Stephan Kessler Email & Phone Number

Publications:Kessler, S., B. Scherer (2011): "Hedge fund return sensitivity to global liquidity," Journal of Financial Markets, 14 (2), pp. 301-322.Judice, D., Kessler, S., Scherer, B. (2010): "Price reversals in global equity markets," Journal of Asset Management, 11, pp. 332–345.Kessler, S., B. Scherer (2009): “Varying risk premia in international bond markets,” Journal of Banking and Finance, 33 (8), pp. 1361-1375.Ammann, M., S. Kessler (2009): “Intra-Day Characteristics of Stock Price Crashes,” Applied Financial Economics.Ammann, M., S. Kessler, J. Tobler (2006): “Analyzing Active Investment Strategies,” Journal of Portfolio Management, 33 (1), Fall, pp. 56-67.Ammann, M., S. Kessler (2004): “Information Processing on the Swiss Stock Market,” Financial Markets and Portfolio Management, 18 (3), 2004, pp. 256-284.Ammann, M., S. Kessler: “Ad-hoc Meldungen mit Nachhall: Insiderhandel nicht messbar,” Neue Zürcher Zeitung, No. 249, 25.10.2004, p. 22.Specialties: Econometrics, Financial Mathematics, Quant Finance, Statistics, Programming (S-Plus,R,Eviews,Matlab, GAUSS,VBA,...), Publications in top tier academic journals, strong presentation skills.Familiar, among others, with Principal Component Analysis, Neural Networks, Bayesian Statistics, Term Structure Models, High-Frequency Data Modelling, Orthogonal GARCH, State Space Models, Kalman Filters, Jump-Diffusion Models, Vector Autoregressive Models, Panel Data Analysis, Time Series Analysis, etc.

Listed skills include Fixed Income, Derivatives, Investment Strategies, and Valuation.