropy martingale marginal density with application to pricing kernel estimation, International J of Theoretical and Applied Finance, DOI 10.1142/S0219024917500418
  5. Moro RA, Härdle WK, Schäfer D (2017) Company rating with support vector machines. Statistics&Risk modeling, Vol 34 Issue: 1-2 Pages: 55-67 DOI: https://doi.org/10.1515/strm-2012-1141
  6. Härdle WK, Huang LS (2017) Analysis of Deviance in Generalized Partial Linear Models. J Bus. Econ. Stat. DOI:http://dx.doi.org/10.1080/07350015.2017.1330693
  7. Härdle WK, Lee DK, Nasekin S, Petukhina A (2017) Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets, Journal of Asset Management, DOI10.1057/s41260-017-0060-9
  8. Guo MM, Härdle WK (2017) Adaptive Interest Rate Modeling, J. Forecasting, Volume 36, Issue 3, 241–256, DOI: 10.1002/for.2431
  9. Lu MJ, Chen CYH, Härdle WK (2016) Copula-Based Factor Model for Credit Risk Analysis. Review of Quantitative Finance and Accounting. DOI:10.1007/s11156-016-0613-x
  10. Härdle WK, Huang C (2016) Discussion on "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings" by Ehm, Gneiting, Jordan and Krüger. Journal of the Royal Statistical Society: Series B Statistical Methodology 78(3): 545, DOI: 10.1111/rssb.12154
  11. Burdejova P, Härdle WK, Kokoszka P, Xiong Q (2016) Change point and trend analyses of annual expectile curves of tropical storms, Journal of Econometrics and Statistics, http://dx.doi.org/10.1016/j.ecosta.2016.09.002
  12. Härdle WK, Lopez Cabrera B, Okhrin O, Wang, W. (2016) Localizing Temperature Risk. J Amer Stat Assoc, DOI: http://dx.doi.org/10.1080/01621459.2016.1180985
  13. Wang Q, Zhang T, Härdle WK (2016) An extended Single Index Model with Missing Response at Random, Scand. J Stat. DOI: 10.1111/sjos.12233
  14. Dai XH, Härdle WK, Yu KM (2016) Do Maternal Health Problems Influence Child's Worrying Status? Evidence from British Cohort Study. Journal of Applied Statistics 03/2016; DOI:http://dx.doi.org/10.1080/02664763.2016.1155203
  15. Fan Y, Härdle WK, Wang W Zhu L (2016) Single index based CoVaR with very high dimensional covariates, J. Business Econ. Statistics, DOI:10.1080/07350015.2016.1180990
  16. Härdle WK, Yu L, Wang W (2016) TENET - Tail Event driven NETwork risk. J Econometrics, 192, 2,499-513 DOI: 10.1016/j.jeconom.2016.02.013
  17. Härdle WK, Silyakova E (2016) Implied basket Correlation Dynamics, Statistics and Risk Modeling, DOI: 10.1515/strm-2014-1176
  18. Choros B, Härdle WK, Okhrin O (2016) A semi parametric factor model for CDO Surfaces Dynamics. J. Multivariate Analysis, 146, 151–163, doi:https://doi.org/10.1016/j.jmva.2015.09.002
  19. Grith M, Härdle WK, Krätschmer V (2016). Reference Dependent Preferences and the EPK Puzzle, Review of Finance, doi: https://doi.org/10.1093/rof/rfv062
  20. Zheng S, Liu R, Yang L, Härdle WK (2016) Statistical inference for generalized additive models: simultaneous confidence corridors and variable selection. TEST, 25, 4, p 607–626 DOI:10.1007/s11749-016-0480-8
  21. Zhang JZ, Härdle WK, Chen CYH, Bommes E (2016) Distillation of News Flow into Analysis of Stock Reactions, J. Business Econ. Statistics, Vol34, 4, 547-563, DOI:http://dx.doi.org/10.1080/07350015.2015.1110525
  22. Majer P, Mohr P, Heekeren H, Härdle WK (2016) Portfolio Decisions and Brain Reactions via the CEAD method. Psychometrika, 81, 3, 881–903, DOI 10.1007/s11336-015-9441-5
  23. Chen D, Chen S, Härdle WK (2015) The Influence of Oil Price Shocks on China’s Macroeconomy: A Perspective of International Trade. Journal of Governance and Regulation, 4, 1, 178-189
  24. Chao SK, Proksch K, Dette H, Härdle WK (2015) Confidence Corridors for Multivariate Generalized Quantile Regression J. Business Econ. Statistics, DOI:http://dx.doi.org/10.1080/07350015.2015.1054493
  25. Härdle WK, Lopez Cabrera B, Teng HW (2015) State Price Densities implied from Weather Derivatives, Insurance: Mathematics and Economics. http://dx.doi.org/10.1016/j.insmatheco.2015.05.001
  26. Chen CYH, Härdle W (2015) Common Factors in credit default swap markets, Computational Statistics, DOI: 10.1007/s00180-015-0578-6
  27. Stahlschmidt S, Härdle WK, Thome H (2015) An Application of Principal Component Analysis on Multivariate Time Stationary Spatio Temporal Data, Spatial Economic Analysis, Vol 2, 2,160-180:DOI: http://dx.doi.org/10.1080/17421772.2015.1023339
  28. Chen RB, Guo MH, Härdle WK, Huang SF (2015) COPICA - Independent Component Analysis Via Copula Techniques, Statistics and Computing, , 25:273-288 10.1007/s11222-013-9431-3
  29. Härdle WK, Ritov Y, Wang W (2015) Tie the straps: Uniform bootstrap confidence bands for bounded influence curve estimators. J. Multivariate Analysis, 134, 129-145, doi: https://doi.org/10.1016/j.jmva.2014.11.003
  30. Wang W, Okhrin O, Härdle WK (2015) Hidden Markov Structures for dynamic copulae, J Econometric Theory, DOI: https://doi.org/10.1017/S0266466614000607
  31. Härdle WK, Okhrin Y, Wang W (2015) Uniform confidence bands for pricing kernels, J. Financial Econometrics, 13 (2): 376-413, DOI: https://doi.org/10.1093/jjfinec/nbu002
  32. Alena van Bömmel, Song Song, Piotr Majer, Peter N. C. Mohr, Hauke R. Heekeren, Wolfgang K. Härdle, ‘ Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study’, Psychometricka, 2013, 10.1007/s11336-013-9352-2.
  33. Barbara Choroś-Tomczyk, Wolfgang Karl Härdle and Ostap Okhrina, ‘Valuation of collateralized debt obligations with hierarchical Archimedean copulae’, Journal of Empirical Finance, Volume 24, December 2013, Pages 42–62.
  34. Wolfgang Karl Härdle, Ostap Okhrin and Yarema Okhrin, ‘Dynamic structured copula models’, Statistics & Risk Modeling. Volume 30, Issue 4, Pages 361–388, ISSN (Online) 2196-7040, ISSN (Print) 2193-1402, DOI: 10.1524/strm.2013.2004, December 2013
  35. Barbara Choroś-Tomczyk, Wolfgang Karl Härdle & Ludger Overbeck (2013): Copula dynamics in CDOs, Quantitative Finance, DOI: 10.1080/14697688.2013.847280
  36. Mengmeng Guo, Lan Zhou, Jianhua Z. Huang, Wolfgang Karl Härdle, ‘Functional Data Analysis of Generalized Regression Quantiles’, Statistics and Computing, DOI 10.1007/s11222-013-9425-1
  37. Shuzhuan Zheng, Lijian Yang & Wolfgang K. Härdle (2014), ‘A Smooth Simultaneous Confidence Corridor for the Mean of Sparse Functional Data’, Journal of the American Statistical Association, 109:506, 661-673, DOI: 10.1080/01621459.2013.866899
  38. Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci, ‘Local Adaptive Multiplicative Error Models for High-Frequency Forecasts’, Journal of Applied Econometrics, DOI: 10.1002/jae.2376
  39. Toshio Honda and Wolfgang Karl Härdle, ‘Variable selection in Cox regression models with varying coefficients’, Journal of Statistical Planning and Inference, Volume 148, May 2014, Pages 67–81
  40. Härdle, W. and Wang, W. (2014) Principle Volatility Component Analysis (a Discussion). Journal of Business & Economic Statistics, accepted 21.02.2014, DOI:10.1080/07350015.2014.902236
  41. Ray-Bing Chen, Ying Chen and Wolfgang K. Härdle, ‘TVICA—Time varying independent component analysis and its application to financial data’, Computational Statistics & Data Analysis, Volume 74, June 2014, Pages 95–109
  42. Härdle, W. and D. Prastyo (2014), Embedded Predictor Selection for Default Risk Calculation: A South East Asian Industry Study, in: Handbook of Asian Finance Vol 1, Financial Markets and Sovereign Wealth Funds, Lee D. and Greg N. Gregoriou (eds), Elseveier / Academic Press, p 131-148
  43. Wolfgang K. Härdle & Piotr Majer (2014), ‘Yield Curve Modeling and Forecasting Using Semiparametric Factor Dynamics’, The European Journal of Finance, DOI: 10.1080/1351847X.2014.926281

Articles in Proceedings:

  1. Chen CYH, Härdle WKH (2017) Data Science and Digital Society. Proceedings of the 11th International Conference on Business Excellence, pp. 669 - 675, ISSN 2558-9652, DOI:10.1515/picbe-2017-0071
  2. Chen S, Chen CYH, Härdle WKH, Lee TM, Ong B (2017) A first econometric analysis of the CRIX family, in Handbook of Blockchain, Digital Finance and Inclusion, Vol 1, Cryptocurrency, FinTech, InsurTech, and Regulation, David LEE Kuo Chuen Robert Deng, eds. ISBN: 9780128104415, Academic Press, Elsevier
  3. Zbonakova L, Härdle WK, Wang W (2017) Time Varying Quantile Lasso. p 331-353, in Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag, DOI 10.1007/978-3-662-54486-0
  4. Linton M, Teo EGS, Bommes E, Chen CYH, Härdle WK (2017) Dynamic Topic Modelling for Cryptocurrency Community Forums. p 355-372, Applied Quantitative Finance (Härdle, Chen, Overbeck eds) Springer Verlag, DOI 10.1007/978-3-662-54486-0
  5. Härdle W K, Phoon KF, Lee D (2017) Credit Rating Score Analysis. p 223-244 Applied Quantitative Finance, (Härdle WK, Chen YH, Overbeck L eds), Springer Verlag, DOI 10.1007/978-3-662-54486-0
  6. Borke L, Härdle WK (2018) Q3-D3-LSA, Handbook of Big data Analytics, (Härdle, Lu, Shen eds), Springer Verlag, ISBN 978-3-319-18284-1, DOI: 10.1007/978-3-319-18284-1
  7. Zieba M, Härdle WK (2018) Beta-boosted ensemble for big credit scoring data. Handbook of Big Data Analytics (Härdle, Lu, Shen, eds), Springer Verlag, ISBN 978-3-319-18284-1
  8. Härdle WK, Huang C, Chao SK (2016) Factorisable Sparse Tail Event Curves with Expectiles. Oberwolfach Report No. 12/2016: New Developments in Functional and Highly Multivariate Statistical Methodology: 26-29, DOI: 10.4171/OWR/2016/12
  9. Härdle WK, Trimborn S (2015) CRIX or evaluating Blockchain based currencies. Oberwolfach Report No. 42/2015 „The Mathematics and Statistics of Quantitative Risk“ DOI: 10.4171/OWR/2015/42
  10. Chao SK, Härdle WK, Wang W (2015) Quantile Regression in Risk Calibration. in Handbook for Financial Econometrics and Statistics, Cheng-Few Lee, ed., Springer Verlag, DOI: 10.1007/978-1-4614-7750-1_54.
  11. Trück, S, Weron, R, Hӓrdle, W (2015) The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS, in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press.

Capital Markets

Working paper series:

  1. Benedict Koh, Francis Koh, David Lee Kuo Chuen, Lim Kian Guan, David Ng and Phoon Kok Fai, 'A Risk and Complexity Rating Framework for Investment Products'
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  2. “Cost Behavior and Stock Returns”, submitted to The Accounting Review
  3. “Forecasting Stock Returns in Good and Bad Times: The Role of Market States”, submitted to the 43rd Annual Meeting of the European Finance Association
  4. “Investor Sentiment purged: Behavioural or Rational?”, submitted to the 43rd Annual Meeting of the European Finance Association
  5. “Industry interdependencies and cross-industry return predictability” submitted to The Journal of Financial Economics
  6. “Is Media News Informative or Sentimental to Analysts”, submitted to the 43rd Annual Meeting of the European Finance Association; and the 2016 Financial Management Association annual meeting
  7. Bayesian machine learning and text-analysis dictionary
  8. “Market Sentiment and Paradigm Shifts in Equity Premium Forecasting”

Asset Management

Working paper series:

  1. “The effects of government ownership on REITs—Evidence from Singapore” by Li Qing and David Lee, Mar 2016
  2. “The firm value and cost of financing of Singapore Government-linked REITs” by Li Qing and David Lee, June 2015
  3. “Property Dispositions and REIT Credit Ratings” by Qing Li, Singapore Management University, Nov 2015
  4. “The value added of waterway upgrading projects on residential property value” by Walter Theseira
  5. “An auction model of learning, noisy bidders and constrained budget” by Ernie Teo
  6. Li Qing, Lee Nai Jia and Ong Seow Eng, “Public or Private? The Industrial Location Choice of Singapore SMEs”, May 2015.
  7. Li Qing, Lee Naijia and Ong Seow Eng, “Public or Private? The Industrial Location Choice of Singapore SMEs”, Jul 2015
  8. David Lee Kuo Chuen and Taojun Xie, “Evaluating Singapore’s housing policies: A bounds testing approach”, Jul 2015
  9. Philip Ji, Dongguk University and Ernie Teo, “Has Singapore experienced housing bubbles?”, Jul 2015
  10. Li Qing, “Property Dispositions and REIT Credit Ratings”, Jul 2015
  11. Jing Li and Ernie G. S. Teo, “Price Run-ups in Strategic Sequential Bidding for Government Land Auction Sales – Evidence from Singapore”, Jul 2015
  12. Hwee Kwan Chow and Taojun Xie, “Are house prices driven by capital inflows? Evidence from Singapore”, Journal of International Commerce, Economics and Policy. Volume 07, Issue 01, February 2016; DOI: 10.1142/S179399331650006X
  13. Xie Taojun, Joseph D. Alba and Donghyun Park, “Predictability of exchange rate with Taylor rule fundamentals: Evidence from inflation targeting developing countries. Emerging Markets Finance and Trade”, July 2015.
  14. Xie Taojun, Jingting Liu, Joseph D. Alba and Wai-Mun Chia, “FX interventions and wage inflation targeting in emerging market economies”. Submitted to Journal of Monetary Economics, February 2016.
  15. Li Qing and David Ling, “Dynamic Corporate Real Estate Holdings”, Mar 2016

Financial Econometrics Initiative

Working paper series:

  1. Matthew S. Yiu and Sahminan Sahminan, "Global Liquidity, Capital Inflows and House Prices in ASEAN Economies", Sept 2014 (CoFiE-WP-01-2014)
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  2. Yong Li, Tao Zeng, Jun Yu, "Robust Deviance Information Criterion for Latent Variable Models ", 2012 (CoFiE-WP-04-2012)
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  3. Matthew S. Yiu, Jun Yu, Lu Jin , "Detecting Bubbles in Hong Kong Residential Property Market ",May, 2012 (CoFiE-WP-03-2012)
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  4. Yiu-Kuen Tse,Thomas Tao Yang, "Estimation of High-Frequency Volatility: An autoregressive Conditional Duration Approach", April, 2012 (CoFiE-WP-02-2012)
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  5. Shouwei Liu, Yiu-Kuen Tse, "Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods", Feburary, 2012 (CoFiE-WP-01-2012)
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  6. Andras Fulop, Junye Li, Jun Yu, "Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility ", December , 2011 (CoFiE-WP-10-2011)
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  7. Peter C.B. Phillips, Shu-Ping Shi, Jun Yu, "Specification Sensitivity in Right -Tailed Unit Root Testing for Explosive Behavior ", November 23, 2011 (CoFiE-WP-09-2011)
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  8. Xiaohu Wang,Jun Yu, "Double Asymptotics for an Explosive Continuous Time Model", November 18, 2011 (CoFiE-WP-08-2011)
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  9. Ye Chen, Jun Yu, "Optimal Jackknife for Discrete Time and Continuous Time Unit Root ", Septemeber 27, 2011 (CoFiE-WP-07-2011)
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  10. Yonghui Zhang,Liangjun Su, Peter C.B. Phillips, "Testing for Common Trends in Semiparametric Panel Data Models with Fixed Effects", Septemeber 22, 2011 (CoFiE-WP-06-2011)
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  11. Daniel Preve, Yiu Kuen Tse, "Estimation of Time varying APIN and PSOS using high-frequency transaction data", August 26, 2011 (CoFiE-WP-05-2011)
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  12. Tore Selland Kleppe, Jun Yu, Hans J. Skaug, "Simulated Maximum Likelihood Estimation for Latent Diffusion Models", July 23, 2011(CoFiE-WP-04-2011)
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  13. Peter C.B. Phillips, Shu-Ping Shi, Jun Yu, "Testing for Multiple Bubbles ", May 4, 2011(CoFiE-WP-03-2011)
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  14. Christopher J. Neely, David E. Rapach, Jun Tu, Guofu Zhou, "Forecasting the Equity Risk Premium: The Role of Technical Indicators", April 26,, 2011(CoFiE-WP-02-2011)
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  15. Shu-Ping Shi, Jun Yu, "Specification Sensitivities in Right-Tailed Unit Root Testing for Financial Bubbles ", January 17, 2011(CoFiE-WP-01-2011)
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  16. Yiu-Kuen Tse, Tao Yang, "Estimation of High-Frequency Volatility: An Autoregressive Conditional Duration Approach", May 2010 (CoFiE-WP-16-2011)
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  17. Daniel Preve, Marcelo C. Medeiros, "Linear Programming-Based Estimators in Simple Linear Regression", 2010 (CoFiE-WP-15-2010)
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  18. Su.L. and Y. Zhang, "Testing Cross-Sectional Dependence in Nonparametric Panel Date Models", October 2010 (CoFiE-WP-14-2010)
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  19. Su, L. and M. Spindler, "Nonparametric Testing for Asymmmetric Information", August 2010 (CoFiE-WP-13-2010)
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  20. Su, L., Hoderlein, S., and H. White, " Testing Monotonicity in Unobservables with Panel Data ", June 2010 (CoFiE-WP-12-2010)
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  21. Yong Li, Jun Yu, 'Bayesian Hypothesis Testing in Latent Variable Models', October 17, 2010 (CoFiE-WP-11-2010)
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  22. Philliips P.C.B., Jun Yu, 'A Conversation with Eric Ghysels co-President of the Society for Financial Econometrics',October 2, 2010 (CoFiE-WP-10-2010)
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  23. Peter C.B. Phillips, Jun Yu, 'Corrigendum to "A Gaussian Approach for Continuous Time Models of the Short Term Interest Rate" ',July 22 , 2010 (CoFiE-WP-09-2010)
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  24. Jun Yu, 'Measurement and High Finance', (CoFiE-WP-08-2010)
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  25. Jun Yu, 'Simulation-based Estimation Methods for Financial Time Series Models', (CoFiE-WP-07-2010)
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  26. Xiaohu Wang, Peter C.B. Phillips, Jun Yu , 'Bias in Estimating Multivariate and Univariate Diffusions', September 15, 2010 (CoFiE-WP-06-2010)
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  27. Tore Selland Kleppe, Jun Yu, Hans J. Skang, 'Estimating the GARCH Diffusion: Simulated Maximum Likelihood in Continuous Time', January 5, 2010 (CoFiE-WP-05-2010)
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  28. Philliips, P.C.B., Liangjun Su, 'Nonparametric Regression under Location Shifts', May 11, 2010 (CoFiE-WP-04-2010)
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  29. Phillips, P.C.B., Tassos Magdalinos, 'Inconsistent VAR Regression with Common Explosive Roots', January 28, 2010 (CoFiE-WP-03-2010)
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  30. Qiankun Zhou, Yu., J., 'Asympotic Distributions of the Least Square Estimator for Diffusion Processes', January 21, 2010 (CoFiE-WP-02-2010)
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  31. Yong Li, Jun Yu, 'A New Bayesian Unit Root Test in Stochastic Volatility Models', January 10, 2010 (CoFiE-WP-01-2010)
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  32. Jacques Olivier, Anthony Tay, 'Time-Varying Incentives in the Mutual Fund Industry', November 2009 (CoFiE-WP-10-2009)
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  33. Tore Selland Kleppe, Yu, J., Hans J. Skaug, 'Simulated Maximum Likelihood Estomation of Continuous Time Stochastic Volatility Models', June 30, 2009 (CoFiE-WP-09-2009)
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  34. Phillips, P.C.B., Yu, J., 'Maximum Likehood and Gaussian Estimation of Contingent-claims Prices', May 11, 2009. (CoFiE-WP-08-2009)
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  35. Phillips, P.C.B., Yu, J., 'Dating the Timeline of Financial Bubbles during the Subprime Crisis', April 28, 2009. (CoFiE-WP-07-2009)
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  36. Phillips, P.C.B., Tassos Magdalinos, 'Econometric Inference in the Vicinity of Unity', April 17,2009 (CoFiE-WP-06-2009)
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  37. Phillips, P.C.B., Yu, J., 'Limit Theory for Dating the Origination and Collapse of Mildly Explosive Periods of Time Series Date', April 11,2009 (CoFiE-WP-05-2009)
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  38. Yu, J., 'Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results', April 1, 2009. (CoFiE-WP-04-2009)
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  39. Phillips, P.C.B., Chirok Han, Jin Seo Cho, 'Infinite Density at the Median and the Typical Shape Return Distributions', April, 2009 (CoFiE-WP-03-2009)
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  40. Phillips, P.C.B., Chirok Han, Jin Seo Cho, 'LAD Asymptotics under Conditional Heteroskedasticity with Possibly Infinite Error Densities', April, 2009 (CoFiE-WP-02-2009)
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  41. Ioannis Kasparis, Phillips, P.C.B., 'Dynamic Misspecification in Nonparametric Cointegrating Regression', March 2009. (CoFiE-WP-01-2009)
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  42. Huang, S., Yu, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises', September 15, 2008. (CoFiE-WP-07-2008)
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  43. Yu, J., ‘Biases in the Estimation of Mean Reversion Parameter in a Simple Continuous Time Model', September 17, 2008. (CoFiE-WP-06-2008)
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  44. Phillips, P.C.B., Yu, J., ‘Simulation-based Estimation of Contingent-claims Prices', August 20, 2008. (CoFiE-WP-05-2008)
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  45. Yu, J., ‘A Semiparametric Stochastic Volatility Model', July 31, 2008. (CoFiE-WP-04-2008)
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  46. Phillips, P.C.B., Wu, Y., and Yu, J., ‘Explosive Behavior and the Nasdaq Bubble in the 1990s: When Does Irrational Exuberance Have Escalated Asset Values?', (CoFiE-WP-03-2008)
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  47. Mariano, R.S, D. Preve, 'Statistical Tests for Multiple Forecast Comparison', July 2008. (CoFiE-WP-02-2008)
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  48. Phillips, P.C.B., Yu, J., ‘Information Loss in Volatility Measurement with Flat Price Trading', May 30, 2008. (CoFiE-WP-01-2008)
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  49. Eriksson, A., Preve, D., Yu, J., ‘Forecasting Realized Volatility Using a Nonnegative Semiparametric Model', December 27, 2007. (CoFiE-WP-02-2007)
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  50. Skaug, H. and Yu, J., ‘Automatic Likelihood Based Inference for Stochastic Volatility', November 28, 2007. (CoFiE-WP-01-2007)
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Publications:

  1. Li, Y. and Yu, J., ‘ Bayesian Hypothesis Testing in Latent Variable Models’, Journal of Econometrics , 2012, 166, 237-246.
  2. Phillips, P.C.B. and Yu, J., ‘Dating the Timeline of Financial Bubbles during the Subprime Crisis’, Quantitative Economics, 2011, 2, 455-491.
  3. Jun Tu and Guofu Zhou, "Incorporating Economic Objectives into Bayesian Portfolio Choice Under Parameter Uncertainty", 08/2010, Journal of Financial and Quantitative Analysis, 45 (4), 959-986.
  4. Su. L. and Jin, S., "Sieve Estimation of Panel Data Models with Cross Section Dependence", forthcoming in Journal of Econometrics, 2010
  5. Long, X., L.Su, and A. Illah, "Estimation of Dynamic Conditional Covariance: A Semiparametric Multivariate Model", Journal of Business Economics & Statistics 29, 2011,109-125
  6. Mishra, S., L. Su, and A. Ullah, 2010, "Semiparametric Estimator of Time Series Conditional Variance", Journal of Business Economics & Statistics 28, 2010, 256-274
  7. Su, L. and h. White, "Testing Structural Change in Partially Linear Models", Econometric Theory 26, 2010, 1761-1806
  8. Phillips, P.C.B, "Bootstrapping I(1) Data", Journal of Econometrics, October 2010, 158(2):280-284
  9. Phillips, P.C.B, Tassos Magdalinos and Liudas Giraitis, "Smoothing Local-to-Moderate Unit Root Theory", Journal of Econometrics, Octoer 2010, 158(2):274-279
  10. Phillips, P.C.B, Christian Gourieroux and Jun Yu, "Indirect Inference for Dynamic Panel Models", Journal of Econometrics, July 2010, 157:68-77
  11. Phillips, P.C.B, "Two New Zealand Pioneer Econometricians", New Zealand Economic Papers, April 2010, 44 (1): 1-26
  12. Shirley J. Huang and Jun Yu, “An efficient method for maximum likelihood estimation of a stochastic volatility model”, Statistics and Its Interface, vol 1 (2008) 289-296
  13. Liangjun Su and Aman Ullah, “Testing Conditional Uncorrelatedness”, Journal of Business and Economic Statistics, Jan 2009, Vol 27, No. 1, 18-29.
  14. Phillips, P.C.B., Yu, J., ‘Simulation-based Estimation of Contingent-claims Prices', Review of Financial Studies , 2009, 22, 3669-3705
  15. Phillips, P.C.B. and Yu, J., ‘A Two-Stage Realized Volatility Approach to Estimation of Diffusion Processes with Discrete Data', Journal of Econometrics, 2009, 150, 139-150
  16. Gourieroux, C., Phillips, P.C.B., Yu, J., ‘Indirect Inference for Dynamic Panel Models', Journal of Econometrics, 157 (2010) 68-77.
  17. Kleppe, T.S., Yu, J., Skaug, H., ‘Simulated Maximum Likelihood Estimation of Continuous Time Stochastic Volatility Models', Advances in Econometrics, forthcoming.
  18. Huang, S., Yu, J., ‘Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises', Journal of Economic Dynamics and Control, forthcoming.
  19. Phillips, P.C.B., T. Magdalinos “Unit Root and Cointegrating Limit Theory when Initialization is in the Infinite Past”, Econometric Theory , forthcoming
  20. Wang, Q., P. C. B. Phillips “Structural Nonparametric Cointegrating Regression”, Econometrica forthcoming
  21. Seung Hyun (Luke) Hong, Phillips, P.C.B., “Testing Linearity in Cointegrating Relations with an Application to PPP”, Journal of Business and Economic Statistics, forthcoming
  22. Jin Seo Cho, Chirok Han, Phillips, P.C.B., “LAD Asymptotics under Conditional heteroskedasticity with Possibly Infinite Error Densities”, Econometric Theory, forthcoming
  23. Carlo V. Fiorio, V.Hajivassiliou, Phillips, P.C.B., “ Bimodal t-ratios: The Impact of Thick Tails on Inference”, Econometrics Journal, forthcoming
  24. Han, C., J-S Cho and P. C. B. Phillips “Infinite Density at the Median and Typical Shape of Stock Return Distributions”, Journal of Business and Economic Statistics, 2010 forthcoming

Silver Security Initiative

Working paper series:

  1. “Implications of the Financial Crisis for Long Run Retirement Security”, by Olivia S. Mitchell (WP2010-02)
  2. “Fees, Framing, and Financial Literacy in the Choice of Pension Manager”, Justine Hastings, by Olivia S. Mitchell and Eric Chyn, (WP2010-09)
  3. “Longevity Risk Management in Singapore's National Pension System”, by Benedict S. Koh, Olivia S. Mitchell and Joelle HY.. Fong,
  4. “Collective Investments for Pension Saving: Lessons from Singapore's Central Provident Fund Scheme”, by Benedict S. Koh, Olivia S. Mitchell and Joelle HY.. Fong, October 8,2009
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  5. "Longevity Risk and Annuities in Singapore”, by Joelle H.Y. Fong,Olivia S.Mitchell, and Benedict S.Koh.
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  6. “Financial Literacy among the Young: Evidence and Implications for Consumer Policy”, Annamaria Lusardi, by Olivia S. Mitchell and Vilsa Curto (WP2009-09)
  7. “The Evolution of Retirement Risk Management”, Robert L.Clark and Olivia S. Mitchell (WP2009-12)
  8. “Financial Literacy and Financial Sophistication Among Older Americans”, Annamaria Lusardi,Olivia S. Mitchell and Vilsa Curto(WP2009-25)

Publications:

  1. Olivia S. Mitchell and Kent Smetters, 'The Market for Retirement Financial Advice: An Introduction', Chapter 1 in The Market for Retirement Financial Advice, October 2013 (forthcoming), Oxford University Press
  2. Rhema Vaithianathan, Tim Maloney, Emily Putnam-Hornstein and Nan Jiang, 'Using Predictive Modelling to Identify Children in the Public Benefit System at High Risk of Substantiated Maltreatment', American Journal of Preventive Medicine, September 2013, Vol 45, No 3, p354-359
  3. Geraint Lewis, Heather Kirkham, Ian Duncan and Rhema Vaithianathan, 'How Health Systems Could Avert ‘Triple Fail’ Events That Are Harmful, Costly And Result In Poor Patient Satisfaction', Health Affairs, April 2013, Vol 32, No 4, p669-676
  4. Sojung Carol Park, and Jean Lemaire, 'The Impact of Culture on the Demand for Non-Life Insurance', ASTIN Bulletin, 2012, Vol 42, Issue 2, p501-527
  5. Ning Tang, Olivia S. Mitchell and Stephen P. Utkus, 'Trading in 401(k) Plans during the Financial Crisis', Chapter 6 in Reshaping Retirement Security: Lessons from the Global Financial Crisis, September 2012, Oxford University Press
  6. M. Claire Dale, Fiona Feng and Rhema Vaithianathan, 'Microfinance in developed economies: A case study of the NILS programme in Australia and New Zealand', New Zealand Economic Papers, May 2012, Vol 46, Issue 6, p303-313
  7. Clair Mills, Papaarangi Reid and Rhema Vaithianathan, 'The Cost of Child Health Inequalities in Aotearoa New Zealand: A Preliminary Scoping Study', BMC Public Health, May 2012, Vol 12
  8. Alexandra Gilbert, Peter Hockey, Rhema Vaithianathan, Nick Curzen and Peter Lees, 'Perceptions of Junior Doctors in the NHS about their Training: Results of a Regional Questionnaire', BMJ: Safety and Quality, March 2012, Vol 21, Issue 3, p234-238
  9. Olivia S. Mitchell and Stephen P. Utkus, 'Target-Date Funds in 401(k) Retirement Plans',  NBER Working Paper No. 17911, March 2012
  10. Annamaria Lusardi, Olivia S. Mitchell, and Vilsa Curto, 'Financial Sophistication in the Older Population', NBER Working Paper No. 17863, February 2012
  11. Tue Gørgens, Xin Meng and Rhema Vaithianathan, 'Stunting and Selection Effects of Famine: A Case Study of the Great Chinese Famine', Journal of Development Economics, January 2012, Vol 97, Issue 1, p99-111
  12. Joelle H.Y. Fong, Olivia S. Mitchell, and Benedict S. K. Koh, 'Longevity Risk Management in Singapore's National Pension System', Journal of Risk and Insurance, December 2011, Vol 78, No. 4, p961-981
  13. Justine Hastings, Olivia S. Mitchell, and Eric Chyn, 'Fees, Framing, and Financial Literacy in the Choice of Pension Manager', Chapter 6 in Financial Literacy: Implications for Retirement Security and the Financial Marketplace, November 2011, Oxford University Press
  14. Annamaria Lusardi and Olivia S. Mitchell, 'Financial Literacy and Planning: Implications for Retirement Wellbeing', Chapter 2 in Financial Literacy: Implications for Retirement Security and the Financial Marketplace, November 2011, Oxford University Press
  15. Annamaria Lusardi and Olivia S. Mitchell, 'The Outlook for Financial Literacy', Chapter 1 in Financial Literacy: Implications for Retirement Security and the Financial Marketplace, November 2011, Oxford University Press
  16. Jingjing Chai, Wolfram Horneff, Raimond Maurer, and Olivia S. Mitchell, 'Optimal Portfolio Choice over the Life Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts', Review of Finance, October 2011, Vol 15, Issue 4, p875-9097
  17. Sojung Park and Jean Lemaire, 'Culture Matters: Long-Term Orientation and the Demand for Life Insurance', Asia-Pacific Journal of Risk and Insurance, July 2011, Vol 5, Issue 2, p1-23
  18. Jingjing Chai, Raimond Maurer, Olivia S. Mitchell, and Ralph Rogalla, 'Lifecycle Impacts of the Financial and Economic Crisis on Household Optimal Consumption, Portfolio Choice, and Labor Supply', NBER Working Paper No. 17134, June 2011
  19. Jose Ruiz and Olivia S. Mitchell, 'Pension Payouts in Chile: Past, Present, and Future Prospects', Chapter 7 in Securing Lifelong Retirement Income, June 2011, Oxford University Press
  20. Olivia S. Mitchell and John Piggott, 'Turning Wealth into Lifetime Income: The Challenge Ahead', Chapter 1 in Securing Lifelong Retirement Income, June 2011, Oxford University Press
  21. Jeffrey R. Brown, Arie Kapteyn, and Olivia S. Mitchell, 'Framing Effects and Expected Social Security Claiming Behavior', NBER Working Paper No. 17018, May 2011
  22. Jere R. Behrman, Maria Cecilia Calderon, Olivia S. Mitchell, Javiera Vasquez, and David Bravo, 'First-Round Impacts of the 2008 Chilean Pension System Reform', PARC Working Paper WPS 11-01, February 2011
  23. Sojung Park, Jean Lemaire and Choong Tze Chua, 'Is the Design of Bonus-Malus Systems Influenced by Insurance Maturity or National Culture – Evidence from Asia', Geneva Papers on Risk and Insurance: Issues and Practice, December 2010, Vol 35 (S1), pS7-S27
  24. Ning Tang, Olivia S. Mitchell, Gary Mottola, and Steve Utkus, 'The Efficiency of Sponsor and Participant Portfolio Choices in 401(k) Plans', Journal of Public Economics, December 2010, Volume 94, Issues 11–12, p1073–1085
  25. Mathew Greenwald, Arie Kapteyn, Olivia S. Mitchell, and Lisa Schneider, 'How Much Do People Know About Social Security?', Insight November 2010 Issue 2
  26. Benedict S. K. Koh and Olivia S. Mitchell, 'What’s on the Menu? Included versus Excluded Investment Funds for Singapore’s Central Provident Fund Investors', Pensions : An International Journal, Novemeber 2010, Vol 15, Issue 4, p276-286
  27. Timothy Lu, Olivia S. Mitchell, and Stephen P. Utkus, 'An Empirical Analysis of 401(k) Loan Defaults', Financial Literacy Center Working Paper WR-799-SSA, October 2010
  28. Jere R. Behrman, Olivia S. Mitchell, Cindy Soo, and David Bravo, 'Financial Literacy, Schooling, and Wealth Accumulation', NBER Working Paper No. 16452, October 2010
  29. Joelle H.Y. Fong, Olivia S. Mitchell, and Benedict S. K. Koh, 'Longevity Risk and Annuities in Singapore', Chapter 9 in Reorienting Retirement Risk Management, September 2010, Oxford University Press
  30. Raimond Maurer, Olivia S. Mitchell, and Ralph Rogalla, 'The Effect of Uncertain Labor Income and Social Security on Life-cycle Portfolios', Chapter 6 in Reorienting Retirement Risk Management, September 2010, Oxford University Press
  31. Robert L. Clark and Olivia S. Mitchell, 'The Evolution of Retirement Risk Management', Chapter 1 in Reorienting Retirement Risk Management, September 2010, Oxford University Press
  32. Joelle H.Y. Fong, Olivia S. Mitchell, and Benedict S. K. Koh, 'Comparing Annuity Values in compulsory and voluntary markets: The Case of Mandatory Annuitization under Singapore’s Central Provident Fund Scheme', Pension Research Council Working Paper WP2010-10,  July 2010
  33. Lusardi, Annamaria, Olivia S. Mitchell and Vilsa Curto, 'Financial Literacy among the Young: Evidence and Implications for Consumer Policy', Journal of Consumer Affairs, Summer 2010, Vol 44, Issue 2, p358-380
  34. Benedict S.K.Koh, Olivia S. Mitchell and Joelle Fong, 'Collective Investments for Pension Savings: Lessons from Singapore's Central Provident Fund Scheme', Pensions: An International Journal, May 2010, Vol 15, Issue 2, p100-110
  35. Horneff, W., J Maurer, Olivia Mitchell, and M. Stamos, 'Variable Payout Annuities and Dynamic Portfolio Choice in Retirement', Journal of Pension Economics and Finance, April 2010, Vol 9, Issue 2, p163-183
  36. Olivia S. Mitchell, 'Retirement Risk Management in Times of Turmoil', The Elder Law Journal, 2010, Vol 17, Number 2, p439-460
  37. Olivia S. Mitchell, 'Implications of the Financial Crisis for Long Run Retirement Security', Insurance and Risk Management Working Paper WP2010-03, January 2010
  38. Olivia S. Mitchell and John A. Turner, 'Labor Market Uncertainty and Pension System Performance', Chapter 5 in Evaluating the Financial Performance of Pension Funds, January 2010, World Bank Publications
  39. Annamaria Lusardi, Olivia S. Mitchell and Vilsa Curto, 'Financial Literacy and Financial Sophistication Among Older Americans', NBER Working Paper No. 15469, November 2009
  40. Olivia S. Mitchell, Gary R. Mottola, Stephen P. Utkus and Takeshi Yamaguchi, 'Default, Framing and Spillover Effects: The Case of Lifecycle Funds in 401(k) Plans', NBER Working Paper No. 15108, June 2009
  41. Koh, B., O. Mitchell and J. Fong, 'Cost Structures in Defined Contribution Systems: The Case of Singapore's Central Provident Fund', Pensions: An International Journal, 2008, Vol 13, Issue 1-2, p7-14
  42. Koh, B., O. Mitchell, T. Tanuwidjaja and J.Fong, 'Investment patterns in Singapore's Central Provident Fund System', Journal of Pension Economics and Finance, 2008, Vol 7, Issue 1, p37-65

Asset Securitisation Initiative

Working paper series:

  1. Man Cho, Kyung-Hwan Kim, Susan M. Wachter," Interest Rates, User Cost of Capital, and Housing Price Dynamics",
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  2. Chaitra H. Nagaraja, Lawrence D.Brown, Susan M. Wachter, "House Price Index Methodology", 2011
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  3. Bradford Case, Andrey Pavlov and Susan Wachter “Diversification Benefits of REITS: International Evidence”, September 2008
  4. Richard Green, Roberto Mariano, Andrey Pavlov, Susan Wachter, "Misaligned Incentives and Mortgage Lending in Asia'', November 2008.
  5. Phang Sock Yong, Kyung Hwan Kim and Susan Wachter, “Land Use Regulations as a Two-Edged Sword: An International Comparison of Housing Supply Regimes” Allied Social Science Association Meetings, San Francisco, January, 2009
  6. Adam J. Levitin, Andrey D. Pavlov and Susan M. Wachter, “Securitization: Cause or Remedy of the Financial Crisis”, August 2009
  7. Susan Wachter and Andrey Pavlov, “REITs and Underlying Real Estate Markets: Is There a Link?”, March, 2010
  8. Phang Sock Yong, “Affordable homeownership policy: implications for housing markets and housing elasticities”, paper presented at the European Real Estate Society Conference, Stockholm, June 2009
  9. Roberto S. Mariano and Daniel Preve, “Model-Free Tests for Multiple Forecast Comparison”, September 2009
  10. Kim Kyung-Hwan, Man Cho, “Mortgage Market in Korea: Current State and Challenges Ahead'', International Encyclopedia of Housing and Home, Elsevier, forthcoming 2010
  11. Kim Kyung-Hwan, Man Cho, “Housing Price Dynamics'', 2010
  12. Kim Kyung-Hwan, “Green Belts and Housing Supply'', 2010
  13. Phang Sock Yong, Kim Kyung-Hwan, Susan Wachter, “Supply Elasticity of Housing”, June 2010

Publications:

  1. Adam J. Levitin, Susan M. Wachter, "Information Failure and the U.S. Mortgage Crisis", In The American Mortgage System: Rethink and Reform, Susan Wachter and Marty Smith, eds., Unviersity of Pennsylvania Press, Forthcoming, Spring 2011
  2. Andrey Pavlov, Susan M. Wachter, "Subprime Lending and Real Estate Prices", Real Estate Economics, Vol.39, 2010
  3. Green, R., R.S. Mariano, A. Pavlov, S. Wachter, "Misaligned Incentives and Mortgage Lending in Asia", Chapter 3 in Financial Sector Development in the Pacific Rim – NBER-EASE Vol 18, pp. 95 -111 (T. Ito and A. K. Rose, eds) – University of Chicago Press, 2009
  4. Kim Kyung-Hwan, Man Cho, “Three Pillars of Mortgage Credit Risk Management: A Framework and the Korean Case'', Housing Finance International, December, 2009
  5. Susan M. Wachter, Adam J. Levitin, Andrey D. Pavlov, “Bad and Good Securitization”, Wharton Real Estate Review, Volume XIII, 2009
  6. Roberto S. Mariano and Murasawa, Y., “A Coincident Index, Common Factors, and Monthly Real GDP”, Oxford Bulletin of Economics and Statistics, forthcoming
  7. Kyung-Hwan Kim, “Housing Finance and Urban Finance”, in Global Urbanization in the 21 st Century, edited by Eugene Birch and Susan Wachter, The University of Pennsylvania Press, forthcoming
  8. Kim Kyung-Hwan, Man Cho, “Mortgage Market in Korea: Current State and Challenges Ahead", International Encyclopedia of Housing and Home, Elsevier, forthcoming 2010

Corporate and Investor Responsibility Initiative

Working paper series:

  1. "The Case of Seasoned Equity Offerings" , by Jeremy C Goh, Sai Pang (Justin) Chan, Gary Caton, Sheng-Yung Yany, Dec 2008
  2. Chiraphol New Chiyachantana, Gary Caton, Choong Tze Chua, Choo Yong, Jeremy Goh , "Earnings Management Surrounding Seasoned Bond Offerings: Do Managers Fool Rating Agencies and the Bond Market?" , Apr 2009
  3. Goh, Jeremy, “Do Investors Value Corporate Governance? Evidence from Singapore”, July 2009
  4. Chiraphol New Chiyachantana, Gary Caton, Choong Tze Chua, Jeremy Goh, “Earnings Management Surrounding Seasoned Bond Offerings: Do Managers Fool Rating Agencies and the Bond Market?” July 2009
  5. Jeremy Goh and Lee Yen Teik, “Exchange Traded Fund Based on Participatory Notes” August 2009

Publications:

  1. Turk Thomas, Choo Yong Jeremy Goh and Cadance Ybarra, "The Effect of Poison Pill adoptions on Short- and Long-term Earning Forecasts", 2007 , 4 , 4, Corporate Ownership and Control, 127-131
  2. Gary Caton and Choo Yong Jeremy Goh, "Shareholder Rights and Shareholder Rights Plans: Poison, Placebo or Prescription?", 06/2008 , 43 , 2, The Journal of Finance and Quantitative Analysis, 381
  3. Turk, Thomas A, Goh Jeremy, Ybarra, Candace E., "Do Poison Pills Increase Firm Risk", Corporate Ownership & Control, Spring2008, Vol. 5 Issue 3, p47-53, 7p;
  4. Jeremy C Goh, Gary Caton, Jeffrey Donaldson, "The Effect On Rivals When Firms Emerge From Bankruptcy", 2008, Corporate Ownership & Control / Volume 6, Issue 2, Winter 2008.

Corporate and Investor Responsibility Initiative

Working paper series:

  1. "An Analysis of Extreme Price Stocks and Illiquidity Among Systematic Trend Followers", by Bernard Lee, Shih-Feng Cheng, Annie Koh, March 2010
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  2. "Using Volatility Instruments as Extreme Downside Hedges", by Bernard Lee, Yueh-Neng Lin, August 2010
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