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Content
March 2013, Volume 13, Issue 4
- 571-582 Gold and the U.S. dollar: tales from the turmoil
by Paolo Zagaglia & Massimiliano Marzo - 583-592 Short-term and long-term dependencies of the S&P 500 index and commodity prices
by Michael Graham & Jarno Kiviaho & Jussi Nikkinen - 593-612 Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model
by Elyas Elyasiani & Iqbal Mansur & Babatunde Odusami - 613-626 Cross-market soybean futures price discovery: does the Dalian Commodity Exchange affect the Chicago Board of Trade?
by Liyan Han & Rong Liang & Ke Tang - 627-635 Efficient pricing of swing options in L�vy-driven models
by Oleg Kudryavtsev & Antonino Zanette - 637-653 Is the EUA a new asset class?
by Vicente Medina & Angel Pardo
February 2013, Volume 13, Issue 3
- 325-346 An ecological perspective on the future of computer trading
by J. Doyne Farmer & Spyros Skouras - 347-348 More Mathematical Finance
by Stefan Weber - 351-367 The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
by Nick Deguillaume & Riccardo Rebonato & Andrey Pogudin - 369-381 The use of Bayes factors to compare interest rate term structure models
by W. Keener Hughen & Carmelo Giaccotto & Po-Hsuan Hsu - 383-398 Predicting issuer credit ratings using generalized estimating equations
by Ruey-Ching Hwang - 399-405 Contagion models a la carte: which one to choose?
by Harry Zheng - 407-420 An extension of Davis and Lo's contagion model
by Areski Cousin & Diana Dorobantu & Didier Rullière - 421-437 A market model with medium/long-term effects due to an insider
by Hiroaki Hata & Arturo Kohatsu-Higa - 439-449 Firm characteristics that drive the momentum pattern in the UK stock market
by Antonios Siganos - 451-470 EMU equity markets' return variance and spillover effects from the short-term interest rate
by Ai Jun Hou - 471-481 Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
by Kuan-Min Wang & Thanh-Binh Nguyen Thi
January 2013, Volume 13, Issue 2
- 159-166 The buy-and-hold horizon and portfolio choice
by Geoffrey Woglom - 167-176 Smoothed safety first and the holding of assets
by M. Ryan Haley & Harry J. Paarsch & Charles H. Whiteman - 177-179 Thinking, Fast and Slow, by D. Kahneman
by Lisa R. Goldberg - 183-194 On the numerical stability of simulation methods for SDEs under multiplicative noise in finance
by Eckhard Platen & Lei Shi - 195-204 Fractional differencing in discrete time
by John Elder & Robert J. Elliott & Hong Miao - 205-226 Inflation breakeven in the Jarrow and Yildirim model and resulting pricing formulas
by Alessandro Cipollini & Paul Canty - 227-239 Asset pricing with disequilibrium price adjustment: theory and empirical evidence
by Cheng-Few Lee & Chiung-Min Tsai & Alice C. Lee - 241-253 The representation of American options prices under stochastic volatility and jump-diffusion dynamics
by Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas - 255-263 A perturbative approach to Bermudan options pricing with applications
by Roberto Baviera & Lorenzo Giada - 265-274 Multiscale analysis of economic time series by scale-dependent Lyapunov exponent
by Jianbo Gao & Jing Hu & Wen-Wen Tung & Yi Zheng - 275-280 Prediction accuracy and sloppiness of log-periodic functions
by David S. Br�e & Damien Challet & Pier Paolo Peirano - 281-300 Equity issues and aggregate market returns under information asymmetry
by Xiaoquan Jiang & Bong-Soo Lee - 301-316 The augmented Black--Litterman model: a ranking-free approach to factor-based portfolio construction and beyond
by Wing Cheung - 317-322 The law of one accounting variable
by Haim Reisman
December 2013, Volume 13, Issue 1
- 1-11 Empirical performance of models for barrier option valuation
by Cathrine Jessen & Rolf Poulsen - 13-23 Optimizing a basket against the efficient market hypothesis
by Fr�d�ric Abergel & Mauro Politi
January 2013, Volume 13, Issue 1
- 25-26 Dark Markets, by Darrell Duffie
by Viral V. Acharya - 29-44 The statistical properties of the innovations in multivariate ARCH processes in high dimensions
by Gilles Zumbach - 45-63 Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
by Dolores Furió & Francisco J. Climent - 65-77 Modelling microstructure noise with mutually exciting point processes
by E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy - 79-94 Optimal high-frequency trading with limit and market orders
by Fabien Guilbaud & Huyên Pham - 95-109 The British call option
by Goran Peskir & Farman Samee - 111-123 Derivatives pricing with marked point processes using tick-by-tick data
by Álvaro Cartea - 125-136 The valuation of structured products using Markov chain models
by Dilip B. Madan & Martijn Pistorius & Wim Schoutens - 137-157 American step-up and step-down default swaps under L�vy models
by Tim Leung & Kazutoshi Yamazaki
November 2012, Volume 14, Issue 8
- 1453-1465 An intensity model for credit risk with switching L�vy processes
by Donatien Hainaut & Olivier Le Courtois
October 2012, Volume 13, Issue 7
- 981-988 A formalization of double auction market dynamics
by Edward Tsang & Richard Olsen & Shaimaa Masry - 989-996 Conservatism bias in the presence of strategic interaction
by Guo Ying Luo - 1015-1028 Applying hedging strategies to estimate model risk and provision calculation
by Alberto Elices & Eduard Gim�nez - 1091-1113 Industry herding and market states: evidence from Chinese stock markets
by Chien-Chiang Lee & Mei-Ping Chen & Kuan-Mien Hsieh
May 2012, Volume 13, Issue 7
- 1029-1039 Arbitrage-free interval and dynamic hedging in an illiquid market
by Jinqiang Yang & Zhaojun Yang
November 2012, Volume 13, Issue 7
- 1041-1058 The term structure of S&P 100 model-free volatilities
by Kian-Guan Lim & Christopher Ting
January 2012, Volume 13, Issue 5
- 739-748 Risk premiums in a simple market model for implied volatility
by Bas Peeters
September 2012, Volume 13, Issue 5
- 783-793 Multiple-limit trades: empirical facts and application to lead--lag measures
by Fabrizio Pomponio & Frederic Abergel
October 2012, Volume 13, Issue 5
- 665-670 Is hyperbolic discounting really evidence of irrational behavior?
by Philip A. Horvath & Amit K. Sinha - 749-768 Derivative pricing under asymmetric and imperfect collateralization and CVA
by Masaaki Fujii & Akihiko Takahashi - 769-782 Semi-closed form cubature and applications to financial diffusion models
by Christian Bayer & Peter Friz & Ronnie Loeffen
March 2012, Volume 13, Issue 5
- 687-698 Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
by Robert J. Elliott & Guang-Hua Lian
December 2012, Volume 13, Issue 5
- 671-672 The Capital Asset Pricing Model in the 21st Century
by Richard Michaud
November 2012, Volume 13, Issue 5
- 675-685 Variance swap dynamics
by K. Detlefsen & W. K. Härdle - 713-728 Fast and realistic European ARCH option pricing and hedging
by Gilles Zumbach & Luis Fernández
December 2012, Volume 12, Issue 12
- 1773-1777 Inconvenience yield, or the theory of normal contango
by Ilia Bouchouev - 1779-1785 Long--short versus long-only commodity funds
by John M. Mulvey - 1787-1789 The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin
by Lloyd Kurtz - 1795-1809 Determinants of oil futures prices and convenience yields
by M. A. H. Dempster & Elena Medova & Ke Tang - 1811-1826 Pricing and hedging of long-term futures and forward contracts by a three-factor model
by Kenichiro Shiraya & Akihiko Takahashi - 1827-1837 An empirical study of the impact of skewness and kurtosis on hedging decisions
by Jing-Yi Lai - 1839-1855 Analyzing the dynamics of the refining margin: implications for valuation and hedging
by Andr�s Garc�a Mirantes & Javier Población & Gregorio Serna - 1857-1875 Quantitative spread trading on crude oil and refined products markets
by Mark Cummins & Andrea Bucca - 1877-1891 Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
by Yijun Du & Chen Wang & Yibing Du - 1893-1908 Time-frequency analysis of crude oil and S&P500 futures contracts
by Joseph McCarthy & Alexei G. Orlov - 1909-1934 Short-horizon return predictability and oil prices
by Jaime Casassus & Freddy Higuera - 1935-1949 Modeling the distribution of day-ahead electricity returns: a comparison
by Sandro Sapio - 1951-1965 The valuation of clean spread options: linking electricity, emissions and fuels
by Ren� Carmona & Michael Coulon & Daniel Schwarz
November 2012, Volume 12, Issue 11
- 1629-1636 The end of diversification
by Jessica James & Kristjan Kasikov & Kerry-Ann Edwards - 1637-1645 A look at side-by-side management: evidence from ETFs and mutual funds
by Herminio Romero-P�rez & Javier Rodr�guez - 1647-1648 Finance and the Good Society, by Robert J. Shiller
by Con Keating - 1651-1662 Robust and adaptive algorithms for online portfolio selection
by Theodoros Tsagaris & Ajay Jasra & Niall Adams - 1663-1678 Pricing the Chicago Board of Trade T-Bond futures
by Ramzi Ben-Abdallah & Hatem Ben-Ameur & Michèle Breton - 1679-1694 Options on realized variance by transform methods: a non-affine stochastic volatility model
by Gabriel G. Drimus - 1695-1708 Truncation and acceleration of the Tian tree for the pricing of American put options
by Ting Chen & Mark Joshi - 1709-1721 The macroeconomic content of international equity market factors
by Sarantis Tsiaplias - 1723-1732 Testing for a rational bubble under long memory
by Michael Frömmel & Robinson Kruse - 1733-1751 The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure
by Maria Elena Bontempi & Roberto Golinelli - 1753-1772 An experimental study on real-options strategies
by Mei Wang & Abraham Bernstein & Marc Chesney
October 2012, Volume 12, Issue 10
- 1467-1475 Capital regulation and auditing
by Ensar Yilmaz & Burak Ünveren - 1477-1486 On the role of risk in the Morningstar rating for mutual funds
by Francesco Lisi & Massimiliano Caporin - 1487-1489 Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger
by Alec N. Kercheval - 1493-1520 Dynamical clustering of exchange rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones - 1521-1532 Do jumps mislead the FX market?
by Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt - 1533-1546 Trending time-varying coefficient market models
by Chongshan Zhang & Xiangrong Yin - 1547-1556 Market risks in asset management companies
by Bernd Scherer - 1557-1569 Fast simulations in credit risk
by Halis Sak & Wolfgang Hörmann - 1571-1583 A new method for generating approximation algorithms for financial mathematics applications
by Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru - 1585-1597 Consumer confidence and stock returns over market fluctuations
by Shiu-Sheng Chen - 1599-1614 Firm size, information acquisition and price efficiency
by Tian Zhao - 1615-1628 Optimal insurance contract and coverage levels under loss aversion utility preference
by Ching-Ping Wang & Hung-Hsi Huang
October 2012, Volume 12, Issue 9
- 1367-1379 Statistical signatures in times of panic: markets as a self-organizing system
by Lisa Borland
May 2012, Volume 12, Issue 9
- 1315-1324 VaR limits for pension funds: an evaluation
by Solange M. Berstein & Rómulo A. Chumacero - 1325-1333 Two stock options at the races: Black--Scholes forecasts
by G. Oshanin & G. Schehr
December 2012, Volume 12, Issue 9
- 1421-1437 Volatility behavior, information efficiency and risk in the S&P 500 index markets
by Shu-Mei Chiang & Huimin Chung & Chien-Ming Huang - 1453-1466 A paradigm shift from production function to production copula: statistical description of production activity of firms
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
November 2012, Volume 12, Issue 9
- 1381-1394 Z -Transform and preconditioning techniques for option pricing
by Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng - 1439-1451 IPO pricing: a case of short-sale restrictions and divergent expectations
by Richard J. Kish & Nandkumar Nayar & Wenlong Weng
August 2012, Volume 12, Issue 9
- 1339-1349 A liquidity-based model for asset price bubbles
by Robert A. Jarrow & Philip Protter & Alexandre F. Roch - 1351-1365 Financial crisis dynamics: attempt to define a market instability indicator
by Youngna Choi & Raphael Douady
September 2012, Volume 12, Issue 9
- 1335-1336 Boomerang, by Michael Lewis
by Nicholas Dunbar - 1395-1419 The price impact of order book events: market orders, limit orders and cancellations
by Zoltán Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren
January 2012, Volume 12, Issue 8
- 1299-1314 Financial factors and firm growth: evidence from financial data on Taiwanese firms
by Khurshid M. Kiani & Ellen Huiru Chen & Zagros Madjd-Sadjadi
July 2012, Volume 12, Issue 8
- 1161-1187 Stock market crashes in 2007--2009: were we able to predict them?
by S�bastien Lleo & William T. Ziemba - 1265-1281 Path-dependent scenario trees for multistage stochastic programmes in finance
by Giorgio Consigli & Gaetano Iaquinta & Vittorio Moriggia
March 2012, Volume 12, Issue 8
- 1241-1252 Forward-neutral valuation relationships for options on zero coupon bonds
by Ant�nio C�mara & Ana C�mara
August 2012, Volume 12, Issue 8
- 1193-1195 Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown
by Roger Stein
May 2012, Volume 12, Issue 8
- 1199-1218 Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis
by Rama Cont & Cathrine Jessen
February 2012, Volume 12, Issue 8
- 1219-1240 Pricing CDOs with state-dependent stochastic recovery rates
by Salah Amraoui & Laurent Cousot & Sebastien Hitier & Jean-Paul Laurent
June 2012, Volume 12, Issue 8
- 1189-1192 Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics
by C. Schinckus - 1253-1263 Universal price impact functions of individual trades in an order-driven market
by Wei-Xing Zhou - 1283-1298 The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)
by Guy Kaplanski & Haim Levy
June 2012, Volume 12, Issue 7
- 1003-1010 New analytical option pricing models with Weyl--Titchmarsh theory
by Jin E. Zhang & Yishen Li
May 2012, Volume 12, Issue 7
- 993-1001 Mortgage valuation: a quasi-closed-form solution
by Cristina Viegas & Jos� Azevedo-Pereira - 1015-1024 How does the market react to your order flow?
by B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer - 1095-1110 GARCH options via local risk minimization
by Juan-Pablo Ortega - 1119-1141 An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
by Artur Sepp
April 2012, Volume 12, Issue 7
- 1025-1036 Reduced form modeling of limit order markets
by Pekka Malo & Teemu Pennanen - 1079-1094 Option pricing for GARCH-type models with generalized hyperbolic innovations
by Christophe Chorro & Dominique Gu�gan & Florian Ielpo
February 2012, Volume 12, Issue 7
- 1051-1064 Cycles, determinism and persistence in agent-based games and financial time-series: part I
by J. B. Satinover & D. Sornette - 1065-1078 Cycles, determinism and persistence in agent-based games and financial time-series: part II
by J. B. Satinover & D. Sornette - 1111-1117 A class of stochastic volatility models and the q -optimal martingale measure
by Sotirios Sabanis
November 2012, Volume 12, Issue 7
- 1037-1049 Measuring large comovements in financial markets
by Jeremy Penzer & Friedrich Schmid & Rafael Schmidt
September 2012, Volume 12, Issue 7
- 1143-1159 Choosing the optimal annuitization time post-retirement
by Russell Gerrard & Bjarne Højgaard & Elena Vigna
July 2012, Volume 12, Issue 7
- 1011-1012 An Introduction to Austrian Economics, by Thomas C. Taylor
by Barry Schachter
March 2012, Volume 12, Issue 6
- 831-837 Entrepreneurship and innovation in financial institutions
by Chander Velu - 893-905 Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
by Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe - 943-950 Monitoring the board: should shareholders have direct proxy access?
by Gilberto Loureiro - 969-991 Do industries contain predictive information for the Fama--French factors?
by Chikashi Tsuji
April 2012, Volume 12, Issue 6
- 839-845 From credit valuation adjustments to credit capital commitments
by Dilip B. Madan - 865-871 Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
by Treviño-Aguilar Erick - 873-891 General approximation schemes for option prices in stochastic volatility models
by Karl Larsson - 907-931 Exchange rate and inflation risk premia in the EMU
by Begoña Font & Alfredo Juan Grau
November 2012, Volume 12, Issue 6
- 951-967 Time varying betas and the unconditional distribution of asset returns
by C. J. Adcock & M. Ceu Cortez & M. J. Rocha Armada & F. Silva
June 2012, Volume 12, Issue 6
- 849-851 The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank
by Terry Burnham
October 2012, Volume 12, Issue 6
- 847-848 Realism in quantitative finance: a note
by Andreas Andrikopoulos - 933-941 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
by Jingjiang Peng & Kwai Sun Leung & Yue Kuen Kwok
February 2012, Volume 12, Issue 6
- 855-863 Hedging derivatives with model error
by Robert A. Jarrow
April 2012, Volume 12, Issue 5
- 685-689 Statistical finance at the École Polytechnique, Paris: the informal FIESTA research group
by Emmanuel Bacry & Marc Hoffmann & Mathieu Rosenbaum - 781-790 Time-varying long-run mean of commodity prices and the modeling of futures term structures
by Ke Tang
July 2012, Volume 12, Issue 5
- 725-737 A closed-form solution to American options under general diffusion processes
by Jing Zhao & Hoi Ying Wong
November 2012, Volume 12, Issue 5
- 755-768 Probability-unbiased Value-at-Risk estimators
by Ivo Francioni & Florian Herzog - 769-780 Bayesian Value-at-Risk with product partition models
by Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola
May 2012, Volume 12, Issue 5
March 2012, Volume 12, Issue 5
- 671-683 A strategy-proof test of portfolio returns
by Dean P. Foster & H. Peyton Young - 739-754 Estimation of multiple period expected shortfall and median shortfall for risk management
by Mike K. P. So & Chi-Ming Wong - 805-818 Coupling index and stocks
by Benjamin Jourdain & Mohamed Sbai - 819-830 Performance evaluation of balanced pension plans
by Laura Andreu & Laurens Swinkels
October 2012, Volume 12, Issue 5
- 709-724 Unbounded liabilities, capital reserve requirements and the taxpayer put option
by Ernst Eberlein & Dilip B. Madan - 791-804 Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
by Joey Wenling Yang & Jerry Parwada
February 2012, Volume 12, Issue 5
- 695-707 Leverage causes fat tails and clustered volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos
April 2012, Volume 12, Issue 4
- 509-511 Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman
by M.A.H. Dempster - 515-515 Foreword
by Ionut Florescu & Maria C. Mariani & H. Eugene Stanley & Frederi G. Viens - 623-634 Detecting market crashes by analysing long-memory effects using high-frequency data
by E. Barany & M. P. Beccar Varela & I. Florescu & I. Sengupta - 663-670 Nonlinear problems modeling stochastic volatility and transaction costs
by Maria C. Mariani & Indranil SenGupta
January 2012, Volume 12, Issue 4
- 573-586 Regularization for stationary multivariate time series
by Yan Sun & Xiaodong Lin - 587-605 Integer-valued L�vy processes and low latency financial econometrics
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - 651-662 Systemic risk components and deposit insurance premia
by Jeremy Staum
July 2012, Volume 12, Issue 4
- 501-508 The scale of market quakes
by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen
December 2012, Volume 12, Issue 4
- 531-545 Model calibration and automated trading agent for Euro futures
by Germán Creamer - 607-622 Estimation of quarticity with high-frequency data
by Maria Elvira Mancino & Simona Sanfelici - 635-649 Stochastic volatility and option pricing with long-memory in discrete and continuous time
by Alexandra Chronopoulou & Frederi G. Viens
October 2012, Volume 12, Issue 4
- 559-566 High-frequency trading model for a complex trading hierarchy
by Boris Podobnik & Duan Wang & H. Eugene Stanley
November 2012, Volume 12, Issue 4
- 517-530 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
by Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 567-572 Hidden noise structure and random matrix models of stock correlations
by Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber
August 2012, Volume 12, Issue 4
- 547-557 A generalized birth--death stochastic model for high-frequency order book dynamics
by He Huang & Alec N. Kercheval
April 2012, Volume 12, Issue 3
- 451-464 Pricing dynamic binary variables and their derivatives
by David G. Luenberger - 465-475 Real options with a double continuation region
by Anna Battauz & Marzia De Donno & Alessandro Sbuelz
October 2012, Volume 12, Issue 3
- 437-449 A comparison of statistical tests for the adequacy of a neural network regression model
by Nikos S. Thomaidis & Georgios D. Dounias
March 2012, Volume 12, Issue 3
- 329-339 On monitoring financial stress index with extreme value theory
by Amira Dridi & Mohamed El Ghourabi & Mohamed Limam - 341-342 Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda
by Agostino Capponi - 489-500 Temperature models for pricing weather derivatives
by Frank Schiller & Gerold Seidler & Maximilian Wimmer
February 2012, Volume 12, Issue 3
- 411-424 Models for stock returns
by Saralees Nadarajah
September 2012, Volume 12, Issue 3
- 477-488 Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance
by Bin Lu & Xin-Yuan Song & Xin-Dan Li
November 2012, Volume 12, Issue 3
- 345-367 Positive return premia in Japan
by Chikashi Tsuji - 397-410 Nonlinear interdependence of the Chinese stock markets
by Abdol S. Soofi & Zhe Li & Xiaofeng Hui
June 2012, Volume 12, Issue 3
- 369-382 Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan
by Pin-Huang Chou & Kuan-Cheng Ko & Szu-Tsen Kuo & Shinn-Juh Lin - 425-436 Converse trading strategies, intrinsic noise and the stylized facts of financial markets
by Frank Westerhoff & Reiner Franke
December 2012, Volume 12, Issue 3
- 383-395 The performance of enhanced-return index funds: evidence from bootstrap analysis
by An-Sing Chen & Yeh-Chung Chu & Mark T. Leung
October 2012, Volume 12, Issue 2
- 231-247 An unbiased autoregressive conditional intraday seasonal variance filtering process
by Jang Hyung Cho & Robert T. Daigler - 295-310 Contagion determination via copula and volatility threshold models
by Veni Arakelian & Petros Dellaportas
April 2012, Volume 12, Issue 2
- 263-279 Discrete sine transform for multi-scale realized volatility measures§
by Giuseppe Curci & Fulvio Corsi
May 2012, Volume 12, Issue 2
- 169-179 The euro's impacts on the smooth transition dynamics of stock market volatilities
by Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang - 199-212 Stochastic volatility models including open, close, high and low prices
by Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina - 249-261 Swap rate variance swaps
by Nicolas Merener
February 2012, Volume 12, Issue 2
July 2012, Volume 12, Issue 2
- 311-327 Does herding affect volatility? Implications for the Spanish stock market
by Natividad Blasco & Pilar Corredor & Sandra Ferreruela
September 2012, Volume 12, Issue 2
- 185-198 Analytical formulas for a local volatility model with stochastic rates
by E. Benhamou & E. Gobet & M. Miri - 213-230 Discovering stock dynamics through multidimensional volatility phases
by Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang - 281-293 Fourier volatility forecasting with high-frequency data and microstructure noise
by Emilio Barucci & Davide Magno & Maria Elvira Mancino
August 2012, Volume 12, Issue 1
- 61-73 Arbitrage-free approximation of call price surfaces and input data risk
by Judith Glaser & Pascal Heider
September 2012, Volume 12, Issue 1
- 39-48 Mark-to-model for cash CDOs through indifference pricing
by Guillaume Bernis - 49-60 Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
by Jimmy E. Hilliard & Jitka Hilliard
January 2012, Volume 12, Issue 1
- 15-16 Markov Decision Processes with Applications to Finance, by N. Bäuerle and U. Rieder
by Jon McAuliffe
March 2012, Volume 12, Issue 1
- 1-10 The times change: multivariate subordination. Empirical facts
by Nicolas Huth & Fr�d�ric Abergel