The demographic transition in industrialized countries poses challenges to the pension system which is essentially organized according to the pay-as-you-go principle in most countries. This paper aims at analyzing two proposals for pension reform in a theoretical model that endogenously explains...

We address one of the cardinal puzzles of European corporate law: the lack of derivate shareholder suits. In the vast majority of European jurisdictions, shareholders can bring a derivative action (for damages) against the management for breach of fiduciary duty. In all of these countries, a...

Survey information on Swiss exporters is used to test the hypothesis that firm-specific factors, in particular firm size, are important determinants of pricing--to-market (PTM). The survey asked exporters whether they set different prices across markets and, if so, whether price segmentation...

Research evidence on the impact of relative income position on individuals’ attitudes and behaviour is sorely lacking. Therefore, using the International Social Survey Programme 1998 data from 26 countries this paper investigates the impact of relative income on 14 measurements of social...

The out-of-sample forecasting performance of traditional stock return models (dividend yield, t-bill rate, etc.) is compared with the forecasting performance of the Livingston survey. The results suggest that the survey forecasts are much like a "too large" forecasting model: poor performance...

We propose a new semi-parametric model for the implied volatility surface, which incorporates machine learning algorithms. Given a starting model, a tree-boosting algorithm sequentially minimizes the residuals of observed and estimated implied volatility. To overcome the poor predicting power of...

We study high-frequency exchange rate movements over the sample 1993-2006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...

We propose a general robust semiparametric bootstrap method to estimate conditional predictive distributions of GARCH-type models. Our approach is based on a robust estimator for the parameters in GARCH-type models and a robustified resampling method for standardized GARCH residuals, which...

This study examines the relationship between hypertension and life satisfaction using objective measures of hypertension from the Survey of Health, Ageing and Retirement in Europe (SHARE). Our results confirm the analysis in Blanchflower and Oswald (2007): there is a significant negative...

We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilities and correlations. The model estimation is feasible in large dimensions and the positive deniteness of the conditional...