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Content
2011
- 1107.5420 Recurrence Quantification Analysis of Financial Market Crashes and Crises
by Oleksandr Piskun & Sergii Piskun
- 1107.5373 Econophysics: Bridges over a Turbulent Current
by Shu-Heng Chen & Sai-Ping Li
- 1107.5122 Spontaneous symmetry breaking of arbitrage
by Jaehyung Choi
- 1107.4881 A note on essential smoothness in the Heston model
by Martin Forde & Antoine Jacquier & Aleksandar Mijatovic
- 1107.4632 From Smile Asymptotics to Market Risk Measures
by Ronnie Sircar & Stephan Sturm
- 1107.4476 The effect of round-off error on long memory processes
by Gabriele La Spada & Fabrizio Lillo
- 1107.4210 Investment/consumption problem in illiquid markets with regime-switching
by Paul Gassiat & Fausto Gozzi & Huy^en Pham
- 1107.4146 A Map of the Brazilian Stock Market
by Leonidas Sandoval Junior
- 1107.3942 Identification of clusters of investors from their real trading activity in a financial market
by Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna
- 1107.3456 Exploring complex networks via topological embedding on surfaces
by Tomaso Aste & Ruggero Gramatica & T. Di Matteo
- 1107.3364 Models for the impact of all order book events
by Zoltan Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
- 1107.3293 On the Representation of General Interest Rate Models as Square Integrable Wiener Functionals
by Lane P. Hughston & Francesco Mina
- 1107.3287 On the Zipf strategy for short-term investments in WIG20 futures
by B. Bieda & P. Chodorowski & D. Grech
- 1107.3171 Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model
by Didier Sornette & Ryan Woodard & Wanfeng Yan & Wei-Xing Zhou
- 1107.3095 Keynesian Economics After All
by A. Johansen & I. Simonsen
- 1107.2988 Robust maximization of asymptotic growth under covariance uncertainty
by Erhan Bayraktar & Yu-Jui Huang
- 1107.2748 The explicit Laplace transform for the Wishart process
by Alessandro Gnoatto & Martino Grasselli
- 1107.2716 Stability of exponential utility maximization with respect to market perturbations
by Erhan Bayraktar & Ross Kravitz
- 1107.2562 Quantum Financial Economics - Risk and Returns
by Carlos Pedro Gonc{c}alves
- 1107.2346 Parrondo-like behavior in continuous-time random walks with memory
by Miquel Montero
- 1107.2164 KISS approach to credit portfolio modeling
by Mikhail Voropaev
- 1107.1895 On Investment-Consumption with Regime-Switching
by Traian A. Pirvu & Huayue Zhang
- 1107.1834 Implied Volatility Surface: Construction Methodologies and Characteristics
by Cristian Homescu
- 1107.1831 Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance
by Cristian Homescu
- 1107.1787 An Optimal Execution Problem with a Geometric Ornstein-Uhlenbeck Price Process
by Takashi Kato
- 1107.1617 On optimal investment for a behavioural investor in multiperiod incomplete market models
by Laurence Carassus & Miklos Rasonyi
- 1107.1607 Path properties and regularity of affine processes on general state spaces
by Christa Cuchiero & Josef Teichmann
- 1107.1451 Multiplicative noise, fast convolution, and pricing
by Giacomo Bormetti & Sofia Cazzaniga
- 1107.1380 Quantifying mortality risk in small defined-benefit pension schemes
by Catherine Donnelly
- 1107.1174 Scaling properties and universality of first-passage time probabilities in financial markets
by Josep Perell'o & Mario Guti'errez-Roig & Jaume Masoliver
- 1107.1078 Finance Without Probabilistic Prior Assumptions
by Frank Riedel
- 1107.0839 Efficiency and Equilibria in Games of Optimal Derivative Design
by Ulrich Horst & Santiago Moreno-Bromberg
- 1107.0838 Role of Diversification Risk in Financial Bubbles
by Wanfeng Yan & Ryan Woodard & Didier Sornette
- 1107.0480 The Second Wave of the Global Crisis? A Log-Periodic Oscillation Analysis of Commodity Price Series
by Askar Akaev & Alexei Fomin & Andrey Korotayev
- 1107.0237 Team Decision Problems with Classical and Quantum Signals
by Adam Brandenburger & Pierfrancesco La Mura
- 1107.0190 The Stability of the Constrained Utility Maximization Problem - A BSDE Approach
by Markus Mocha & Nicholas Westray
- 1107.0183 BSDEs in Utility Maximization with BMO Market Price of Risk
by Christoph Frei & Markus Mocha & Nicholas Westray
- 1107.0170 Revenue diversification in emerging market banks: implications for financial performance
by Saoussen Ben Gamra & Dominique Plihon
- 1107.0164 One-year reserve risk including a tail factor: closed formula and bootstrap approaches
by Alexandre Boumezoued & Yoboua Angoua & Laurent Devineau & Jean-Philippe Boisseau
- 1107.0036 Can We Learn to Beat the Best Stock
by A. Borodin & R. El-Yaniv & V. Gogan
- 1106.6300 Stock Price Processes with Infinite Source Poisson Agents
by Mine Caglar
- 1106.6102 Tight Approximations of Dynamic Risk Measures
by Dan A. Iancu & Marek Petrik & Dharmashankar Subramanian
- 1106.5929 Model-independent Bounds for Option Prices: A Mass Transport Approach
by Mathias Beiglbock & Pierre Henry-Labord`ere & Friedrich Penkner
- 1106.5913 Renyi's information transfer between financial time series
by Petr Jizba & Hagen Kleinert & Mohammad Shefaat
- 1106.5706 Theory of Information Pricing
by Dorje C. Brody & Yan Tai Law
- 1106.5274 Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
by Alessandro Fiori Maccioni
- 1106.5242 High Dimensional Sparse Econometric Models: An Introduction
by Alexandre Belloni & Victor Chernozhukov
- 1106.5143 The path integral representation kernel of evolution operator in Merton-Garman model
by L. F. Blazhyevskyi & V. S. Yanishevsky
- 1106.5081 A Stochastic Model for the Analysis of Demographic Risk in Pay-As-You-Go Pension Funds
by Alessandro Fiori Maccioni
- 1106.5040 Optimal High Frequency Trading with limit and market orders
by Fabien Guilbaud & Huyen Pham
- 1106.4957 Maximum entropy distribution of stock price fluctuations
by Rosario Bartiromo
- 1106.4730 Multilevel Monte Carlo method for jump-diffusion SDEs
by Yuan Xia
- 1106.4710 Proportionate vs disproportionate distribution of wealth of two individuals in a tempered Paretian ensemble
by G. Oshanin & Yu. Holovatch & G. Schehr
- 1106.4509 Machine Learning Markets
by Amos Storkey
- 1106.4502 Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets
by A. M. Avdeenko
- 1106.3921 Dynamic Large Spatial Covariance Matrix Estimation in Application to Semiparametric Model Construction via Variable Clustering: the SCE approach
by Song Song
- 1106.3915 Large Vector Auto Regressions
by Song Song & Peter J. Bickel
- 1106.3562 Geometric Allocation Approach for Transition Kernel of Markov Chain
by Hidemaro Suwa & Synge Todo
- 1106.3543 A model of coopetitive game and the Greek crisis
by David Carf'i & Daniele Schilir'o
- 1106.3496 Impact of the first to default time on Bilateral CVA
by Damiano Brigo & Cristin Buescu & Massimo Morini
- 1106.3455 Applications of a constrained mechanics methodology in economics
by Jitka Janov'a
- 1106.3279 Optimal Portfolio Liquidation with Limit Orders
by Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia
- 1106.3273 A Quasi-Sure Approach to the Control of Non-Markovian Stochastic Differential Equations
by Marcel Nutz
- 1106.3025 Market selection with learning and catching up with the Joneses
by Roman Muraviev
- 1106.3016 Goodness-of-Fit tests with Dependent Observations
by Remy Chicheportiche & Jean-Philippe Bouchaud
- 1106.3006 Exponential utility with non-negative consumption
by Roman Muraviev
- 1106.2980 Additive habit formation: Consumption in incomplete markets with random endowments
by Roman Muraviev
- 1106.2882 Learning, investments and derivatives
by Andrei N. Soklakov
- 1106.2791 Distortion risk measures for sums of dependent losses
by Brahim Brahimi & Djamel Meraghni & Abdelhakim Necir
- 1106.2781 Optimal Dividend Payments for the Piecewise-Deterministic Poisson Risk Model
by Runhuan Feng & Hans Volkmer & Shuaiqi Zhang & Chao Zhu
- 1106.2685 Agent based reasoning for the non-linear stochastic models of long-range memory
by Aleksejus Kononovicius & Vygintas Gontis
- 1106.2601 Knowledge Dispersion Index for Measuring Intellectual Capital
by Vikram Dhillon
- 1106.2478 Calibration of Chaotic Models for Interest Rates
by Matheus R Grasselli & Tsunehiro Tsujimoto
- 1106.2342 Archimedean Survival Processes
by Edward Hoyle & Levent Ali Menguturk
- 1106.2095 Duality and Convergence for Binomial Markets with Friction
by Yan Dolinsky & Halil Mete Soner
- 1106.1999 Pricing of average strike Asian call option using numerical PDE methods
by Abhishek Kumar & Ashwin Waikos & Siddhartha P. Chakrabarty
- 1106.1774 Fibrations of financial events
by David Carf{i}
- 1106.1702 CRRA Utility Maximization under Risk Constraints
by Santiago Moreno-Bromberg & Traian Pirvu & Anthony R'eveillac
- 1106.1577 Market efficiency, anticipation and the formation of bubbles-crashes
by Serge Galam
- 1106.1415 Financial factor influence on scaling and memory of trading volume in stock market
by Wei Li & Fengzhong Wang & Shlomo Havlin & H. Eugene Stanley
- 1106.1401 Volatility of Power Grids under Real-Time Pricing
by Mardavij Roozbehani & Munther A Dahleh & Sanjoy K Mitter
- 1106.1395 Utility based pricing and hedging of jump diffusion processes with a view to applications
by Jochen Zahn
- 1106.0866 Efficient and accurate log-L\'evy approximations to L\'evy driven LIBOR models
by Antonis Papapantoleon & John Schoenmakers & David Skovmand
- 1106.0562 Financial Lie groups
by David carf'i
- 1106.0390 Asymmetric random matrices: What do we need them for?
by Stanislaw Drozdz & Jaroslaw Kwapien & Andreas A. Ioannides
- 1106.0296 The Emergence of Leadership in Social Networks
by T. Clemson & T. S. Evans
- 1106.0123 Analytical Approximation for Non-linear FBSDEs with Perturbation Scheme
by Masaaki Fujii & Akihiko Takahashi
- 1106.0039 The near-extreme density of intraday log-returns
by Mauro Politi & Nicolas Millot & Anirban Chakraborti
- 1106.0020 Comparison of Two Numerical Methods for Computation of American Type of the Floating Strike Asian Option
by J. D. Kandilarov & D. Sevcovic
- 1105.6272 Life time of correlation between stocks prices on established and emerging markets
by Andrzej Buda
- 1105.6265 Hierarchical structure in phonographic market
by Andrzej Buda
- 1105.6154 Conditional Quantile Processes based on Series or Many Regressors
by Alexandre Belloni & Victor Chernozhukov & Denis Chetverikov & Iv'an Fern'andez-Val
- 1105.5954 Penalty Methods for the Solution of Discrete HJB Equations -- Continuous Control and Obstacle Problems
by Jan Hendrik Witte & Christoph Reisinger
- 1105.5891 The "S" Curve Relationship between Export Diversity and Economic Size of Countries
by Lunchao Hu & Kailan Tian & Xin Wang & Jiang Zhang
- 1105.5850 Calibration and filtering for multi factor commodity models with seasonality: incorporating panel data from futures contracts
by Gareth W. Peters & Mark Briers & Pavel V. Shevchenko & Arnaud Doucet
- 1105.5717 Is there a bubble in LinkedIn's stock price?
by Robert Jarrow & Younes Kchia & Philip Protter
- 1105.5503 Pricing, liquidity and the control of dynamic systems in finance and economics
by Geoff Willis
- 1105.5439 Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models
by Brian Tivnan & Matthew Koehler & Matthew McMahon & Matthew Olson & Neal Rothleder & Rajani Shenoy
- 1105.5416 Analytic results and weighted Monte Carlo simulations for CDO pricing
by Marcell Stippinger & B'alint VetH{o} & 'Eva R'acz & Zsolt Bihary
- 1105.5082 Erratum for: Smile dynamics -- a theory of the implied leverage effect
by Stefano Ciliberti & Jean-Philippe Bouchaud & Marc Potters
- 1105.4789 Stochastic Price Dynamics Implied By the Limit Order Book
by Alex Langnau & Yanko Punchev
- 1105.4567 Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options
by Alessandro Ramponi
- 1105.4519 State-Observation Sampling and the Econometrics of Learning Models
by Laurent E. Calvet & Veronika Czellar
- 1105.3918 A note on a paper by Wong and Heyde
by Aleksandar Mijatovi'c & Mikhail Urusov
- 1105.3594 Portfolio selection problems in practice: a comparison between linear and quadratic optimization models
by Francesco Cesarone & Andrea Scozzari & Fabio Tardella
- 1105.3359 Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models
by Viorel Costeanu & Dan Pirjol
- 1105.3297 Exact Simulation of the 3/2 Model
by Jan Baldeaux
- 1105.3228 The formation of share market prices under heterogeneous beliefs and common knowledge
by Yuri Biondi & Pierpaolo Giannoccolo & Serge Galam
- 1105.3180 The small-maturity smile for exponential Levy models
by Jose E. Figueroa-Lopez & Martin Forde
- 1105.3115 Dealing with the Inventory Risk. A solution to the market making problem
by Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia
- 1105.2968 Banking retail consumer finance data generator - credit scoring data repository
by Karol Przanowski
- 1105.2956 Adjusted Closing Prices
by Vic Norton
- 1105.2900 Dialectical Roots for Interest Prohibition Theory
by Jan Aldert Bergstra
- 1105.2414 Impact of heterogenous prior beliefs and disclosed insider trades
by Fuzhou Gong & Hong Liu
- 1105.2123 The Bowley Ratio
by Geoff Willis
- 1105.2122 Why Money Trickles Up - Wealth & Income Distributions
by Geoff Willis
- 1105.1814 A Contextual Risk Model for the Ellsberg Paradox
by Diederik Aerts & Sandro Sozzo
- 1105.1812 Contextual Risk and Its Relevance in Economics
by Diederik Aerts & Sandro Sozzo
- 1105.1767 A projected gradient dynamical system modeling the dynamics of bargaining
by D. Pinheiro & A. A. Pinto & S. Z. Xanthopoulos & A. N. Yannacopoulos
- 1105.1694 Anomalous price impact and the critical nature of liquidity in financial markets
by Bence Toth & Yves Lemperiere & Cyril Deremble & Joachim de Lataillade & Julien Kockelkoren & Jean-Philippe Bouchaud
- 1105.1488 The structure of optimal portfolio strategies for continuous time markets
by Nikolai Dokuchaev
- 1105.1267 Don't stay local - extrapolation analytics for Dupire's local volatility
by Peter Friz & Stefan Gerhold
- 1105.0934 Stochastic programs without duality gaps
by Teemu Pennanen & Ari-Pekka Perkkio
- 1105.0819 Equilibrium strategy and population-size effects in lowest unique bid auctions
by Simone Pigolotti & Sebastian Bernhardsson & Jeppe Juul & Gorm Galster & Pierpaolo Vivo
- 1105.0745 Weak Dynamic Programming for Generalized State Constraints
by Bruno Bouchard & Marcel Nutz
- 1105.0284 Exercise Boundary of the American Put Near Maturity in an Exponential L\'evy Model
by Damien Lamberton & Mohammed Mikou
- 1105.0247 Liquidation in Limit Order Books with Controlled Intensity
by Erhan Bayraktar & Michael Ludkovski
- 1105.0238 Default Swap Games Driven by Spectrally Negative Levy Processes
by Masahiko Egami & Tim S. T. Leung & Kazutoshi Yamazaki
- 1105.0068 Power Series Representations for European Option Prices under Stochastic Volatility Models
by Lucia Caramellino & Giorgio Ferrari & Roberta Piersimoni
- 1105.0042 Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching
by Agostino Capponi & Jose E. Figueroa-Lopez
- 1104.5393 Notional portfolios and normalized linear returns
by Vic Norton
- 1104.5326 Density Approximations for Multivariate Affine Jump-Diffusion Processes
by Damir Filipovi'c & Eberhard Mayerhofer & Paul Schneider
- 1104.5272 Credit contagion and risk management with multiple non-ordered defaults
by Younes Kchia & Martin Larsson
- 1104.5131 American Options Based on Malliavin Calculus and Nonparametric Variance Reduction Methods
by Lokman Abbas-Turki & Bernard Lapeyre
- 1104.4716 From the currency rate quotations onto strings and brane world scenarios
by D. Horvath & R. Pincak
- 1104.4596 Price dynamics in a Markovian limit order market
by Rama Cont & Adrien De Larrard
- 1104.4580 Quantile Regression with Censoring and Endogeneity
by Victor Chernozhukov & Ivan Fernandez-Val & Amanda Kowalski
- 1104.4548 Semi-Static Hedging Based on a Generalized Reflection Principle on a Multi Dimensional Brownian Motion
by Yuri Imamura & Katsuya Takagi
- 1104.4380 Stability of the World Trade Web over Time - An Extinction Analysis
by N. Foti & S. Pauls & Daniel N. Rockmore
- 1104.4249 Robustness and Contagion in the International Financial Network
by Tilman Dette & Scott Pauls & Daniel N. Rockmore
- 1104.4234 Full characterization of the fractional Poisson process
by Mauro Politi & Taisei Kaizoji & Enrico Scalas
- 1104.4010 Model independent hedging strategies for variance swaps
by David Hobson & Martin Klimmek
- 1104.3616 Strategies used as spectroscopy of financial markets reveal new stylized facts
by Wei-Xing Zhou & Guo-Hua Mu & Wei Chen & Didier Sornette
- 1104.3583 Root's barrier: Construction, optimality and applications to variance options
by Alexander M. G. Cox & Jiajie Wang
- 1104.3328 A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
by Bernard Bercu & Frederic Proia
- 1104.2625 Counterparty Risk and the Impact of Collateralization in CDS Contracts
by Tomasz R. Bielecki & Igor Cialenco & Ismail Iyigunler
- 1104.2606 Statistical mechanics of the international trade network
by Agata Fronczak & Piotr Fronczak
- 1104.2471 Interest prohibition and financial product innovation
by J. A. Bergstra & C. A. Middelburg
- 1104.2344 Interest Rates and Inflation
by Michael Coopersmith
- 1104.2308 Non - Randomness Stock Market Price Model (Amended)
by Aleksey Kharevsky
- 1104.2187 A Generalized Continuous Model for Random Markets
by R. Lopez-Ruiz & E. Shivanian & S. Abbasbandy & J. L. Lopez
- 1104.2124 Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?
by Michel Fliess & C'edric Join & Fr'ed'eric Hatt
- 1104.1855 Collateralized CDS and Default Dependence
by Masaaki Fujii & Akihiko Takahashi
- 1104.1773 Default clustering in large portfolios: Typical events
by Kay Giesecke & Konstantinos Spiliopoulos & Richard B. Sowers
- 1104.0777 If Entry Strategy and Money go Together, What is the Right Side of the Coin?
by Jean-Philippe Timsit & Annick Castiaux
- 1104.0761 Utility Maximization, Risk Aversion, and Stochastic Dominance
by Mathias Beiglboeck & Johannes Muhle-Karbe & Johannes Temme
- 1104.0587 How does the market react to your order flow?
by Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer
- 1104.0508 Concave Distortion Semigroups
by Alexander Cherny & Damir Filipovi'c
- 1104.0359 Theoretical Sensitivity Analysis for Quantitative Operational Risk Management
by Takashi Kato
- 1104.0322 Explosive behavior in a log-normal interest rate model
by Dan Pirjol
- 1104.0308 An Application Specific Informal Logic for Interest Prohibition Theory
by J. A. Bergstra & C. A. Middelburg
- 1103.6143 A semi-Markov model for price returns
by Guglielmo D'Amico & Filippo Petroni
- 1103.5994 A win-win monetary policy in Canada
by Oleg Kitov & Ivan Kitov
- 1103.5978 Financial Risks and the Pension Protection Fund: Can it Survive Them?
by David Blake & John Cotter & Kevin Dowd
- 1103.5976 Absolute Return Volatility
by John Cotter
- 1103.5973 A Utility Based Approach to Energy Hedging
by John Cotter & Jim Hanly
- 1103.5972 A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
by John Cotter & Richard Roll
- 1103.5971 Housing risk and return: Evidence from a housing asset-pricing model
by Karl Case & John Cotter & Stuart Gabriel
- 1103.5968 Time Varying Risk Aversion: An Application to Energy Hedging
by John Cotter & Jim Hanly
- 1103.5966 Hedging: Scaling and the Investor Horizon
by John Cotter & Jim Hanly
- 1103.5965 Scaling conditional tail probability and quantile estimators
by John Cotter
- 1103.5962 Extreme Measures of Agricultural Financial Risk
by John Cotter & Kevin Dowd & Wyn Morgan
- 1103.5722 Multidimensional Quasi-Monte Carlo Malliavin Greeks
by Nicola Cufaro Petroni & Piergiacomo Sabino
- 1103.5703 Exponential wealth distribution in a random market. A rigorous explanation
by Jose-Luis Lopez & Ricardo Lopez-Ruiz & Xavier Calbet
- 1103.5674 Spectral Risk Measures: Properties and Limitations
by Kevin Dowd & John Cotter & Ghulam Sorwar
- 1103.5672 How Unlucky is 25-Sigma?
by Kevin Dowd & John Cotter & Chris Humphrey & Margaret Woods
- 1103.5668 Spectral Risk Measures and the Choice of Risk Aversion Function
by kevin dowd & john cotter
- 1103.5666 Estimating financial risk measures for futures positions: a non-parametric approach
by john cotter & kevin dowd
- 1103.5665 Evaluating the Precision of Estimators of Quantile-Based Risk Measures
by Kevin Dowd & John Cotter
- 1103.5664 Intra-Day Seasonality in Foreign Exchange Market Transactions
by john cotter & kevin dowd
- 1103.5661 The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders
by john cotter & kevin dowd
- 1103.5660 Multivariate Modeling of Daily REIT Volatility
by John Cotter & Simon Stevenson
- 1103.5659 U.S. Core Inflation: A Wavelet Analysis
by kevin dowd & john cotter
- 1103.5656 Modelling catastrophic risk in international equity markets: An extreme value approach
by john cotter
- 1103.5655 Implied correlation from VaR
by John Cotter & Franc{c}ois Longin
- 1103.5653 Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements
by John Cotter & Kevin Dowd
- 1103.5651 Uncovering Long Memory in High Frequency UK Futures
by John Cotter
- 1103.5649 Varying the VaR for Unconditional and Conditional Environments
by John Cotter
- 1103.5575 Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
by Johannes Temme
- 1103.5555 Evolution of worldwide stock markets, correlation structure and correlation based graphs
by Dong-Ming Song & Michele Tumminello & Wei-Xing Zhou & Rosario N. Mantegna
- 1103.5418 Tail Behaviour of the Euro
by John Cotter
- 1103.5417 Uncovering Volatility Dynamics in Daily REIT Returns
by John Cotter & Simon Stevenson
- 1103.5416 Minimum Capital Requirement Calculations for UK Futures
by John Cotter
- 1103.5414 Modeling Long Memory in REITs
by John Cotter & Simon Stevenson
- 1103.5412 Margin setting with high-frequency data1
by John Cotter & Franc{c}ois Longin
- 1103.5411 Hedging Effectiveness under Conditions of Asymmetry
by John Cotter & Jim Hanly
- 1103.5409 Exponential Spectral Risk Measures
by Kevin Dowd & John Cotter
- 1103.5408 Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements
by John Cotter & Kevin Dowd