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November 2018, Volume 18, Issue 11
- 1927-1945 Long-only equal risk contribution portfolios for CVaR under discrete distributions
by Helmut Mausser & Oleksandr Romanko - 1947-1958 Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions
by Miguel Tavares-Gärtner & Paulo J. Pereira & Elísio Brandão
October 2018, Volume 18, Issue 10
- 1619-1634 Canonical sectors and evolution of firms in the US stock markets
by Lorien X. Hayden & Ricky Chachra & Alexander A. Alemi & Paul H. Ginsparg & James P. Sethna - 1635-1643 Machine learning for quantitative finance: fast derivative pricing, hedging and fitting
by Jan De Spiegeleer & Dilip B. Madan & Sofie Reyners & Wim Schoutens - 1645-1653 The End of Alchemy: Money, Banking and the Future of the Global Economy
by Michael Dempster - 1655-1655 Calendar
by The Editors - 1657-1678 Efficient exposure computation by risk factor decomposition
by C. S. L. de Graaf & D. Kandhai & C. Reisinger - 1679-1698 A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
by J. Hambuckers & T. Kneib & R. Langrock & A. Silbersdorff - 1699-1713 On the price of risk in a mean-risk optimization model
by Darinka Dentcheva & Gregory J. Stock - 1715-1733 Risk-managed industry momentum and momentum crashes
by Klaus Grobys & Joni Ruotsalainen & Janne Äijö - 1735-1751 Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
by Johannes Stübinger & Sylvia Endres - 1753-1765 Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
by Archil Gulisashvili & Blanka Horvath & Antoine Jacquier - 1767-1779 The survival probability of the SABR model: asymptotics and application
by Nian Yang & Xiangwei Wan
September 2018, Volume 18, Issue 9
- 1437-1446 Can outstanding dividend payments be estimated by American options?
by Sascha Desmettre & Sarah Grün & Ralf Korn - 1447-1448 Enlargement of Filtration with Finance in View
by Thorsten Schmidt - 1449-1449 Calendar
by The Editors - 1451-1451 Special Issue of Quantitative Finance on ‘Chinese Derivatives Markets’
by Ke Tang - 1453-1470 Are tightened trading rules always bad? Evidence from the Chinese index futures market
by Hai Lin & You Wang - 1471-1486 Return and volatility co-movement in commodity futures markets: the effects of liquidity risk
by Yongmin Zhang & Shusheng Ding - 1487-1499 Including commodity futures in asset allocation in China
by Qingfu Liu & Yiuman Tse & Linlin Zhang - 1501-1515 Option pricing based on hybrid GARCH-type models with improved ensemble empirical mode decomposition
by Qiuling Hua & Tingfeng Jiang & Zhang Cheng - 1517-1529 Option prices and stock market momentum: evidence from China
by Jianping Li & Yanzhen Yao & Yibing Chen & Cheng-Few Lee - 1531-1541 The role of derivatives in hedge fund activism
by Jie (Michael) Guo & Jianhua Gang & Nan Hu & Vinay Utham - 1543-1558 Chinese write-down bonds and bank capital structure
by Ping Li & Hui Meng & Feihui Yu - 1559-1571 Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach
by Wonho Song & Doojin Ryu & Robert I. Webb - 1575-1597 Modelling the shape of the limit order book
by Federico Platania & Pedro Serrano & Mikel Tapia - 1599-1617 Detailed study of a moving average trading rule
by Fernando F. Ferreira & A. Christian Silva & Ju-Yi Yen
August 2018, Volume 18, Issue 8
- 1-1 Corrigendum
by The Editors - 1249-1259 Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
by David Ardia & Kris Boudt & Giang Nguyen - 1261-1262 Asymptotic Theory of Transaction Costs
by Sébastien Lleo - 1263-1263 Calendar
by The Editors - 1265-1294 Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
by V. Bergen & M. Escobar & A. Rubtsov & R. Zagst - 1295-1313 Portfolio optimization under Expected Shortfall: contour maps of estimation error
by Fabio Caccioli & Imre Kondor & Gábor Papp - 1315-1326 Modelling fundamental analysis in portfolio selection
by Huazhu Zhang & Cheng Yan - 1327-1343 Generalized Pareto processes and fund liquidity risk
by Sascha Desmettre & Johan de Kock & Peter Ruckdeschel & Frank Thomas Seifried - 1345-1364 Instantaneous portfolio theory
by Dilip B. Madan - 1365-1377 Buy-and-hold mean-variance portfolios with a random exit strategy
by C. D. Fuh & S. F. Luo - 1379-1388 Optimal investment strategies for general utilities under dynamic elasticity of variance models
by Wenyuan Li & Jingtang Ma - 1389-1410 Transaction costs and crowding
by Ludwig B. Chincarini - 1411-1424 Transaction cost optimization for online portfolio selection
by Bin Li & Jialei Wang & Dingjiang Huang & Steven C. H. Hoi - 1425-1436 Portfolio performance of linear SDF models: an out-of-sample assessment
by Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda
July 2018, Volume 18, Issue 7
- 1077-1085 Optimal embedded leverage
by Christian Lundström & Jarkko Peltomäki - 1087-1088 Economics for the Common Good
by Frank Milne - 1089-1089 Calendar
by The Editors - 1091-1113 Calibration to American options: numerical investigation of the de-Americanization method
by O. Burkovska & M. Gass & K. Glau & M. Mahlstedt & W. Schoutens & B. Wohlmuth - 1115-1128 Learning minimum variance discrete hedging directly from the market
by Ke Nian & Thomas F. Coleman & Yuying Li - 1129-1148 Price impact and bursts in liquidity provision
by R. Gençay & S. Mahmoodzadeh & J. Rojček & M. C. Tseng - 1149-1171 Singular Fourier–Padé series expansion of European option prices
by Tat Lung (Ron) Chan - 1173-1198 A term structure model of interest rates with quadratic volatility
by Hideyuki Takamizawa - 1199-1209 Interest rate trees: extensions and applications
by John Hull & Alan White - 1211-1232 Statistical tests of distributional scaling properties for financial return series
by Mark Hallam & Jose Olmo - 1233-1247 Risk-managed 52-week high industry momentum, momentum crashes and hedging macroeconomic risk
by Klaus Grobys
June 2018, Volume 18, Issue 6
- 885-895 Pairs trading under transaction costs using model predictive control
by James A. Primbs & Yuji Yamada - 897-899 Stock Market Crashes: Predictable and Unpredictable and What to Do About Them
by Didier Sornette & Tobias Huber - 901-901 Calendar
by The Editors - 903-915 Linear models for the impact of order flow on prices. I. History dependent impact models
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Tóth - 917-931 Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
by Damian Eduardo Taranto & Giacomo Bormetti & Jean-Philippe Bouchaud & Fabrizio Lillo & Bence Tóth - 933-949 Volatility is rough
by Jim Gatheral & Thibault Jaisson & Mathieu Rosenbaum - 951-967 Orthogonal expansions for VIX options under affine jump diffusions
by Andrea Barletta & Elisa Nicolato - 969-981 Bond and option pricing for interest rate model with clustering effects
by Xin Zhang & Jie Xiong & Yang Shen - 983-1001 Robust and consistent estimation of generators in credit risk
by G. dos Reis & G. Smith - 1003-1016 Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options
by J.-P. Fouque & Y. F. Saporito - 1017-1031 Rao’s quadratic entropy and maximum diversification indexation
by Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran - 1033-1048 Indexing mergers and acquisitions
by Jianhua Gang & Jie (Michael) Guo & Nan Hu & Xi Li - 1049-1075 Pricing and hedging guaranteed minimum withdrawal benefits under a general Lévy framework using the COS method
by Jennifer Alonso-García & Oliver Wood & Jonathan Ziveyi
May 2018, Volume 18, Issue 5
- 1-1 Erratum
by The Editors - 707-717 Combining standard and behavioral portfolio theories: a practical and intuitive approach
by Alexandre Alles Rodrigues & Sébastien Lleo - 719-719 Calendar
by The Editors - 723-724 Special Issue of Quantitative Finance on the ‘23rd Forecasting Financial Markets Conference’
by Jason Laws & Georgios Sermpinis - 725-735 Ultra-high-frequency lead–lag relationship and information arrival
by Thong Minh Dao & Frank McGroarty & Andrew Urquhart - 737-748 Forecasting and trading high frequency volatility on large indices
by Fei Liu & Athanasios A. Pantelous & Hans-Jörg von Mettenheim - 749-760 Point and density prediction of intra-day volume using Bayesian linear ACV models: evidence from the Polish stock market
by Roman Huptas - 761-775 Neural network copula portfolio optimization for exchange traded funds
by Yang Zhao & Charalampos Stasinakis & Georgios Sermpinis & Yukun Shi - 777-787 Correlation as probability: applications of Sheppard’s formula to financial assets
by Javier Giner & Judit Mendoza Aguilar & Sandra Morini-Marrero - 789-799 Cross-border exchanges and volatility forecasting
by Abhinav Goyal & Vasileios Kallinterakis & Dimos Kambouroudis & Jason Laws - 801-812 The shifting dependence dynamics between the G7 stock markets
by Ahmed BenSaïda & Sabri Boubaker & Duc Khuong Nguyen - 813-826 Cross-sectional dispersion and expected returns
by Thanos Verousis & Nikolaos Voukelatos - 827-835 Government bond yields in Germany and Spain—empirical evidence from better days
by Tobias Basse & Christoph Wegener & Frederik Kunze - 837-848 Monetary policy and stock valuation: structural VAR identification and size effects
by Alexandros Kontonikas & Zivile Zekaite - 851-875 A dynamic equilibrium model for U-shaped pricing kernels
by Akira Yamazaki - 877-883 Estimating a regime switching pairs trading model
by Robert J. Elliott & Reza Bradrania
April 2018, Volume 18, Issue 4
- 519-532 Too fast or too slow? Determining the optimal speed of financial markets
by Daniel Fricke & Austin Gerig - 533-533 Call for Papers: Special Issue on ‘AI and machine learning in finance’
by The Editors - 535-535 Calendar
by The Editors - 537-561 A multiple-curve Lévy forward rate model in a two-price economy
by Ernst Eberlein & Christoph Gerhart - 563-590 Multi-curve HJM modelling for risk management
by Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti - 591-608 An agent-based model of corporate bond trading
by K. Braun-Munzinger & Z. Liu & A. E. Turrell - 609-622 Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula
by Stefano De Marco & Claude Martini - 623-635 Option augmented density forecasts of market returns with monotone pricing kernel
by Brendan K. Beare & Asad Dossani - 637-654 Analytic value function for optimal regime-switching pairs trading rules
by Yang Bai & Lan Wu - 655-671 Optimal execution in Hong Kong given a market-on-close benchmark
by Christoph Frei & Nicholas Westray - 673-692 COS method for option pricing under a regime-switching model with time-changed Lévy processes
by G. Tour & N. Thakoor & A. Q. M. Khaliq & D. Y. Tangman - 693-706 Recursive marginal quantization of higher-order schemes
by T. A. McWalter & R. Rudd & J. Kienitz & E. Platen
March 2018, Volume 18, Issue 3
- 333-345 Optimal portfolios under a correlation constraint
by C. Bernard & D. Cornilly & S. Vanduffel - 347-349 The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction
by Nikolaos Tessaromatis - 351-351 Calendar
by The Editors - 353-370 Short term prediction of extreme returns based on the recurrence interval analysis
by Zhi-Qiang Jiang & Gang-Jin Wang & Askery Canabarro & Boris Podobnik & Chi Xie & H. Eugene Stanley & Wei-Xing Zhou - 371-393 Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
by Rasmus T. Varneskov & Pierre Perron - 395-417 A Bayesian encompassing test using combined value-at-risk estimates
by Georgios Tsiotas - 419-435 A logistic regression point of view toward loss given default distribution estimation
by Ruey-Ching Hwang & Chih-Kang Chu - 437-466 Empirical comparison of hazard models in predicting SMEs failure
by Jairaj Gupta & Andros Gregoriou & Tahera Ebrahimi - 467-481 Liquidity risk in derivatives valuation: an improved credit proxy method
by Sumit Sourabh & Markus Hofer & Drona Kandhai - 483-490 A new integral equation formulation for American put options
by Song-Ping Zhu & Xin-Jiang He & XiaoPing Lu - 491-505 Smoothing the payoff for efficient computation of Basket option prices
by Christian Bayer & Markus Siebenmorgen & Raul Tempone - 507-517 Sequential Monte Carlo for fractional stochastic volatility models
by Alexandra Chronopoulou & Konstantinos Spiliopoulos
February 2018, Volume 18, Issue 2
- 171-181 Sell in May and go away: the evidence in the international equity index futures markets
by Constantine Dzhabarov & Alexandre Ziegler & William T. Ziemba - 183-185 The Economy: Economics for a Changing World
by Riccardo Rebonato - 187-187 Calendar
by The Editors - 191-192 Editors’ foreword
by Maggie Chen & Alan Hawkes & Khaldoun Khashanah & David McMillan & Mathieu Rosenbaum & Enrico Scalas & Steve Yang - 193-198 Hawkes processes and their applications to finance: a review
by Alan G. Hawkes - 199-212 Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
by M. Achab & E. Bacry & J. F. Muzy & M. Rambaldi - 213-224 A slightly depressing jump model: intraday volatility pattern simulation
by Khaldoun Khashanah & Jing Chen & Alan Hawkes - 225-235 Performance of information criteria for selection of Hawkes process models of financial data
by J. Chen & A. G. Hawkes & E. Scalas & M. Trinh - 237-247 Collective synchronization and high frequency systemic instabilities in financial markets
by Lucio Maria Calcagnile & Giacomo Bormetti & Michele Treccani & Stefano Marmi & Fabrizio Lillo - 249-264 High-dimensional Hawkes processes for limit order books: modelling, empirical analysis and numerical calibration
by Xiaofei Lu & Frédéric Abergel - 265-282 Transform analysis for Hawkes processes with applications in dark pool trading
by Xuefeng Gao & Xiang Zhou & Lingjiong Zhu - 283-293 Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market
by M. Schneider & F. Lillo & L. Pelizzon - 295-310 Applications of a multivariate Hawkes process to joint modeling of sentiment and market return events
by Steve Y. Yang & Anqi Liu & Jing Chen & Alan Hawkes - 311-331 Constant proportion portfolio insurance strategies in contagious markets
by Alice Buccioli & Thomas Kokholm
January 2018, Volume 18, Issue 1
- 1-5 Election predictions as martingales: an arbitrage approach
by Nassim Nicholas Taleb - 7-8 Algorithmic and High-Frequency Trading
by Mathieu Rosenbaum - 9-9 Calendar
by The Editors - 11-30 The value of convexity: a theoretical and empirical investigation
by Riccardo Rebonato & Vladislav Putyatin - 31-44 Impact of multiple curve dynamics in credit valuation adjustments under collateralization
by Giacomo Bormetti & Damiano Brigo & Marco Francischello & Andrea Pallavicini - 45-61 On VIX futures in the rough Bergomi model
by Antoine Jacquier & Claude Martini & Aitor Muguruza - 63-81 Dividend derivatives
by R. S. Tunaru - 83-95 Dynamic portfolio optimization across hidden market regimes
by Peter Nystrup & Henrik Madsen & Erik Lindström - 97-119 Optimal pair-trading strategy over long/short/square positions—empirical study
by Kiyoshi Suzuki - 121-138 Pairs trading with partial cointegration
by Matthew Clegg & Christopher Krauss - 139-169 How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
by Massimo Guidolin & Alexei G. Orlov & Manuela Pedio
December 2017, Volume 17, Issue 12
- 1783-1793 An empirical method of calculating the term premium
by Jessica James & Michael Leister & Christoph Rieger - 1795-1797 Financial Enterprise Risk Management
by Riccardo Rebonato - 1799-1799 Calendar
by The Editors - 1800-1800 Applications sought for book review editor from 2018
by The Editors - 1803-1804 Special Issue of on ‘Systemic risk analytics’
by Peter Sarlin & Tuomas Peltonen - 1805-1832 Can bank-specific variables predict contagion effects?
by Christoph Siebenbrunner & Michael Sigmund & Stefan Kerbl - 1833-1858 Financial networks and interconnectedness in an advanced emerging market economy
by Ariel J. Sun & Jorge A. Chan-Lau - 1859-1883 Monitoring systemic risk in the hedge fund sector
by Frank Hespeler & Giuseppe Loiacono - 1885-1904 Multichannel contagion and systemic stabilisation strategies in interconnected financial markets
by Antoaneta Sergueiva & V. L. Raju Chinthalapati & Thanos Verousis & Louisa Chen - 1905-1922 Equity markets’ clustering and the global financial crisis
by Carlos León & Geun-Young Kim & Constanza Martínez & Daeyup Lee - 1923-1932 Network reconstruction with UK CDS trade repository data
by William Abel & Laura Silvestri - 1933-1963 Toward robust early-warning models: a horse race, ensembles and model uncertainty
by Markus Holopainen & Peter Sarlin - 1965-1994 Dissecting the financial cycle with dynamic factor models
by Christian Menden & Christian R. Proaño - 1995-2008 Sovereign risk in the Euro area: a multivariate stochastic process approach
by Paolo Giudici & Laura Parisi
November 2017, Volume 17, Issue 11
- 1645-1653 ‘To have what they are having’: portfolio choice for mimicking mean–variance savers
by Vasyl Golosnoy & Nestor Parolya - 1655-1657 The Production of Money: How to Break the Power of Bankers
by Diane Coyle - 1659-1659 Calendar
by The Editors - 1661-1681 Option pricing under short-lived arbitrage: theory and tests
by Jimmy E. Hilliard & Jitka Hilliard - 1683-1695 Backward simulation methods for pricing American options under the CIR process
by Wenbin Hu & Junzi Zhou - 1697-1714 Determining the integrated volatility via limit order books with multiple records
by Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding - 1715-1733 HARA utility maximization in a Markov-switching bond–stock market
by M. Escobar & D. Neykova & R. Zagst - 1735-1743 On the properties of the Lambda value at risk: robustness, elicitability and consistency
by M. Burzoni & I. Peri & C. M. Ruffo - 1745-1757 Factor pricing in commodity futures and the role of liquidity
by Terence Tai-Leung Chong & Sunny Chun Tsui & Wing Hong Chan - 1759-1782 Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
by Lin Zhao & Sweder van Wijnbergen
October 2017, Volume 17, Issue 10
- 1477-1486 FX options in target zones
by Peter P. Carr & Zura Kakushadze - 1487-1488 The Undoing Project: A Friendship that Changed the World
by Andreas Kapsner - 1489-1489 Calendar
by The Editors - 1491-1507 Measuring the unmeasurable: an application of uncertainty quantification to Treasury bond portfolios
by Jingnan Chen & Mark D. Flood & Richard B. Sowers - 1509-1522 Bond yields and debt supply: new evidence through the lens of a preferred-habitat model
by Till Strohsal - 1523-1534 Optimising the multilateral netting of fungible OTC derivatives
by Dominic O’Kane - 1535-1547 Hedging efficiently under correlation
by Roberto Daluiso & Massimo Morini - 1549-1565 On an efficient multiple time step Monte Carlo simulation of the SABR model
by Álvaro Leitao & Lech A. Grzelak & Cornelis W. Oosterlee - 1567-1581 Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance
by Chou-Wen Wang & Sharon S. Yang & Jr-Wei Huang - 1583-1600 A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
by Anca Pircalabu & Jesper Jung - 1601-1616 Latency and liquidity provision in a limit order book
by Julius Bonart & Martin D. Gould - 1617-1630 Testing weak exogeneity in multiplicative error models
by Kul B. Luintel & Yongdeng Xu - 1631-1643 Dynamic mean–VaR portfolio selection in continuous time
by Ke Zhou & Jiangjun Gao & Duan Li & Xiangyu Cui
September 2017, Volume 17, Issue 9
- 1305-1318 Assessing the effectiveness of local and global quadratic hedging under GARCH models
by Maciej Augustyniak & Frédéric Godin & Clarence Simard - 1319-1322 Money changes everything: how finance made civilization possible
by Alexander Lipton - 1323-1323 Calendar
by The Editors - 1325-1345 Approximate pricing of swaptions in affine and quadratic models
by Anna Maria Gambaro & Ruggero Caldana & Gianluca Fusai - 1347-1366 A novel Monte Carlo approach to hybrid local volatility models
by Anthonie W. van der Stoep & Lech A. Grzelak & Cornelis W. Oosterlee - 1367-1386 A re-examination of Libor rigging: a time-varying cointegration perspective
by Chew Lian Chua & Sandy Suardi & Yuanchen Chang - 1387-1401 How much is the gap?—Efficient jump risk-adjusted valuation of leveraged certificates
by Ally Quan Zhang & Matthias Thul - 1403-1416 Practical Bayesian support vector regression for financial time series prediction and market condition change detection
by T. Law & J. Shawe-Taylor - 1417-1433 Extreme risk spillover network: application to financial institutions
by Gang-Jin Wang & Chi Xie & Kaijian He & H. Eugene Stanley - 1435-1445 Systemic risk and dynamics of contagion: a duplex inter-bank network
by Ding Ding & Liyan Han & Libo Yin - 1447-1456 The lead–lag relationship between the spot and futures markets in China
by Donghua Wang & Jingqing Tu & Xiaohui Chang & Saiping Li - 1457-1476 Recursive risk measures under regime switching applied to portfolio selection
by Zhiping Chen & Jia Liu & Yongchang Hui
August 2017, Volume 17, Issue 8
- 1147-1157 Optimal execution strategy and liquidity adjusted value-at-risk
by Yasong Jin - 1159-1164 Optimal Mean Reversion Trading
by Henri Leowski - 1165-1165 Calendar
by The Editors - 1167-1186 Modified profile likelihood inference and interval forecast of the burst of financial bubbles
by V. Filimonov & G. Demos & D. Sornette - 1187-1203 Herding behaviour and volatility clustering in financial markets
by Noemi Schmitt & Frank Westerhoff - 1205-1221 Dynamic factor long memory volatility
by Richard D. F. Harris & Anh T. H. Nguyen - 1223-1241 An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern
by Kuang-Liang Chang & Shih-Ti Yu - 1243-1256 No-arbitrage bounds for the forward smile given marginals
by Sergey Badikov & Antoine Jacquier & Daphne Qing Liu & Patrick Roome - 1257-1275 Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model
by Maria Cristina Recchioni & Yu Sun & Gabriele Tedeschi - 1277-1304 Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
by Hui ‘Fox’ Ling & Christian Franzen
July 2017, Volume 17, Issue 7
- 979-991 Examining the profitability of automatic trading strategies with a focus on trend indicators
by Erhard Reschenhofer & Thomas Sinkovics - 993-995 Option Valuation under Stochastic Volatility II: With Mathematica Code
by David Pottinton - 997-997 Calendar
by The Editors - 999-1020 The role of volume in order book dynamics: a multivariate Hawkes process analysis
by Marcello Rambaldi & Emmanuel Bacry & Fabrizio Lillo - 1021-1035 The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
by N. Taylor & Y. Xu - 1037-1055 Optimal portfolio positioning within generalized Johnson distributions
by N. Naguez & J. L. Prigent - 1057-1070 Last look
by Roel Oomen - 1071-1088 A structural framework for modelling contingent capital
by J. Li & A. Metzler & R. M. Reesor - 1089-1103 Online Kernel estimation of stationary stochastic diffusion models
by Xin Wang