Matthias Hagmann-von Arx
Nationality: Swiss
Ph.D. in Financial Econometrics, Swiss Finance Institute and University of Geneva, 2007
Thesis Title
Essays in Semiparametric Econometrics and Empirical Macro Finance
Thesis Advisers
Professors Olivier Scaillet (HEC Geneva) and Oliver Linton (London School of Economics)
Current Employment
Senior quantitative analyst at AHL
Publications
Hagmann, M. and O. Scaillet, 2007, Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators, Journal of Econometrics, Vol. 141, p. 231-249.
Gustafson, J., Hagmann, M., Nielsen, J.P. and O. Scaillet, 2007, Local Transformation Kernel Density Estimation of Loss Distributions, forthcoming in Journal of Business and Economic Statistics.
Hagmann, M., Renault, O. and O. Scaillet, 2005, Estimation of Recovery Rate Densities: Non-Parametric and Semi-Parametric Approaches versus Industry Practice, Risk Books.
Working Papers
Hagmann, M. and C. Lenz, 2007, Real Asset Returns and Components of Inflation: A Structural VAR Analysis, SFI & NCCR Working Paper.
Hagmann, M. and J. Loebb, 2007, Stock Return Predictability and Model Uncertainty, SFI & NCCR Working Paper.
Connor, G., Hagmann, M. and O. Linton, 2007, Efficient Estimation of Semiparametric Characteristic-Based Factor Models of Security Returns, SFI & NCCR Working Paper.
|
 |
E-mail
Matthias.Hagmann@sfi-phd.ch
Mobile
+44 78 918 67 408
|
|
