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DateTitle Authors
2011 Martingale approach in pricing and hedging European options under regime-switchingMilstein, Grigori N. / Spokoiny, Vladimir
2013 The economic valuation of variance forecasts: An artificial option market approachParrák, Radovan
2011 Empirical evidence on jumps and large fluctuations in individual stocksDoung, Diep / Swanson, Norman
2011 Volatility in discrete and continuous time models: A survey with new evidence on large and small jumpsDuong, Diep / Swanson, Norman
2011 Asymptotic equivalence and sufficiency for volatility estimation under microstructure noiseReiß, Markus
2012 Arima-Garch models in estimating market risk using value at risk for the WIG20 indexMakiel, Kamil
2011 The Analysis of Stochastic Volatility in the Presence of Daily Realised MeasuresKoopman, Siem Jan / Scharth, Marcel
2012 Structural change and spurious persistence in stochastic volatilityKrämer, Walter / Messow, Philip
2012 Pricing synthetic CDOs using a three regime Random-Factor-Loading ModelMessow, Philip
2010 Equity premium predictions with adaptive macro indexesBai, Jennie

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