Results 1-10 of 83.
|2011 ||Martingale approach in pricing and hedging European options under regime-switching||Milstein, Grigori N. / Spokoiny, Vladimir
|2011 ||Empirical evidence on jumps and large fluctuations in individual stocks||Doung, Diep / Swanson, Norman
|2011 ||Volatility in discrete and continuous time models: A survey with new evidence on large and small jumps||Duong, Diep / Swanson, Norman
|2011 ||Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise||Reiß, Markus
|2012 ||Arima-Garch models in estimating market risk using value at risk for the WIG20 index||Makiel, Kamil
|2011 ||The Analysis of Stochastic Volatility in the Presence of Daily Realised Measures||Koopman, Siem Jan / Scharth, Marcel
|2012 ||Structural change and spurious persistence in stochastic volatility||Krämer, Walter / Messow, Philip
|2012 ||Pricing synthetic CDOs using a three regime Random-Factor-Loading Model||Messow, Philip
|2012 ||Identifying time variability in stock and interest rate dependence||Stein, Michael / Islami, Mevlud / Lindemann, Jens
|2013 ||Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction||Duong, Diep / Swanson, Norman R.