[Raw data] [50 most cited papers] [50 most relevant papers] [cites used to compute IF] [Recent citations ][Frequent citing series ] [more data in EconPapers] [trace new citations] [Missing citations? Add them now] [Incorrect content? Let us know]
IF | AIF | CIF | IF5 | DOC | CDO | CIT | NCI | CCU | D2Y | C2Y | D5Y | C5Y | SC | %SC | CiY | II | AII | |
1990 | 0 | 0.14 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1991 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1992 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1993 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.07 | |||||
1994 | 0 | 0.13 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.06 | |||||
1995 | 0 | 0.18 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.11 | |||||
1997 | 0 | 0.23 | 0.47 | 0 | 15 | 15 | 272 | 6 | 8 | 0 | 0 | 1 | 16.7 | 6 | 0.4 | 0.12 | ||
1998 | 0.53 | 0.24 | 0.2 | 0.53 | 44 | 59 | 283 | 12 | 20 | 15 | 8 | 15 | 8 | 2 | 16.7 | 2 | 0.05 | 0.15 |
1999 | 0.1 | 0.32 | 0.15 | 0.1 | 53 | 112 | 526 | 17 | 37 | 59 | 6 | 59 | 6 | 3 | 17.6 | 8 | 0.15 | 0.21 |
2000 | 0.24 | 0.46 | 0.39 | 0.28 | 74 | 186 | 589 | 72 | 109 | 97 | 23 | 112 | 31 | 19 | 26.4 | 9 | 0.12 | 0.2 |
2001 | 0.28 | 0.39 | 0.47 | 0.27 | 97 | 283 | 653 | 127 | 241 | 127 | 36 | 186 | 51 | 52 | 40.9 | 29 | 0.3 | 0.22 |
2002 | 0.27 | 0.42 | 0.34 | 0.22 | 112 | 395 | 886 | 131 | 375 | 171 | 46 | 283 | 62 | 37 | 28.2 | 28 | 0.25 | 0.24 |
2003 | 0.25 | 0.41 | 0.31 | 0.19 | 107 | 502 | 418 | 150 | 529 | 209 | 53 | 380 | 72 | 34 | 22.7 | 6 | 0.06 | 0.24 |
2004 | 0.21 | 0.47 | 0.34 | 0.23 | 150 | 652 | 893 | 221 | 752 | 219 | 46 | 443 | 102 | 30 | 13.6 | 23 | 0.15 | 0.27 |
2005 | 0.18 | 0.49 | 0.31 | 0.2 | 190 | 842 | 709 | 247 | 1011 | 257 | 46 | 540 | 108 | 63 | 25.5 | 19 | 0.1 | 0.29 |
2006 | 0.22 | 0.48 | 0.32 | 0.21 | 245 | 1087 | 616 | 351 | 1363 | 340 | 76 | 656 | 139 | 53 | 15.1 | 12 | 0.05 | 0.26 |
2007 | 0.18 | 0.4 | 0.28 | 0.19 | 285 | 1372 | 1301 | 379 | 1751 | 435 | 77 | 804 | 149 | 79 | 20.8 | 33 | 0.12 | 0.22 |
2008 | 0.18 | 0.45 | 0.3 | 0.18 | 301 | 1673 | 1037 | 482 | 2245 | 530 | 96 | 977 | 174 | 90 | 18.7 | 21 | 0.07 | 0.23 |
2009 | 0.2 | 0.43 | 0.3 | 0.18 | 342 | 2015 | 1132 | 569 | 2842 | 586 | 116 | 1171 | 205 | 134 | 23.6 | 39 | 0.11 | 0.23 |
2010 | 0.2 | 0.37 | 0.27 | 0.17 | 483 | 2498 | 1166 | 648 | 3509 | 643 | 131 | 1363 | 235 | 138 | 21.3 | 39 | 0.08 | 0.19 |
2011 | 0.2 | 0.47 | 0.34 | 0.18 | 516 | 3014 | 1357 | 997 | 4535 | 825 | 165 | 1656 | 303 | 241 | 24.2 | 145 | 0.28 | 0.25 |
2012 | 0.2 | 0.5 | 0.31 | 0.2 | 585 | 3599 | 1357 | 1071 | 5635 | 999 | 204 | 1927 | 387 | 326 | 30.4 | 81 | 0.14 | 0.26 |
2013 | 0.25 | 0.52 | 0.33 | 0.21 | 707 | 4306 | 1754 | 1396 | 7072 | 1101 | 270 | 2227 | 476 | 447 | 32 | 144 | 0.2 | 0.24 |
2014 | 0.3 | 0.55 | 0.37 | 0.25 | 793 | 5099 | 1556 | 1818 | 8950 | 1292 | 392 | 2633 | 665 | 629 | 34.6 | 147 | 0.19 | 0.28 |
2015 | 0.32 | 0.54 | 0.39 | 0.27 | 794 | 5893 | 1380 | 2234 | 11265 | 1500 | 476 | 3084 | 823 | 848 | 38 | 145 | 0.18 | 0.28 |
2016 | 0.33 | 0.58 | 0.41 | 0.28 | 956 | 6849 | 1122 | 2765 | 14100 | 1587 | 531 | 3395 | 957 | 892 | 32.3 | 196 | 0.21 | 0.29 |
2017 | 0.3 | 0.6 | 0.39 | 0.26 | 946 | 7795 | 947 | 2963 | 17164 | 1750 | 521 | 3835 | 1014 | 1004 | 33.9 | 184 | 0.19 | 0.3 |
2018 | 0.34 | 0.62 | 0.39 | 0.29 | 1479 | 9274 | 810 | 3530 | 20814 | 1902 | 642 | 4196 | 1209 | 1195 | 33.9 | 292 | 0.2 | 0.33 |
IF: | Impact Factor: C2Y / D2Y |
AIF: | Average Impact Factor for series in RePEc in year y |
CIF: | Cumulative impact factor |
IF5: | Impact Factor: C5Y / D5Y |
DOC: | Number of documents published in year y |
CDO: | Cumulative number of documents published until year y |
CIT: | Number of citations to papers published in year y |
NCI: | Number of citations in year y |
CCU: | Cumulative number of citations to papers published until year y |
D2Y: | Number of articles published in y-1 plus y-2 |
C2Y: | Cites in y to articles published in y-1 plus y-2 |
D5Y: | Number of articles published in y-1 until y-5 |
C5Y: | Cites in y to articles published in y-1 until y-5 |
SC: | selft citations in y to articles published in y-1 plus y-2 |
%SC: | Percentage of selft citations in y to articles published in y-1 plus y-2 |
CiY: | Cites in year y to documents published in year y |
II: | Immediacy Index: CiY / Documents. |
AII: | Average Immediacy Index for series in RePEc in year y |
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers || Download paper | 477 |
2 | 2002 | On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers || Download paper | 336 |
3 | 2009 | The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers || Download paper | 194 |
4 | 2008 | Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773. Full description at Econpapers || Download paper | 166 |
5 | 1999 | Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers || Download paper | 158 |
6 | 2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers || Download paper | 127 |
7 | 1999 | Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283. Full description at Econpapers || Download paper | 124 |
8 | 1999 | The statistical properties of the volatility of price fluctuations. (1999). Peng, Chung-Kang ; Liu, Yanhui ; Cizeau, Pierre ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9903369. Full description at Econpapers || Download paper | 122 |
9 | 1999 | Scaling of the distribution of price fluctuations of individual companies. (1999). Stanley, H. E. ; Plerou, V. ; Gopikrishnan, P. ; Meyer, M. ; L. A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9907161. Full description at Econpapers || Download paper | 115 |
10 | 2000 | Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers || Download paper | 114 |
11 | 2011 | Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577. Full description at Econpapers || Download paper | 112 |
12 | 2009 | Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers || Download paper | 109 |
13 | 2010 | Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1005.0877. Full description at Econpapers || Download paper | 106 |
14 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers || Download paper | 104 |
15 | 2004 | The Predictive Power of Zero Intelligence in Financial Markets. (2004). Zovko, Ilija ; Farmer, J. ; Patelli, Paolo. In: Papers. RePEc:arx:papers:cond-mat/0309233. Full description at Econpapers || Download paper | 104 |
16 | 2005 | Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers || Download paper | 101 |
17 | 2000 | Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113. Full description at Econpapers || Download paper | 99 |
18 | 1998 | Inverse Cubic Law for the Probability Distribution of Stock Price Variations. (1998). Stanley, Eugene H ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9803374. Full description at Econpapers || Download paper | 99 |
19 | 1998 | Universal features in the growth dynamics of complex organizations. (1998). canning, david ; Stanley, Eugene H. ; Lee, Youngki ; Young Ki Lee, ; Meyer, Martin ; Luis A. N. Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9804100. Full description at Econpapers || Download paper | 97 |
20 | 2011 | The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers || Download paper | 97 |
21 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0312703. Full description at Econpapers || Download paper | 96 |
22 | 2013 | Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929. Full description at Econpapers || Download paper | 92 |
23 | 2000 | Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454. Full description at Econpapers || Download paper | 88 |
24 | 2004 | Networks of equities in financial markets. (2004). Mantegna, Rosario ; Lillo, F. ; Micciche, S. ; Vandewalle, N. ; Caldarelli, G. ; Bonanno, G.. In: Papers. RePEc:arx:papers:cond-mat/0401300. Full description at Econpapers || Download paper | 86 |
25 | 2004 | The long memory of the efficient market. (2004). Farmer, J. ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:cond-mat/0311053. Full description at Econpapers || Download paper | 85 |
26 | 2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | 84 |
27 | 2003 | Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012. Full description at Econpapers || Download paper | 77 |
28 | 2005 | Structure and Evolution of the World Trade Network. (2005). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:physics/0502066. Full description at Econpapers || Download paper | 76 |
29 | 2001 | Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544. Full description at Econpapers || Download paper | 75 |
30 | 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0106520. Full description at Econpapers || Download paper | 75 |
31 | 2011 | Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers || Download paper | 74 |
32 | 2007 | On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893. Full description at Econpapers || Download paper | 69 |
33 | 1997 | Scaling behavior in economics: I. Empirical results for company growth. (1997). Salinger, Michael ; Stanley, H. E. ; Buldyrev, S. V. ; Havlin, S. ; Maass, P. ; M. H. R. Stanley, ; L. A. N. Amaral, ; Leschhorn, H.. In: Papers. RePEc:arx:papers:cond-mat/9702082. Full description at Econpapers || Download paper | 69 |
34 | 2014 | A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers || Download paper | 67 |
35 | 2000 | Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120. Full description at Econpapers || Download paper | 67 |
36 | 1997 | Physics of Finance. (1997). Ilinski, Kirill. In: Papers. RePEc:arx:papers:hep-th/9710148. Full description at Econpapers || Download paper | 66 |
37 | 2014 | Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002. Full description at Econpapers || Download paper | 66 |
38 | 2004 | Fitness-dependent topological properties of the World Trade Web. (2004). Garlaschelli, D. ; Loffredo, M. I.. In: Papers. RePEc:arx:papers:cond-mat/0403051. Full description at Econpapers || Download paper | 64 |
39 | 2017 | Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532. Full description at Econpapers || Download paper | 63 |
40 | 2006 | A fitness model for the Italian Interbank Money Market. (2006). Iori, Giulia ; Caldarelli, G. ; De Masi, G.. In: Papers. RePEc:arx:papers:physics/0610108. Full description at Econpapers || Download paper | 62 |
41 | 2015 | Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435. Full description at Econpapers || Download paper | 60 |
42 | 2007 | Point estimation with exponentially tilted empirical likelihood. (2007). Schennach, Susanne. In: Papers. RePEc:arx:papers:0708.1874. Full description at Econpapers || Download paper | 60 |
43 | 2000 | Statistical mechanics of money: How saving propensity affects its distribution. (2000). Chakraborti, Anirban ; Chakrabarti, Bikas K.. In: Papers. RePEc:arx:papers:cond-mat/0004256. Full description at Econpapers || Download paper | 59 |
44 | 2007 | Correlation based networks of equity returns sampled at different time horizons. (2007). Mantegna, Rosario ; Tumminello, M. ; Di Matteo, T. ; Aste, T.. In: Papers. RePEc:arx:papers:physics/0605251. Full description at Econpapers || Download paper | 57 |
45 | 2017 | When Should You Adjust Standard Errors for Clustering?. (2017). Wooldridge, Jeffrey ; Athey, Susan ; Abadie, Alberto ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926. Full description at Econpapers || Download paper | 56 |
46 | 2014 | The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David. In: Papers. RePEc:arx:papers:1408.1494. Full description at Econpapers || Download paper | 56 |
47 | 2003 | Critical Market Crashes. (2003). Sornette, D.. In: Papers. RePEc:arx:papers:cond-mat/0301543. Full description at Econpapers || Download paper | 54 |
48 | 2009 | The components of empirical multifractality in financial returns. (2009). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0908.1089. Full description at Econpapers || Download paper | 53 |
49 | 2010 | Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:0908.1879. Full description at Econpapers || Download paper | 53 |
50 | 2014 | What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003. Full description at Econpapers || Download paper | 52 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2007 | The Product Space Conditions the Development of Nations. (2007). Hidalgo, Cesar ; Hausmann, Ricardo ; A. -L. Barabasi, ; Klinger, B.. In: Papers. RePEc:arx:papers:0708.2090. Full description at Econpapers || Download paper | 192 |
2 | 2009 | The Building Blocks of Economic Complexity. (2009). Hidalgo, Cesar ; Hausmann, Ricardo. In: Papers. RePEc:arx:papers:0909.3890. Full description at Econpapers || Download paper | 96 |
3 | 2002 | On the coherence of Expected Shortfall. (2002). Acerbi, Carlo ; Tasche, Dirk. In: Papers. RePEc:arx:papers:cond-mat/0104295. Full description at Econpapers || Download paper | 75 |
4 | 2017 | Some stylized facts of the Bitcoin market. (2017). Fernandez Bariviera, Aurelio ; Naiouf, Marcelo ; Hasperu, Waldo ; Jos, Mar'Ia . In: Papers. RePEc:arx:papers:1708.04532. Full description at Econpapers || Download paper | 63 |
5 | 2008 | Multifractal detrended cross-correlation analysis for two nonstationary signals. (2008). Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:0803.2773. Full description at Econpapers || Download paper | 61 |
6 | 2017 | When Should You Adjust Standard Errors for Clustering?. (2017). Wooldridge, Jeffrey ; Athey, Susan ; Abadie, Alberto ; Imbens, Guido. In: Papers. RePEc:arx:papers:1710.02926. Full description at Econpapers || Download paper | 56 |
7 | 2013 | Model-independent Bounds for Option Prices: A Mass Transport Approach. (2013). Penkner, Friedrich ; Henry-Labordere, Pierre ; Beiglbock, Mathias . In: Papers. RePEc:arx:papers:1106.5929. Full description at Econpapers || Download paper | 56 |
8 | 2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | 54 |
9 | 2012 | Co-movement of energy commodities revisited: Evidence from wavelet coherence analysis. (2012). Vacha, Lukas ; BarunÃÂk, Jozef ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1201.4776. Full description at Econpapers || Download paper | 51 |
10 | 2014 | The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (2014). Tessone, Claudio Juan ; Mavrodiev, Pavlin ; PERONY, NICOLAS ; Garcia, David. In: Papers. RePEc:arx:papers:1408.1494. Full description at Econpapers || Download paper | 50 |
11 | 2015 | Detrended partial cross-correlation analysis of two nonstationary time series influenced by common external forces. (2015). Podobnik, Boris ; Jiang, Zhi-Qiang ; Liu, Ya-Min ; Qian, Xi-Yuan ; Zhou, Wei-Xing ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:1504.02435. Full description at Econpapers || Download paper | 46 |
12 | 2011 | The network of global corporate control. (2011). Vitali, Stefania ; Glattfelder, James ; battiston, stefano. In: Papers. RePEc:arx:papers:1107.5728. Full description at Econpapers || Download paper | 44 |
13 | 2011 | Multifractal detrending moving average cross-correlation analysis. (2011). Zhou, Wei-Xing ; Jiang, Zhi-Qiang. In: Papers. RePEc:arx:papers:1103.2577. Full description at Econpapers || Download paper | 42 |
14 | 2014 | A stochastic control approach to no-arbitrage bounds given marginals, with an application to lookback options. (2014). Galichon, Alfred ; Henry-Labordere, P. ; Touzi, N.. In: Papers. RePEc:arx:papers:1401.3921. Full description at Econpapers || Download paper | 42 |
15 | 2013 | Inference on Counterfactual Distributions. (2013). Melly, Blaise ; Fernandez-Val, Ivan ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:0904.0951. Full description at Econpapers || Download paper | 40 |
16 | 2013 | Average and Quantile Effects in Nonseparable Panel Models. (2013). Hahn, Jinyong ; Fernandez-Val, Ivan ; Chernozhukov, Victor ; Newey, Whitney. In: Papers. RePEc:arx:papers:0904.1990. Full description at Econpapers || Download paper | 40 |
17 | 2014 | Should we build more large dams? The actual costs of hydropower megaproject development. (2014). Flyvbjerg, Bent ; Budzier, Alexander ; Lunn, Daniel ; Ansar, Atif . In: Papers. RePEc:arx:papers:1409.0002. Full description at Econpapers || Download paper | 37 |
18 | 2010 | Detrending moving average algorithm for multifractals. (2010). Gu, Gao-Feng ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1005.0877. Full description at Econpapers || Download paper | 37 |
19 | 2015 | What is the best risk measure in practice? A comparison of standard measures. (2015). Tasche, Dirk ; Kratz, Marie ; Emmer, Susanne . In: Papers. RePEc:arx:papers:1312.1645. Full description at Econpapers || Download paper | 36 |
20 | 2014 | What You Should Know About Megaprojects, and Why: An Overview. (2014). Flyvbjerg, Bent. In: Papers. RePEc:arx:papers:1409.0003. Full description at Econpapers || Download paper | 35 |
21 | 2000 | Statistical mechanics of money. (2000). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0001432. Full description at Econpapers || Download paper | 35 |
22 | 2015 | The multi-layer network nature of systemic risk and its implications for the costs of financial crises. (2015). van der Leij, Marco ; Molina-Borboa, José Luis ; Thurner, Stefan ; Seraf'in Mart'inez-Jaramillo, ; Jos'e Luis Molina-Borboa, ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1505.04276. Full description at Econpapers || Download paper | 34 |
23 | 2015 | Some New Asymptotic Theory for Least Squares Series: Pointwise and Uniform Results. (2015). Chernozhukov, Victor ; Kato, Kengo ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1212.0442. Full description at Econpapers || Download paper | 34 |
24 | 1999 | Scaling of the distribution of fluctuations of financial market indices. (1999). Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Meyer, Martin ; Luis A. Nunes Amaral, . In: Papers. RePEc:arx:papers:cond-mat/9905305. Full description at Econpapers || Download paper | 34 |
25 | 2007 | On the optimal dividend problem for a spectrally negative L\{e}vy process. (2007). Avram, Florin ; Palmowski, Zbigniew ; Pistorius, Martijn R.. In: Papers. RePEc:arx:papers:math/0702893. Full description at Econpapers || Download paper | 33 |
26 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Schulz, Antje ; Alfonsi, Aur'elien . In: Papers. RePEc:arx:papers:0708.1756. Full description at Econpapers || Download paper | 33 |
27 | 2009 | Colloquium: Statistical mechanics of money, wealth, and income. (2009). Yakovenko, Victor ; Rosser, Barkley. In: Papers. RePEc:arx:papers:0905.1518. Full description at Econpapers || Download paper | 32 |
28 | 2011 | Evolution of worldwide stock markets, correlation structure and correlation based graphs. (2011). Mantegna, Rosario ; Song, Dong-Ming ; Zhou, Wei-Xing ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1103.5555. Full description at Econpapers || Download paper | 31 |
29 | 2005 | Utility maximization in incomplete markets. (2005). Muller, Matthias ; Hu, Ying ; Imkeller, Peter. In: Papers. RePEc:arx:papers:math/0508448. Full description at Econpapers || Download paper | 31 |
30 | 1999 | Universal and non-universal properties of cross-correlations in financial time series. (1999). Rosenow, Bernd ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran ; Luis A. Nunes Amaral, ; Stanley, Eugene H.. In: Papers. RePEc:arx:papers:cond-mat/9902283. Full description at Econpapers || Download paper | 30 |
31 | 2016 | Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian. In: Papers. RePEc:arx:papers:1509.01966. Full description at Econpapers || Download paper | 29 |
32 | 2016 | Berk-Nash Equilibrium: A Framework for Modeling Agents with Misspecified Models. (2016). Esponda, Ignacio ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1411.1152. Full description at Econpapers || Download paper | 28 |
33 | 2015 | Hawkes processes in finance. (2015). Bacry, Emmanuel ; Muzy, Jean-Franccois ; Mastromatteo, Iacopo. In: Papers. RePEc:arx:papers:1502.04592. Full description at Econpapers || Download paper | 28 |
34 | 2017 | Linking Economic Complexity, Institutions and Income Inequality. (2017). Hidalgo, Cesar ; Hartmann, Dominik ; M. Aristar'an, ; Jara-Figueroa, C. ; Guevara, M.. In: Papers. RePEc:arx:papers:1505.07907. Full description at Econpapers || Download paper | 27 |
35 | 2015 | DebtRank: A microscopic foundation for shock propagation. (2015). Bardoscia, Marco ; Caccioli, Fabio ; Battiston, Stefano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1504.01857. Full description at Econpapers || Download paper | 25 |
36 | 2014 | Detrended Cross-Correlation Analysis Consistently Extended to Multifractality. (2014). Jaros{l}aw Kwapie'n, ; Jadach, Stanislaw ; Stanis{l}aw Dro. zd. z, ; O'Swicecimka, Pawel ; Forczek, Marcin . In: Papers. RePEc:arx:papers:1308.6148. Full description at Econpapers || Download paper | 25 |
37 | 2000 | Fractional calculus and continuous-time finance II: the waiting-time distribution. (2000). Scalas, Enrico ; Raberto, Marco ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0006454. Full description at Econpapers || Download paper | 25 |
38 | 2000 | Fractional calculus and continuous-time finance. (2000). Scalas, Enrico ; Gorenflo, Rudolf ; Mainardi, Francesco . In: Papers. RePEc:arx:papers:cond-mat/0001120. Full description at Econpapers || Download paper | 24 |
39 | 2014 | Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models. (2014). Sornette, D.. In: Papers. RePEc:arx:papers:1404.0243. Full description at Econpapers || Download paper | 24 |
40 | 2015 | Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit. (2015). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1411.5062. Full description at Econpapers || Download paper | 23 |
41 | 2000 | Statistical Properties of Share Volume Traded in Financial Markets. (2000). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran . In: Papers. RePEc:arx:papers:cond-mat/0008113. Full description at Econpapers || Download paper | 23 |
42 | 2018 | Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, RafaÅ ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649. Full description at Econpapers || Download paper | 22 |
43 | 2016 | Does Infrastructure Investment Lead to Economic Growth or Economic Fragility? Evidence from China. (2016). Flyvbjerg, Bent ; Ansar, Atif ; Lunn, Daniel ; Budzier, Alexander . In: Papers. RePEc:arx:papers:1609.00415. Full description at Econpapers || Download paper | 22 |
44 | 2016 | Effects of income redistribution on the evolution of cooperation in spatial public goods games. (2016). Pei, Zhenhua ; Du, Jinming ; Wang, Baokui . In: Papers. RePEc:arx:papers:1611.01531. Full description at Econpapers || Download paper | 21 |
45 | 2001 | Exponential and power-law probability distributions of wealth and income in the United Kingdom and the United States. (2001). Yakovenko, Victor ; Dragulescu, Adrian . In: Papers. RePEc:arx:papers:cond-mat/0103544. Full description at Econpapers || Download paper | 21 |
46 | 2011 | Density Approximations for Multivariate Affine Jump-Diffusion Processes. (2011). Schneider, Paul ; Damir Filipovi'c, ; Mayerhofer, Eberhard . In: Papers. RePEc:arx:papers:1104.5326. Full description at Econpapers || Download paper | 21 |
47 | 2010 | Multinetwork of international trade: A commodity-specific analysis. (2010). Fagiolo, Giorgio ; Barigozzi, Matteo ; Garlaschelli, Diego. In: Papers. RePEc:arx:papers:0908.1879. Full description at Econpapers || Download paper | 21 |
48 | 2015 | Limit theorems for nearly unstable Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1310.2033. Full description at Econpapers || Download paper | 21 |
49 | 2016 | The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1609.02108. Full description at Econpapers || Download paper | 20 |
50 | 2003 | Multifractal Properties of Price Fluctuations of Stocks and Commodities. (2003). Stanley, Eugene H. ; Ashkenazy, Yosef ; Matia, Kaushik . In: Papers. RePEc:arx:papers:cond-mat/0308012. Full description at Econpapers || Download paper | 20 |
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2018 | The Stochastic Stationary Root Model. (2018). Hetland, Andreas. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:39-:d:165046. Full description at Econpapers || Download paper | |
2018 | Asymptotic Static Hedge via Symmetrization. (2018). Imamura, Yuri ; Barsotti, Flavia ; Akahori, Jiro. In: Papers. RePEc:arx:papers:1801.04045. Full description at Econpapers || Download paper | |
2018 | Monotonicity preserving transformations of MOT and SEP. (2018). Huesmann, Martin ; Stebegg, Florian . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1114-1134. Full description at Econpapers || Download paper | |
2018 | Variational Bayes Estimation of Discrete-Margined Copula Models with Application to Time Series. (2018). Loaiza Maya, Rubén ; Smith, Michael Stanley ; Loaiza-Maya, Ruben. In: Papers. RePEc:arx:papers:1712.09150. Full description at Econpapers || Download paper | |
2018 | Super-inertial interest rate rules are not solutions of Ramsey optimal monetary policy. (2018). Ralf, Kirsten ; Chatelain, Jean-Bernard ; Jean- Bernard Chatelain, . In: PSE Working Papers. RePEc:hal:psewpa:halshs-01863367. Full description at Econpapers || Download paper | |
2018 | Insights into the macroscopic behavior of equity markets: Theory and application. (2018). Alshelahi, Abdullah ; Saigal, Romesh. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:778-793. Full description at Econpapers || Download paper | |
2018 | Long-range dependencies of Eastern European stock markets: A dynamic detrended analysis. (2018). Ferreira, Paulo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:454-470. Full description at Econpapers || Download paper | |
2018 | A unifying approach to constrained and unconstrained optimal reinsurance. (2018). Yin, Chuancun ; Huang, Yuxia. In: Papers. RePEc:arx:papers:1807.06892. Full description at Econpapers || Download paper | |
2018 | Optimal martingale transport between radially symmetric marginals in general dimensions. (2018). Lim, Tongseok . In: Papers. RePEc:arx:papers:1412.3530. Full description at Econpapers || Download paper | |
2018 | Some Results on Skorokhod Embedding and Robust Hedging with Local Time. (2018). Claisse, Julien ; Henry-Labordere, Pierre ; Guo, Gaoyue. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1201-5. Full description at Econpapers || Download paper | |
2018 | A First Option Calibration of the GARCH Diffusion Model by a PDE Method. (2018). Lewis, Alan L ; Papadopoulos, Yiannis A. In: Papers. RePEc:arx:papers:1801.06141. Full description at Econpapers || Download paper | |
2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Wang, Chao ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper | |
2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper | |
2018 | General Quantile Time Series Regressions for Applications in Population Demographics. (2018). Peters, Gareth W. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:97-:d:169588. Full description at Econpapers || Download paper | |
2018 | Methods of nonlinear dynamics and the construction of cryptocurrency crisis phenomena precursors. (2018). Belinskiy, Andrey ; Soloviev, Vladimir . In: Papers. RePEc:arx:papers:1807.05837. Full description at Econpapers || Download paper | |
2018 | Bad news turned good: reversal under censorship. (2018). Starkov, Egor ; Smirnov, Aleksei. In: ECON - Working Papers. RePEc:zur:econwp:307. Full description at Econpapers || Download paper | |
2018 | Fluctuation identities with continuous monitoring and their application to the pricing of barrier options. (2018). Phelan, Carolyn E ; Germano, Guido ; Fusai, Gianluca ; Marazzina, Daniele. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:1:p:210-223. Full description at Econpapers || Download paper | |
2018 | Reinforcement learning in financial markets - a survey. (2018). Fischer, Thomas G. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:122018. Full description at Econpapers || Download paper | |
2018 | Are There Any Volatility Spill-Over Effects among Cryptocurrencies and Widely Traded Asset Classes?. (2018). Trabelsi, Nader. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:66-:d:177661. Full description at Econpapers || Download paper | |
2018 | Strong order 1/2 convergence of full truncation Euler approximations to the Cox-Ingersoll-Ross process. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1704.07321. Full description at Econpapers || Download paper | |
2018 | Dirichlet Forms and Finite Element Methods for the SABR Model. (2018). Reichmann, Oleg ; Horvath, Blanka. In: Papers. RePEc:arx:papers:1801.02719. Full description at Econpapers || Download paper | |
2018 | Data on the annual aggregated income taxes of the Italian municipalities over the quinquennium 2007-2011. (2018). Cerqueti, Roy ; ausloos, marcel ; Mir, Tariq A. In: Papers. RePEc:arx:papers:1806.10935. Full description at Econpapers || Download paper | |
2018 | SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:754-765. Full description at Econpapers || Download paper | |
2018 | The financial effects of Trumpism. (2018). Anh, Huy Nguyen ; Pham, Nhi ; Huynh, Tam ; Moosa, Nisreen ; Ramiah, Vikash. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:264-274. Full description at Econpapers || Download paper | |
2018 | Treatment Effects with Multiple Outcomes. (2018). Mullahy, John. In: NBER Working Papers. RePEc:nbr:nberwo:25307. Full description at Econpapers || Download paper | |
2018 | Cohesion Policy Incentives for Collaborative Industrial Research. The Evaluation of a Smart Specialisation Forerunner Programme. (2018). de Blasio, Guido ; Crescenzi, Riccardo ; Giua, Mara. In: SERC Discussion Papers. RePEc:cep:sercdp:0231. Full description at Econpapers || Download paper | |
2018 | Causal inference in travel demand modeling (and the lack thereof). (2018). Brathwaite, Timothy ; Walker, Joan L. In: Journal of choice modelling. RePEc:eee:eejocm:v:26:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | ArCo: An artificial counterfactual approach for high-dimensional panel time-series data. (2018). Carvalho, Carlos ; Medeiros, Marcelo C ; Masini, Ricardo . In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:352-380. Full description at Econpapers || Download paper | |
2018 | Factors associated with private-public school performance: Analysis of TALIS-PISA link data. (2018). Delprato, Marcos ; Chudgar, Amita . In: International Journal of Educational Development. RePEc:eee:injoed:v:61:y:2018:i:c:p:155-172. Full description at Econpapers || Download paper | |
2018 | Overabundant Information and Learning Traps. (2018). Mu, Xiaosheng ; Liang, Annie. In: PIER Working Paper Archive. RePEc:pen:papers:18-008. Full description at Econpapers || Download paper | |
2018 | Do Black Politicians Matter?. (2018). Logan, Trevon. In: NBER Working Papers. RePEc:nbr:nberwo:24190. Full description at Econpapers || Download paper | |
2018 | Digital Disintermediation and Efficiency in the Market for Ideas. (2018). Reimers, Imke ; Peukert, Christian. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6880. Full description at Econpapers || Download paper | |
2018 | What Do Workplace Wellness Programs Do? Evidence from the Illinois Workplace Wellness Study. (2018). Reif, Julian ; Jones, Damon ; Molitor, David. In: NBER Working Papers. RePEc:nbr:nberwo:24229. Full description at Econpapers || Download paper | |
2018 | The effect of a mystery shopper scheme on prescriptions in primary care. (2018). Godager, Geir ; Wang, Jian ; Liu, Rugang ; Cheo, Roland. In: HERO Online Working Paper Series. RePEc:hhs:oslohe:2018_001. Full description at Econpapers || Download paper | |
2018 | The Impact of Exports on Innovation: Theory and Evidence. (2018). Melitz, Marc ; Lequien, Matthieu ; Bergeaud, Antonin ; Philippe, Antonin Bergeaud. In: Working papers. RePEc:bfr:banfra:678. Full description at Econpapers || Download paper | |
2018 | Technical education, noncognitive skills and labor market outcomes: experimental evidence from Brazil. (2018). Souza, André ; Fernandes, Andre Portela ; Russo, Flavio Luiz ; Silva, Lycia ; Camargo, Juliana. In: Textos para discussão. RePEc:fgv:eesptd:480. Full description at Econpapers || Download paper | |
2018 | Encountering female politicians. (2018). Joo, Hailey Hayeon ; Lee, Jungmin. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:151:y:2018:i:c:p:88-122. Full description at Econpapers || Download paper | |
2018 | The Impact of the Announcement of Temporary Building Sites for Refugees on House Prices in Gothenburg. (2018). van Vuuren, Aico ; Nilsson, Viktor ; Kjellander, Josef. In: IZA Discussion Papers. RePEc:iza:izadps:dp11726. Full description at Econpapers || Download paper | |
2018 | Weather Shocks and Climate Change. (2018). Gourio, Francois ; Fries, Charles. In: 2018 Meeting Papers. RePEc:red:sed018:1159. Full description at Econpapers || Download paper | |
2018 | The Power to Protect: Household Bargaining and Female Condom Use. (2018). Janssens, Wendy ; Morsink, Karlijn ; Bruinderink, Marije Groot ; Cassidy, Rachel. In: CSAE Working Paper Series. RePEc:csa:wpaper:2018-08. Full description at Econpapers || Download paper | |
2018 | Is wealth found in the soil or brain? Investing in farm people in Malawi. (2018). Mkondiwa, M. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:275914. Full description at Econpapers || Download paper | |
2018 | Farmer Valuation of Improved Bean Seed Technologies: Real Auction Evidence from Tanzania. (2018). Maredia, Mywish ; Mason, Nicole M ; Morgan, Stephen N. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274242. Full description at Econpapers || Download paper | |
2018 | The Impact of Xenophobic Violence on the Integration of Immigrants. (2018). Steinhardt, Max. In: IZA Discussion Papers. RePEc:iza:izadps:dp11781. Full description at Econpapers || Download paper | |
2018 | . Full description at Econpapers || Download paper | |
2018 | Move a Little Closer? Information Sharing and the Spatial Clustering of Bank Branches. (2018). Ongena, Steven ; De Haas, Ralph ; Straetmans, Stefan ; Ongena, S. R. G., ; Qi, Shusen. In: Discussion Paper. RePEc:tiu:tiucen:1e778553-0ab1-43c2-90ba-a306a5059ff0. Full description at Econpapers || Download paper | |
2018 | Achievement rank affects performance and major choices in college. (2018). Zölitz, Ulf ; Isphording, Ingo ; Elsner, Benjamin ; Zolitz, Ulf. In: ECON - Working Papers. RePEc:zur:econwp:300. Full description at Econpapers || Download paper | |
2018 | Trade in tasks and the organization of firms. (2018). Tarasov, Alexander ; Schymik, Jan ; Marin, Dalia. In: European Economic Review. RePEc:eee:eecrev:v:107:y:2018:i:c:p:99-132. Full description at Econpapers || Download paper | |
2018 | Parental human capital and child health at birth in India. (2018). Nazmul, MD ; Maharaj, Riddhi. In: Economics & Human Biology. RePEc:eee:ehbiol:v:30:y:2018:i:c:p:130-149. Full description at Econpapers || Download paper | |
2018 | Robots and reshoring: Evidence from Mexican local labor markets. (2018). Faber, Marius. In: Working papers. RePEc:bsl:wpaper:2018/27. Full description at Econpapers || Download paper | |
2018 | The impacts of workers remittances on human capital and labor supply in developing countries. (2018). Azizi, Seyedsoroosh. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:377-396. Full description at Econpapers || Download paper | |
2018 | Dying to win? Olympic Gold medals and longevity. (2018). Leive, Adam. In: Journal of Health Economics. RePEc:eee:jhecon:v:61:y:2018:i:c:p:193-204. Full description at Econpapers || Download paper | |
2018 | International Migration Intentions and Illegal Costs: Evidence from Africa-to-Europe Smuggling Routes. (2018). Prarolo, Giovanni ; Mendola, Mariapia ; Manchin, Miriam ; Friebel, Guido. In: IZA Discussion Papers. RePEc:iza:izadps:dp11978. Full description at Econpapers || Download paper | |
2018 | The Organization of International Trade. (2018). Stähler, Frank ; Stahler, Frank ; Boddin, Dominik. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7378. Full description at Econpapers || Download paper | |
2018 | Incentives to (not) Disclose Energy Performance Information in the Housing Market. (2018). Dressler, Luisa ; Cornago, Elisabetta. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278920. Full description at Econpapers || Download paper | |
2018 | Notes on Bonds: Illiquidity Feedback During the Financial Crisis. (2018). Musto, David ; Schwarz, Krista ; Nini, Greg. In: Review of Financial Studies. RePEc:oup:rfinst:v:31:y:2018:i:8:p:2983-3018.. Full description at Econpapers || Download paper | |
2018 | Government-made bank distress: Industrialisation policies and the Russian financial crisis of 1899-1902. (2018). Lychakov, Nikita. In: QUCEH Working Paper Series. RePEc:zbw:qucehw:201811. Full description at Econpapers || Download paper | |
2018 | Exposición al comercio internacional e ingresos laborales en Bolivia: evidencia al nivel del trabajador. (2018). Zuazo, Rodrigo Gonzales ; Molina, Jose Miguel. In: Revista Latinoamericana de Desarrollo Economico. RePEc:ris:revlde:1964. Full description at Econpapers || Download paper | |
2018 | International Migration Intentions and Illegal Costs: Evidence from Africa-to-Europe Smuggling Routes. (2018). Manchin, Miriam ; Giovanni, Prarolo ; Mariapia, Mendola ; Miriam, Manchin ; Guido, Friebel. In: Working Papers. RePEc:mib:wpaper:393. Full description at Econpapers || Download paper | |
2018 | Towards increased complexity in Russian regions : networks, diversification and growth. (2018). Lyubimov, Ivan ; Lysyuk, Maria ; Gvozdeva, Margarita. In: BOFIT Discussion Papers. RePEc:bof:bofitp:2018_008. Full description at Econpapers || Download paper | |
2018 | The strong Fatou property of risk measures. (2018). Xanthos, Foivos ; Gao, Niushan ; Chen, Shengzhong. In: Papers. RePEc:arx:papers:1805.05259. Full description at Econpapers || Download paper | |
2018 | Law-invariant insurance pricing and its limitations. (2018). Svindland, Gregor ; Munari, Cosimo ; Koch-Medina, Pablo ; Bellini, Fabio. In: Papers. RePEc:arx:papers:1808.00821. Full description at Econpapers || Download paper | |
2018 | Risk sharing for capital requirements with multidimensional security markets. (2018). Svindland, Gregor ; Liebrich, Felix-Benedikt. In: Papers. RePEc:arx:papers:1809.10015. Full description at Econpapers || Download paper | |
2018 | The asymptotic smile of a multiscaling stochastic volatility model. (2018). Caravenna, Francesco ; Corbetta, Jacopo. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1034-1071. Full description at Econpapers || Download paper | |
2018 | Small-time moderate deviations for the randomised Heston model. (2018). Shi, Fangwei ; Jacquier, Antoine. In: Papers. RePEc:arx:papers:1808.03548. Full description at Econpapers || Download paper | |
2018 | Learning and Type Compatibility in Signaling Games. (2018). He, Kevin ; Fudenberg, Drew. In: Papers. RePEc:arx:papers:1702.01819. Full description at Econpapers || Download paper | |
2018 | Discovery and Equilibrium in Games with Unawareness. (2018). Schipper, Burkhard. In: MPRA Paper. RePEc:pra:mprapa:86300. Full description at Econpapers || Download paper | |
2018 | Dispersed Behavior and Perceptions in Assortative Societies. (2018). Ishii, Yuhta ; Iijima, Ryota ; Frick, Mira. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2128. Full description at Econpapers || Download paper | |
2018 | Consumer Theory with Misperceived Tastes. (2018). de Clippel, Geoffroy ; Rozen, Kareen ; DeClippel, Geoffroy . In: Working Papers. RePEc:bro:econwp:2018-10. Full description at Econpapers || Download paper | |
2018 | It\s not my Fault! Self-Confidence and Experimentation. (2018). le Yaouanq, Yves ; Hestermann, Nina. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:124. Full description at Econpapers || Download paper | |
2018 | A Model of Competing Narratives. (2018). spiegler, ran ; Eliaz, Kfir. In: Papers. RePEc:arx:papers:1811.04232. Full description at Econpapers || Download paper | |
2018 | Social Learning with Model Misspeciification: A Framework and a Robustness Result. (2018). Bohren, Aislinn ; Hauser, Daniel. In: PIER Working Paper Archive. RePEc:pen:papers:18-017. Full description at Econpapers || Download paper | |
2018 | News and Archival Information in Games. (2018). spiegler, ran. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12805. Full description at Econpapers || Download paper | |
2018 | The culture of overconfidence. (2018). Thomas, Caroline ; Bhaskar, V. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12740. Full description at Econpapers || Download paper | |
2018 | A Model of Competing Narratives. (2018). spiegler, ran ; Eliaz, Kfir. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13319. Full description at Econpapers || Download paper | |
2018 | Second order approximations for limit order books. (2018). Kreher, Dorte ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1708.07394. Full description at Econpapers || Download paper | |
2018 | Optimal dynamic pairs trading of futures under a two-factor mean-reverting model. (2018). Leung, Tim ; Yan, Raphael. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500275. Full description at Econpapers || Download paper | |
2018 | To build or not to build? Capital stocks and climate policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: GRI Working Papers. RePEc:lsg:lsgwps:wp290. Full description at Econpapers || Download paper | |
2018 | To Build or Not to Build? Capital Stocks and Climate Policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6884. Full description at Econpapers || Download paper | |
2018 | To Build or not to Build? Capital Stocks and Climate Policy. (2018). Kuralbayeva, Karlygash ; Cai, Yongyang ; Baldwin, Elizabeth. In: OxCarre Working Papers. RePEc:oxf:oxcrwp:204. Full description at Econpapers || Download paper | |
2018 | Exact probability distribution function for the volatility of cumulative production. (2018). Zadourian, Rubina ; Klumper, Andreas . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:59-66. Full description at Econpapers || Download paper | |
2018 | Firms, Trade and Profit Shifting: Evidence from Aggregate Data. (2018). Toubal, Farid ; Laffitte, Sébastien. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7171. Full description at Econpapers || Download paper | |
2018 | R&D Capitalisation: Where Did We Go Wrong?. (2018). De Haan, Mark ; Haynes, Joseph . In: NBER Chapters. RePEc:nbr:nberch:14148. Full description at Econpapers || Download paper | |
2018 | The Effect of Tax Treaties on Market Based Finance: Evidence using Firm-Level Data. (2018). Killeen, Neill ; Davies, Ronald. In: Working Papers. RePEc:ucn:wpaper:201818. Full description at Econpapers || Download paper | |
2018 | The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Kononovicius, Aleksejus ; Gontis, Vygintas. In: Papers. RePEc:arx:papers:1712.05121. Full description at Econpapers || Download paper | |
2018 | The consentaneous model of the financial markets exhibiting spurious nature of long-range memory. (2018). Gontis, V ; Kononovicius, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1075-1083. Full description at Econpapers || Download paper | |
2018 | Measuring the impact of final demand on global production system based on Markov process. (2018). Xing, Lizhi ; Wu, Shan ; Guan, Jun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:148-163. Full description at Econpapers || Download paper | |
2018 | Optimal Portfolio under Fast Mean-reverting Fractional Stochastic Environment. (2018). Hu, Ruimeng ; Fouque, Jean-Pierre. In: Papers. RePEc:arx:papers:1706.03139. Full description at Econpapers || Download paper | |
2018 | Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x. Full description at Econpapers || Download paper | |
2018 | Enhancing risk management for an aging world. (2018). Mitchell, Olivia S. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:43:y:2018:i:2:d:10.1057_s10713-018-0027-x. Full description at Econpapers || Download paper | |
2018 | On utility maximization without passing by the dual problem. (2018). Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1702.00982. Full description at Econpapers || Download paper | |
2018 | Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing. (2018). Stadje, Mitja. In: Papers. RePEc:arx:papers:1811.09615. Full description at Econpapers || Download paper | |
2018 | Inferring short-term volatility indicators from Bitcoin blockchain. (2018). Vodenska, Irena ; Ce, Zhang ; Piskorec, Matija ; Tolic, Dijana ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:1809.07856. Full description at Econpapers || Download paper | |
2018 | Is Bitcoin a hedge, a safe haven or a diversifier for oil price movements? A comparison with gold. (2018). Selmi, Refk ; bouoiyour, jamal ; Hammoudeh, Shawkat ; Mensi, Walid. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:787-801. Full description at Econpapers || Download paper | |
2018 | A nonlinear merging protocol for consensus in multi-agent systems on signed and weighted graphs. (2018). Xia, Chengyi ; Wang, LI ; Li, Yijia ; Sun, Shiwen ; Feng, Shasha. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:653-663. Full description at Econpapers || Download paper | |
2018 | Heterogeneous cooperative belief for social dilemma in multi-agent system. (2018). Huang, Keke ; Gui, Weihua ; Yang, Chunhua ; Yu, Zhaofei ; Chen, Xiaofang. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:320:y:2018:i:c:p:572-579. Full description at Econpapers || Download paper | |
2018 | The effect of wealth-based anti-expectation behaviors on public cooperation. (2018). Wang, LE ; You, Xinshang ; Chen, Tong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:84-93. Full description at Econpapers || Download paper | |
2018 | A weighted higher-order network analysis of fine particulate matter (PM2.5) transport in Yangtze River Delta. (2018). Wang, Yufang ; Zhang, Shuhua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:654-662. Full description at Econpapers || Download paper | |
2018 | Multigames with social punishment and the evolution of cooperation. (2018). Deng, Zheng-Hong ; Gu, Zhi-Yang ; Huang, Yi-Jie. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:164-170. Full description at Econpapers || Download paper | |
2018 | Spatial public goods game with continuous contributions based on Particle Swarm Optimization learning and the evolution of cooperation. (2018). Quan, JI ; Wang, Xianjia ; Yang, Xiukang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:973-983. Full description at Econpapers || Download paper | |
2018 | Promote of cooperation in networked multiagent system based on fitness control. (2018). Deng, Wenfeng ; Yu, Zhaofei ; Zhu, Hongqiu ; Yang, Chunhua ; Huang, Keke. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:339:y:2018:i:c:p:805-811. Full description at Econpapers || Download paper | |
2018 | Impact of punishment on the evolution of cooperation in spatial prisonerâs dilemma game. (2018). Geng, Yini ; Shi, Lei ; Hu, Kaipeng ; Shen, Chen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:540-545. Full description at Econpapers || Download paper | |
2018 | Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454. Full description at Econpapers || Download paper | |
2018 | Econophysics Beyond General Equilibrium: the Business Cycle Model. (2018). Olkhov, Victor. In: Papers. RePEc:arx:papers:1804.04721. Full description at Econpapers || Download paper | |
2018 | General Compound Hawkes Processes in Limit Order Books. (2018). Huffman, Aiden ; Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1812.02298. Full description at Econpapers || Download paper | |
2018 | Multi-sectoral value chain in a bilateral general equilibrium. (2018). Kim, Jiyoung ; Nishimura, Kazuhiko ; Nakano, Satoshi. In: IDE Discussion Papers. RePEc:jet:dpaper:dpaper691. Full description at Econpapers || Download paper | |
2018 | Factor-Driven Two-Regime Regression. (2018). Shin, Youngki ; SEO, MYUNG HWAN ; Liao, Yuan ; Lee, Sokbae (Simon). In: Department of Economics Working Papers. RePEc:mcm:deptwp:2018-14. Full description at Econpapers || Download paper | |
2018 | Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: MPRA Paper. RePEc:pra:mprapa:85036. Full description at Econpapers || Download paper | |
2018 | Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litcoin, and Monero. (2018). Sovbetov, Yhlas. In: Journal of Economics and Financial Analysis. RePEc:trp:01jefa:jefa0016. Full description at Econpapers || Download paper | |
2018 | Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Podobnik, Boris ; Stanley, Eugene H ; Kostanjvcar, Zvonko ; Beguvsi, Stjepan. In: Papers. RePEc:arx:papers:1803.08405. Full description at Econpapers || Download paper | |
2018 | Anticipating cryptocurrency prices using machine learning. (2018). Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:1805.08550. Full description at Econpapers || Download paper | |
2018 | A Catalogue Supporting Software Sustainability Design. (2018). Oyedeji, Shola ; Penzenstadler, Birgit ; Seffah, Ahmed. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2296-:d:155927. Full description at Econpapers || Download paper | |
2018 | Scaling properties of extreme price fluctuations in Bitcoin markets. (2018). Begui, Stjepan ; Podobnik, Boris ; Stanley, Eugene H ; Kostanjar, Zvonko. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:400-406. Full description at Econpapers || Download paper | |
2018 | Persistence in the cryptocurrency market. (2018). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:141-148. Full description at Econpapers || Download paper | |
2018 | CRYPTOâCURRENCIES â AN INTRODUCTION TO NOTâSOâFUNNY MONEYS. (2018). Smith, Christie ; Kumar, Aaron. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:5:p:1531-1559. Full description at Econpapers || Download paper | |
2018 | Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices. (2018). Bayraktar, Erhan ; Yu, Xiang. In: Papers. RePEc:arx:papers:1504.00310. Full description at Econpapers || Download paper | |
2018 | Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications. (2018). Li, Xun ; Lu, Jun Guo ; Gao, Jianjun ; Wu, Weiping. In: Papers. RePEc:arx:papers:1806.03624. Full description at Econpapers || Download paper | |
2018 | Hybrid marked point processes: characterisation, existence and uniqueness. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1707.06970. Full description at Econpapers || Download paper | |
2018 | State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko S ; Morariu-Patrichi, Maxime . In: Papers. RePEc:arx:papers:1809.08060. Full description at Econpapers || Download paper | |
2018 | State-dependent Hawkes processes and their application to limit order book modelling. (2018). Pakkanen, Mikko ; Morariu-Patrichi, Maxime . In: CREATES Research Papers. RePEc:aah:create:2018-26. Full description at Econpapers || Download paper | |
2018 | Market Delay and G-expectations. (2018). Zouari, Jonathan ; Dolinsky, Yan. In: Papers. RePEc:arx:papers:1709.09442. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Clinet, Simon ; Potiron, Yoann. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:103-142. Full description at Econpapers || Download paper | |
2018 | Valuation of Large Variable Annuity Portfolios Using Linear Models with Interactions. (2018). Gan, Guojun. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:71-:d:157549. Full description at Econpapers || Download paper | |
2018 | Using Neural Networks to Price and Hedge Variable Annuity Guarantees. (2018). Doyle, Daniel ; Groendyke, Chris . In: Risks. RePEc:gam:jrisks:v:7:y:2018:i:1:p:1-:d:192723. Full description at Econpapers || Download paper | |
2018 | Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders. (2018). Zhong, Li-Xin ; He, Yun-Xing ; Ren, Fei ; Qiu, Tian ; Chen, Rong-Da ; Xu, Wen-Juan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:301-310. Full description at Econpapers || Download paper | |
2018 | Trading strategies in terms of continuous rising (falling) prices or continuous bullish (bearish) candlesticks emitted. (2018). Ni, Yensen ; Day, Min-Yuh ; Huang, Paoyu ; Cheng, Yirung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:188-204. Full description at Econpapers || Download paper | |
2018 | Deeply Learning Derivatives. (2018). Green, Andrew ; Ferguson, Ryan. In: Papers. RePEc:arx:papers:1809.02233. Full description at Econpapers || Download paper | |
2018 | Nash equilibria for game contingent claims with utility-based hedging. (2018). Kuhn, Christoph ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1707.09351. Full description at Econpapers || Download paper | |
2018 | Doubly Reflected BSDEs and ${\cal E}^{f}$-Dynkin games: beyond the right-continuous case. (2018). Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter ; Grigorova, Miryana. In: Working Papers. RePEc:hal:wpaper:hal-01497914. Full description at Econpapers || Download paper | |
2018 | Optimal Stopping With Æ-Expectations: the irregular case. (2018). Quenez, Marie-Claire ; Ouknine, Youssef ; Imkeller, Peter ; Grigorova, Miryana. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:587. Full description at Econpapers || Download paper | |
2018 | Doubly Reflected BSDEs and $\mathcal{E}$$^Æ$-Dynkin games: beyond the right-continuous case. (2018). Ouknine, Youssef ; Quenez, Marie-Claire ; Imkeller, Peter ; Grigorova, Miryana. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:598. Full description at Econpapers || Download paper | |
2018 | Pre-event Trends in the Panel Event-study Design. (2018). Shapiro, Jesse ; Hansen, Christian ; Freyaldenhoven, Simon. In: NBER Working Papers. RePEc:nbr:nberwo:24565. Full description at Econpapers || Download paper | |
2018 | Macroeconomic forecasting using penalized regression methods. (2018). Smeekes, Stephan ; Wijler, Etienne. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:408-430. Full description at Econpapers || Download paper | |
2018 | Firm-level Simulation of Supply Chain Disruption Triggered by Actual and Predicted Earthquakes. (2018). Todo, Yasuyuki ; Yasuyuki, Todo ; Hiroyasu, Inoue. In: Discussion papers. RePEc:eti:dpaper:18013. Full description at Econpapers || Download paper | |
2018 | Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets. (2018). Rajcaniova, Miroslava ; Kancs, d'Artis ; Ciaian, Pavel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:173-195. Full description at Econpapers || Download paper | |
2018 | Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:12. Full description at Econpapers || Download paper | |
2018 | Bitcoin is not the New Gold â A comparison of volatility, correlation, and portfolio performance. (2018). Walther, Thomas ; Thu, Hien Pham ; Klein, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:105-116. Full description at Econpapers || Download paper | |
2018 | Semi-strong efficiency of Bitcoin. (2018). Ibáñez, Ana ; Ibaez, Ana ; Vidal-Tomas, David. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:259-265. Full description at Econpapers || Download paper | |
2018 | How Persistent and Dependent are Pricing of Bitcoin to other Cryptocurrencies Before and After 2017/18 Crash?. (2018). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: MPRA Paper. RePEc:pra:mprapa:91253. Full description at Econpapers || Download paper | |
2018 | Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747. Full description at Econpapers || Download paper | |
2018 | Information driving force and its application in agent-based modeling. (2018). Chen, Ting-Ting ; Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:496:y:2018:i:c:p:593-601. Full description at Econpapers || Download paper | |
2018 | Maximizing and minimizing investment concentration with constraints of budget and investment risk. (2018). Shinzato, Takashi. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:986-993. Full description at Econpapers || Download paper | |
2018 | Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643. Full description at Econpapers || Download paper | |
2018 | Targeted undersmoothing. (2018). Kozbur, Damian ; Hansen, Christian ; Misra, Sanjog. In: ECON - Working Papers. RePEc:zur:econwp:282. Full description at Econpapers || Download paper | |
2018 | Are matching funds for smallholder irrigation money well spent?. (2018). Mullally, Conner ; Chakravarty, Shourish. In: Food Policy. RePEc:eee:jfpoli:v:76:y:2018:i:c:p:70-80. Full description at Econpapers || Download paper | |
2018 | Viewpoint: Beasts of the field? Ethics in agricultural and applied economics. (2018). Michler, Jeffrey ; Josephson, Anna. In: Food Policy. RePEc:eee:jfpoli:v:79:y:2018:i:c:p:1-11. Full description at Econpapers || Download paper | |
2018 | SeaTE: Subjective ex ante Treatment Effect of Health on Retirement. (2018). Shapiro, Matthew ; Giustinelli, Pamela. In: Working Papers. RePEc:mrr:papers:wp382. Full description at Econpapers || Download paper | |
2018 | High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-23. Full description at Econpapers || Download paper | |
2018 | High Dimensional Semiparametric Moment Restriction Models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1881. Full description at Econpapers || Download paper | |
2018 | High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:69/18. Full description at Econpapers || Download paper | |
2018 | Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Papers. RePEc:arx:papers:1809.04401. Full description at Econpapers || Download paper | |
2018 | Mean-Field Leader-Follower Games with Terminal State Constraint. (2018). Horst, Ulrich ; Fu, Guanxing. In: Rationality and Competition Discussion Paper Series. RePEc:rco:dpaper:129. Full description at Econpapers || Download paper | |
2018 | Hedge or Rebalance: Optimal Risk Management with Transaction Costs. (2018). Gallien, Florent ; Malamud, Semyon ; Kassibrakis, Serge. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:112-:d:174200. Full description at Econpapers || Download paper | |
2018 | Portfolio Optimization with Delay Factor Models. (2018). Zhang, Zheng ; Sun, Li-Hsien ; Sheu, Shuenn-Jyi. In: Papers. RePEc:arx:papers:1805.01118. Full description at Econpapers || Download paper | |
2018 | Financial asset bubbles in banking networks. (2018). Meyer-Brandis, Thilo ; Mazzon, Andrea ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1806.01728. Full description at Econpapers || Download paper | |
2018 | Systemic Risk and Interbank Lending. (2018). Sun, Li-Hsien. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-017-1185-1. Full description at Econpapers || Download paper | |
2018 | Testing of Binary Regime Switching Models using Squeeze Duration Analysis. (2018). Goswami, Anindya ; Das, Milan Kumar. In: Papers. RePEc:arx:papers:1807.04393. Full description at Econpapers || Download paper | |
2018 | Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1803.05819. Full description at Econpapers || Download paper | |
2018 | Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management. (2018). Jaimungal, Sebastian ; Al-Aradi, Ali. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:3:p:268-294. Full description at Econpapers || Download paper | |
2018 | Dividend Policy and Capital Structure of a Defaultable Firm. (2018). , Alex ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:1810.03501. Full description at Econpapers || Download paper | |
2018 | Swarm intelligence in humans: A perspective of emergent evolution. (2018). , Yongtao ; Tao, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:436-446. Full description at Econpapers || Download paper | |
2018 | Some Universal Patterns in Income Distribution: An Econophysics Approach. (2018). Shaikh, Anwar. In: Working Papers. RePEc:new:wpaper:1808. Full description at Econpapers || Download paper | |
2018 | A General Framework for Portfolio TheoryâPart I: Theory and Various Models. (2018). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:53-:d:145135. Full description at Econpapers || Download paper | |
2018 | Anomalies and market (dis)integration. (2018). Choi, Jae Won ; Kim, Yong Jun. In: Journal of Monetary Economics. RePEc:eee:moneco:v:100:y:2018:i:c:p:16-34. Full description at Econpapers || Download paper | |
2018 | Distribution of individual status in the invisibility similarity network of new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:426-434. Full description at Econpapers || Download paper | |
2018 | Testing for the source of multifractality in water level records. (2018). Wu, Liang ; Zhao, Tongzhou ; Ding, Yiming ; Chen, Lei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:824-839. Full description at Econpapers || Download paper | |
2018 | SAD and stock returns revisited: Nonlinear analysis based on MF-DCCA and Granger test. (2018). Ruan, Qingsong ; Yang, Haiquan ; Lv, Dayong ; Zhang, Manqian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1009-1022. Full description at Econpapers || Download paper | |
2018 | Assessing the relevance of individual characteristics for the structure of similarity networks in new social strata in Shanghai. (2018). Wang, Luo-Qing ; Xu, Yong-Xiang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:881-889. Full description at Econpapers || Download paper | |
2018 | Quantifying the cross-correlations between online searches and Bitcoin market. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:657-672. Full description at Econpapers || Download paper | |
2018 | Perturbation analysis of sub/super hedging problems. (2018). Jacquier, Antoine ; Badikov, Sergey. In: Papers. RePEc:arx:papers:1806.03543. Full description at Econpapers || Download paper | |
2018 | Kinetic models for optimal control of wealth inequalities. (2018). Toscani, Giuseppe ; Pareschi, Lorenzo ; During, Bertram. In: Papers. RePEc:arx:papers:1803.02171. Full description at Econpapers || Download paper | |
2018 | On the Bail-Out Optimal Dividend Problem. (2018). Yu, Xiang ; Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1709.06348. Full description at Econpapers || Download paper | |
2018 | On the Bail-Out Optimal Dividend Problem. (2018). Perez, Jose-Luis ; Yu, Xiang ; Yamazaki, Kazutoshi. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-018-1340-3. Full description at Econpapers || Download paper | |
2018 | Existence and uniqueness results for BSDEs with jumps: the whole nine yards. (2018). Papapantoleon, Antonis ; Saplaouras, Alexandros ; Possamai, Dylan. In: Papers. RePEc:arx:papers:1607.04214. Full description at Econpapers || Download paper | |
2018 | Systems of ergodic BSDE arising in regime switching forward performance processes. (2018). Tang, Shanjian ; Liang, Gechun ; Hu, Ying. In: Papers. RePEc:arx:papers:1807.01816. Full description at Econpapers || Download paper | |
2018 | Liquidity in Competitive Dealer Markets. (2018). Muhle-Karbe, Johannes ; Ekren, Ibrahim ; Bank, Peter. In: Papers. RePEc:arx:papers:1807.08278. Full description at Econpapers || Download paper | |
2018 | A class of globally solvable Markovian quadratic BSDE systems and applications. (2018). Itkovi, Gordan ; Xing, Hao. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:73440. Full description at Econpapers || Download paper | |
2018 | Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Yu, Xiang ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1712.05676. Full description at Econpapers || Download paper | |
2018 | Transport network backbone extraction: A comparison of techniques. (2018). Dai, Liang ; Liu, Xingjian ; Derudder, Ben. In: Journal of Transport Geography. RePEc:eee:jotrge:v:69:y:2018:i:c:p:271-281. Full description at Econpapers || Download paper | |
2018 | RICardo World Trade Web, 1834-1938. (2018). Dedinger, Beatrice ; Girard, Paul. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/6h7io1v56e8k4qtht2cuvjcfa5. Full description at Econpapers || Download paper | |
2018 | Predicting the Stock Market Efficiency in Weak Form: A Study on Dhaka Stock Exchange. (2018). Pervez, Masud ; Rahaman, Mahbubur ; Asad, MD ; Harun, MD. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-05-14. Full description at Econpapers || Download paper | |
2018 | Wrong-way-risk in tails. (2018). Muller, Janis ; Posch, Peter N. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:4:d:10.1057_s41260-018-0076-9. Full description at Econpapers || Download paper | |
2018 | Nonextensive triplets in cryptocurrency exchanges. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:1069-1074. Full description at Econpapers || Download paper | |
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2018 | Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas. In: Papers. RePEc:arx:papers:1802.08135. Full description at Econpapers || Download paper | |
2018 | Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-01710301. Full description at Econpapers || Download paper | |
2018 | New closed-form approximations in multi-asset market making. (2018). Vieira, Douglas ; Evangelista, David. In: Papers. RePEc:arx:papers:1810.04383. Full description at Econpapers || Download paper | |
2018 | Optimal inventory management and order book modeling. (2018). Mounjid, Othmane ; Evangelista, David ; Bouchard, Bruno ; Baradel, Nicolas. In: Post-Print. RePEc:hal:journl:hal-01710301. Full description at Econpapers || Download paper | |
2018 | Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: Papers. RePEc:arx:papers:1811.06893. Full description at Econpapers || Download paper | |
2018 | Bayesian learning for the Markowitz portfolio selection problem. (2018). Pham, Huyen ; Nicolle, Johann ; de Franco, Carmine. In: Working Papers. RePEc:hal:wpaper:hal-01923917. Full description at Econpapers || Download paper | |
2018 | Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model. (2018). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:1809.05328. Full description at Econpapers || Download paper | |
2018 | ||
2018 | Conditional expectation of correspondences and economic applications. (2018). He, Wei ; Sun, Yeneng. In: Economic Theory. RePEc:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1067-7. Full description at Econpapers || Download paper | |
2018 | A Least-Squares Monte Carlo Framework in Proxy Modeling of Life Insurance Companies. (2018). Krah, Anne-Sophie ; Korn, Ralf ; Nikoli, Zoran. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:62-:d:151752. Full description at Econpapers || Download paper | |
2018 | Cross-Sectional Variation of Intraday Liquidity, Cross-Impact, and their Effect on Portfolio Execution. (2018). Moallemi, Ciamac C ; Maglaras, Costis ; Min, Seungki. In: Papers. RePEc:arx:papers:1811.05524. Full description at Econpapers || Download paper | |
2018 | General multilevel Monte Carlo methods for pricing discretely monitored Asian options. (2018). Kahale, Nabil . In: Papers. RePEc:arx:papers:1805.09427. Full description at Econpapers || Download paper | |
2018 | Discretization error for a two-sided reflected Lévy process. (2018). Asmussen, Soren ; Ivanovs, Jevgenijs . In: Queueing Systems: Theory and Applications. RePEc:spr:queues:v:89:y:2018:i:1:d:10.1007_s11134-018-9576-z. Full description at Econpapers || Download paper | |
2018 | A Supermartingale Relation for Multivariate Risk Measures. (2018). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1510.05561. Full description at Econpapers || Download paper | |
2018 | Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:40. Full description at Econpapers || Download paper | |
2018 | Less-Expensive Pricing and Hedging of Extreme-Maturity Interest Rate Derivatives and Equity Index Options Under the Real-World Measure. (2018). Fergusson, Kevin John. In: PhD Thesis. RePEc:uts:finphd:3-2018. Full description at Econpapers || Download paper | |
2018 | A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1612.09152. Full description at Econpapers || Download paper | |
2018 | On the free boundary of an annuity purchase. (2018). Stabile, Gabriele ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:1707.09494. Full description at Econpapers || Download paper | |
2018 | An Optimal Dividend Problem with Capital Injections over a Finite Horizon. (2018). Schuhmann, Patrick ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:595. Full description at Econpapers || Download paper | |
2018 | Pointwise Arbitrage Pricing Theory in Discrete Time. (2018). Obl, Jan ; Maggis, Marco ; Hou, Zhaoxu ; Frittelli, Marco ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1612.07618. Full description at Econpapers || Download paper | |
2018 | A risk-neutral equilibrium leading to uncertain volatility pricing. (2018). Muhle-Karbe, Johannes ; Nutz, Marcel. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0356-8. Full description at Econpapers || Download paper | |
2018 | Robust pricingâhedging dualities in continuous time. (2018). Hou, Zhaoxu ; Oboj, Jan. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0363-9. Full description at Econpapers || Download paper | |
2018 | On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important. (2018). Barmish, Ross B ; Hsieh, Chung-Han. In: Papers. RePEc:arx:papers:1710.01501. Full description at Econpapers || Download paper | |
2018 | Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078. Full description at Econpapers || Download paper | |
2018 | A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures. (2018). Maier-Paape, Stanislaus ; Zhu, Qiji Jim. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:76-:d:162453. Full description at Econpapers || Download paper | |
2018 | ||
2018 | On optimal investment with processes of long or negative memory. (2018). Chau, Huy N ; Rasonyi, Miklos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1095-1113. Full description at Econpapers || Download paper | |
2018 | Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Discussion Papers. RePEc:koe:wpaper:1809. Full description at Econpapers || Download paper | |
2018 | Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Papers. RePEc:arx:papers:1802.07405. Full description at Econpapers || Download paper | |
2018 | Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250. Full description at Econpapers || Download paper | |
2018 | Asset allocation: new evidence through network approaches. (2018). Hitaj, Asmerilda ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.09825. Full description at Econpapers || Download paper | |
2018 | Effective risk aversion in thin risk-sharing markets. (2018). Anthropelos, Michail ; Vichos, Georgios ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1707.05096. Full description at Econpapers || Download paper | |
2018 | Long-term factorization in HeathâJarrowâMorton models. (2018). Qin, Likuan ; Linetsky, Vadim. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0365-7. Full description at Econpapers || Download paper | |
2018 | Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities. (2018). BoroviÄka, Jaroslav ; Stachurski, John ; Borovicka, Jaroslav. In: 2018 Meeting Papers. RePEc:red:sed018:1275. Full description at Econpapers || Download paper | |
2018 | Dynamics of observables in rank-based models and performance of functionally generated portfolios. (2018). Zhang, Jiacheng ; Shkolnikov, Mykhaylo ; Almada, Sergio A. In: Papers. RePEc:arx:papers:1802.03593. Full description at Econpapers || Download paper | |
2018 | Stochastic Differential Game in High Frequency Market. (2018). Takahashi, Akihiko ; Saito, Taiga. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1087. Full description at Econpapers || Download paper | |
2018 | Real Estate Soars and Financial Crises: Recent Stories. (2018). Jang, Hanwool ; Ahn, Kwangwon ; Sohn, Sungbin ; Song, Yena. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4559-:d:187353. Full description at Econpapers || Download paper | |
2018 | Does cooperative membership improve household welfare? Evidence from a panel data analysis of smallholder dairy farmers in Bihar, India. (2018). Takeshima, Hiroyuki ; Joshi, P K ; Saroj, Sunil ; Kumar, Anjani. In: Food Policy. RePEc:eee:jfpoli:v:75:y:2018:i:c:p:24-36. Full description at Econpapers || Download paper | |
2018 | An agent-based model for financial vulnerability. (2018). Bookstaber, Richard ; Tivnan, Brian ; Paddrik, Mark. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:2:d:10.1007_s11403-017-0188-1. Full description at Econpapers || Download paper | |
2018 | Multilayer Aggregation with Statistical Validation: Application to Investor Networks. (2018). Emmert-Streib, Frank ; Kanniainen, Juho ; Baltakys, Kestutis. In: Papers. RePEc:arx:papers:1708.09850. Full description at Econpapers || Download paper | |
2018 | Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139. Full description at Econpapers || Download paper | |
2018 | Reconstruction methods for networks: the case of economic and financial systems. (2018). Garlaschelli, Diego ; Gabrielli, Andrea ; Cimini, Giulio ; Caldarelli, Guido ; Squartini, Tiziano. In: Papers. RePEc:arx:papers:1806.06941. Full description at Econpapers || Download paper | |
2018 | Reconstructing and stress testing credit networks. (2018). Fricke, Daniel ; Caccioli, Fabio ; Ramadiah, Amanah. In: ESRB Working Paper Series. RePEc:srk:srkwps:201884. Full description at Econpapers || Download paper | |
2018 | Optimal leverage ratio estimate of various models for leveraged ETFs to exceed a target: Probability estimates of large deviations. (2018). Yao, Nian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500160. Full description at Econpapers || Download paper | |
2018 | Optimal Timing to Trade Along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: Papers. RePEc:arx:papers:1801.00372. Full description at Econpapers || Download paper | |
2018 | Optimal Timing to Trade along a Randomized Brownian Bridge. (2018). Leung, Tim ; Li, Xin. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:75-:d:166614. Full description at Econpapers || Download paper | |
2018 | The pricing efficiency of exchange-traded commodities. (2018). Dorfleitner, Gregor ; Gerer, Johannes ; Gerl, Anna . In: Review of Managerial Science. RePEc:spr:rvmgts:v:12:y:2018:i:1:d:10.1007_s11846-016-0221-0. Full description at Econpapers || Download paper | |
2018 | A Binary Nature of Funding Impacts in Bilateral Contracts. (2018). Lee, Junbeom ; Zhou, Chao. In: Papers. RePEc:arx:papers:1703.00259. Full description at Econpapers || Download paper | |
2018 | Risk-neutral valuation under differential funding costs, defaults and collateralization. (2018). Pallavicini, Andrea ; Brigo, Damiano ; Rutkowski, Marek ; Francischello, Marco ; Buescu, Cristin. In: Papers. RePEc:arx:papers:1802.10228. Full description at Econpapers || Download paper | |
2018 | Short-time near-the-money skew in rough fractional volatility models. (2018). Friz, Peter K ; Horvath, Blanka ; Gulisashvili, Archil ; Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1703.05132. Full description at Econpapers || Download paper | |
2018 | Affine forward variance models. (2018). Keller-Ressel, Martin ; Gatheral, Jim. In: Papers. RePEc:arx:papers:1801.06416. Full description at Econpapers || Download paper | |
2018 | Moment Explosions in the Rough Heston Model. (2018). Pinter, Arpad ; Gerstenecker, Christoph ; Gerhold, Stefan. In: Papers. RePEc:arx:papers:1801.09458. Full description at Econpapers || Download paper | |
2018 | Regime Switching Rough Heston Model. (2018). Overbeck, Ludger ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:387. Full description at Econpapers || Download paper | |
2018 | Multi-factor approximation of rough volatility models. (2018). el Euch, Omar ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01697117. Full description at Econpapers || Download paper | |
2018 | No-arbitrage implies power-law market impact and rough volatility. (2018). Rosenbaum, Mathieu ; Jusselin, Paul. In: Papers. RePEc:arx:papers:1805.07134. Full description at Econpapers || Download paper | |
2018 | Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868. Full description at Econpapers || Download paper | |
2018 | Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01890751. Full description at Econpapers || Download paper | |
2018 | Precise asymptotics: robust stochastic volatility models. (2018). Pigato, Paolo ; Gassiat, Paul ; Friz, Peter K. In: Papers. RePEc:arx:papers:1811.00267. Full description at Econpapers || Download paper | |
2018 | Affine Rough Models. (2018). Pulido, Sergio ; Larsson, Martin ; Keller-Ressel, Martin. In: Papers. RePEc:arx:papers:1812.08486. Full description at Econpapers || Download paper | |
2018 | A Financial Macro-Network Approach to Climate Policy Evaluation. (2018). Stolbova, Veronika ; Battiston, Stefano ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:149:y:2018:i:c:p:239-253. Full description at Econpapers || Download paper | |
2018 | How does risk flow in the credit default swap market?. (2018). Derrico, Marco ; Scheicher, Martin ; Peltonen, Tuomas ; Battiston, Stefano. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:53-74. Full description at Econpapers || Download paper | |
2018 | Market disequilibrium, monetary policy, and financial markets : insights from new tools. (2018). Napoletano, Mauro ; Gaffard, Jean-Luc. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/3tl6t49e929fla0aa2ukppot8n. Full description at Econpapers || Download paper | |
2018 | Market disequilibrium, monetary policy, and financial markets: insights from new tools. (2018). Napoletano, Mauro ; Gaffard, Jean-Luc. In: LEM Papers Series. RePEc:ssa:lemwps:2018/17. Full description at Econpapers || Download paper | |
2018 | Hétérogénéité des agents, interconnexions financières et politique monétaire : une approche non conventionnelle. (2018). Napoletano, Mauro ; Gaffard, Jean-Luc. In: GREDEG Working Papers. RePEc:gre:wpaper:2018-34. Full description at Econpapers || Download paper | |
2018 | Network models of financial systemic risk: a review. (2018). Kobayashi, Teruyoshi ; Barucca, Paolo ; Caccioli, Fabio. In: Journal of Computational Social Science. RePEc:spr:jcsosc:v:1:y:2018:i:1:d:10.1007_s42001-017-0008-3. Full description at Econpapers || Download paper | |
2018 | Principal-Agent Problem with Common Agency without Communication. (2018). Ren, Zhenjie ; Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1706.02936. Full description at Econpapers || Download paper | |
2018 | Principal-Agent Problem with Common Agency without Communication. (2018). Ren, Zhenjie ; Mastrolia, Thibaut. In: Working Papers. RePEc:hal:wpaper:hal-01534611. Full description at Econpapers || Download paper | |
2018 | Gaussian random bridges and a geometric model for information equilibrium. (2018). Menguturk, Levent Ali . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:494:y:2018:i:c:p:465-483. Full description at Econpapers || Download paper | |
2018 | The Multivariate Kyle model: More is different. (2018). Bouchaud, Jean-Philippe ; Benzaquen, Michael ; Mastromatteo, Iacopo ; Garc, Luis Carlos. In: Papers. RePEc:arx:papers:1806.07791. Full description at Econpapers || Download paper | |
2018 | Mathematics of Market Microstructure under Asymmetric Information. (2018). Ccetin, Umut. In: Papers. RePEc:arx:papers:1809.03885. Full description at Econpapers || Download paper | |
2018 | Optimal asset allocation for a DC plan with partial information under inflation and mortality risks. (2018). Beyers, Conrad ; van Zyl, Gusti ; Kufakunesu, Rodwell ; Guambe, Calisto. In: Papers. RePEc:arx:papers:1808.06337. Full description at Econpapers || Download paper | |
2018 | Contests with Ex-Ante Target Setting. (2018). Robertson, Matthew. In: CRETA Online Discussion Paper Series. RePEc:wrk:wcreta:47. Full description at Econpapers || Download paper | |
2018 | Granularity of the top 1,000 Brazilian companies. (2018). Da Silva, Sergio ; Massena, Gunther ; Giglio, Ricardo ; Matsushita, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:68-73. Full description at Econpapers || Download paper | |
2018 | The effects of markets, uncertainty and search intensity on bitcoin returns. (2018). Vravosinos, Orestis ; Stengos, Thanasis ; Panagiotidis, Theodore. In: Working Paper series. RePEc:rim:rimwps:18-39. Full description at Econpapers || Download paper | |
2018 | Superstatistics with cut-off tails for financial time series. (2018). Kadoya, Takanori ; Uchiyama, Yusuke. In: Papers. RePEc:arx:papers:1809.04775. Full description at Econpapers || Download paper | |
2018 | Modeling and complexity of stochastic interacting Lévy type financial price dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:498-511. Full description at Econpapers || Download paper | |
2018 | Fuzzy entropy complexity and multifractal behavior of statistical physics financial dynamics. (2018). Wang, Yiduan ; Zhang, Wei ; Zheng, Shenzhou. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:486-498. Full description at Econpapers || Download paper | |
2018 | Expectations, Price Fluctuations and Lorenz Attractor. (2018). Olkhov, Victor. In: MPRA Paper. RePEc:pra:mprapa:89105. Full description at Econpapers || Download paper | |
2018 | Approximation for portfolio optimization in a financial market with shot-noise jumps. (2018). Putyatina, Oleksandra ; Sass, Jorn. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-017-0294-5. Full description at Econpapers || Download paper | |
2018 | Physicists approach to studying socio-economic inequalities: Can humans be modelled as atoms?. (2018). Chakraborti, Anirban ; Sharma, Kiran. In: Papers. RePEc:arx:papers:1606.06051. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
2018 | How Safe are Central Counterparties in Derivatives Markets?. (2018). Paddrik, Mark ; Young, Peyton. In: 2018 Meeting Papers. RePEc:red:sed018:934. Full description at Econpapers || Download paper | |
2018 | Ergodic robust maximization of asymptotic growth. (2018). Robertson, Scott ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1801.06425. Full description at Econpapers || Download paper | |
2018 | A superhedging approach to stochastic integration. (2018). Ochowski, Rafa M ; Promel, David J ; Perkowski, Nicolas. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:12:p:4078-4103. Full description at Econpapers || Download paper | |
2018 | Global Income Inequality and Savings: A Data Science Perspective. (2018). Chakraborti, Anirban ; Das, Subhradeep ; Sharma, Kiran. In: Papers. RePEc:arx:papers:1801.00253. Full description at Econpapers || Download paper | |
2018 | On the data-driven COS method. (2018). Bohte, Sander M ; Leitao, Alvaro ; Oosterlee, Cornelis W ; Ortiz-Gracia, Luis . In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:317:y:2018:i:c:p:68-84. Full description at Econpapers || Download paper | |
2018 | Multi-factor approximation of rough volatility models. (2018). el Euch, Omar ; Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1801.10359. Full description at Econpapers || Download paper | |
2018 | On smile properties of volatility derivatives and exotic products: understanding the VIX skew. (2018). Muguruza, Aitor ; Garc, David ; Alos, Elisa. In: Papers. RePEc:arx:papers:1808.03610. Full description at Econpapers || Download paper | |
2018 | Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711. Full description at Econpapers || Download paper | |
2018 | Deep calibration of rough stochastic volatility models. (2018). Stemper, Benjamin ; Bayer, Christian. In: Papers. RePEc:arx:papers:1810.03399. Full description at Econpapers || Download paper | |
2018 | Notes on Fano Ratio and Portfolio Optimization. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1711.10640. Full description at Econpapers || Download paper | |
2018 | Reverse Quantum Annealing Approach to Portfolio Optimization Problems. (2018). Kondratyev, Alexei ; Venturelli, Davide. In: Papers. RePEc:arx:papers:1810.08584. Full description at Econpapers || Download paper | |
2018 | Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, RafaÅ ; Nowotarski, Jakub. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568. Full description at Econpapers || Download paper | |
2018 | Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1801.10583. Full description at Econpapers || Download paper | |
2018 | Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, RafaÅ ; Ziel, Florian. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:396-420. Full description at Econpapers || Download paper | |
2018 | Probabilistic Electricity Price Forecasting Models by Aggregation of Competitive Predictors. (2018). Monteiro, Claudio ; Fernandez-Jimenez, Alfredo L ; Ramirez-Rosado, Ignacio J. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1074-:d:143481. Full description at Econpapers || Download paper | |
2018 | Electricity Price Forecasting Using Recurrent Neural Networks. (2018). Ugurlu, Umut ; Tas, Oktay ; Oksuz, Ilkay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:5:p:1255-:d:146305. Full description at Econpapers || Download paper | |
2018 | Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks. (2018). Weron, RafaÅ ; Ziel, Florian. In: Papers. RePEc:arx:papers:1805.06649. Full description at Econpapers || Download paper | |
2018 | Determinants of renewable energy development in the EU countries. A 20-year perspective. (2018). Papie, Monika ; Frodyma, Katarzyna ; Miech, Sawomir. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:91:y:2018:i:c:p:918-934. Full description at Econpapers || Download paper | |
2018 | Selection of calibration windows for day-ahead electricity price forecasting. (2018). Weron, RafaÅ ; Serafin, Tomasz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1806. Full description at Econpapers || Download paper | |
2018 | Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO. (2018). Weron, RafaÅ ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1807. Full description at Econpapers || Download paper | |
2018 | Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models. (2018). Weron, RafaÅ ; Uniejewski, Bartosz. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2039-:d:162196. Full description at Econpapers || Download paper | |
2018 | The Financial Effect of the Electricity Price Forecastsâ Inaccuracy on a Hydro-Based Generation Company. (2018). Ugurlu, Umut ; Oksuz, Ilkay ; Kaya, Aycan ; Tas, Oktay. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:8:p:2093-:d:163292. Full description at Econpapers || Download paper | |
2018 | Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting. (2018). Weron, RafaÅ ; Serafin, Tomasz ; Marcjasz, Grzegorz . In: Energies. RePEc:gam:jeners:v:11:y:2018:i:9:p:2364-:d:168385. Full description at Econpapers || Download paper | |
2018 | Efficient forecasting of electricity spot prices with expert and LASSO models. (2018). Weron, RafaÅ ; Uniejewski, Bartosz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1802. Full description at Econpapers || Download paper | |
2018 | A note on averaging day-ahead electricity price forecasts across calibration windows. (2018). Weron, RafaÅ ; Marcjasz, Grzegorz ; Hubicka, Katarzyna. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1803. Full description at Econpapers || Download paper | |
2018 | Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?. (2018). Weron, RafaÅ ; Uniejewski, Bartosz ; Marcjasz, Grzegorz. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1805. Full description at Econpapers || Download paper | |
2018 | Electricity price forecasting. (2018). Weron, RafaÅ ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1808. Full description at Econpapers || Download paper | |
2018 | Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. In: Papers. RePEc:arx:papers:1810.08418. Full description at Econpapers || Download paper | |
2018 | The value(s) of flexible heat pumps â Assessment of technical and economic conditions. (2018). Felten, Bjorn ; Weber, Christoph. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:1292-1319. Full description at Econpapers || Download paper | |
2018 | A machine learning based stochastic optimization framework for a wind and storage power plant participating in energy pool market. (2018). Crespo-Vazquez, Jose L ; Noor, MD ; Martinez-Lorenzo, Jose A ; Diaz-Dorado, E ; Carrillo, C. In: Applied Energy. RePEc:eee:appene:v:232:y:2018:i:c:p:341-357. Full description at Econpapers || Download paper | |
2018 | Surplus-invariant risk measures. (2018). Munari, Cosimo ; Gao, Niushan. In: Papers. RePEc:arx:papers:1707.04949. Full description at Econpapers || Download paper | |
2018 | Expected utility of the drawdown-based regime-switching risk model with state-dependent termination. (2018). Landriault, David ; Li, Shu. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:137-147. Full description at Econpapers || Download paper | |
2018 | Markovian structure of the Volterra Heston model. (2018). el Euch, Omar ; Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01716696. Full description at Econpapers || Download paper | |
2018 | LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:02:n:s2424786318500147. Full description at Econpapers || Download paper | |
2018 | Dead alphas as risk factors. (2018). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0064-5. Full description at Econpapers || Download paper | |
2018 | The network of inter-industry flows in a SAM framework. (2018). Santos, Susana ; Araujo, Tanya. In: Working Papers REM. RePEc:ise:remwps:wp0402018. Full description at Econpapers || Download paper | |
2018 | Stock composition of mutual funds and fund style: a time series decomposition approach towards testing for consistency. (2018). Sen, Jaydip. In: International Journal of Business Forecasting and Marketing Intelligence. RePEc:ids:ijbfmi:v:4:y:2018:i:3:p:235-292. Full description at Econpapers || Download paper | |
2018 | Identifying systemically important companies in the entire liability network of a small open economy. (2018). Thurner, Stefan ; Hinteregger, Abraham ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1801.10487. Full description at Econpapers || Download paper | |
2018 | Impact of Contingent Payments on Systemic Risk in Financial Networks. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1805.08544. Full description at Econpapers || Download paper | |
2018 | Mean Reversion Trading with Sequential Deadlines and Transaction Costs. (2018). Leung, Tim ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:1707.03498. Full description at Econpapers || Download paper | |
2018 | A Stochastic Control Approach to Managed Futures Portfolios. (2018). Leung, Tim ; Yan, Raphael. In: Papers. RePEc:arx:papers:1811.01916. Full description at Econpapers || Download paper | |
2018 | MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS. (2018). Leung, Tim ; Kitapbayev, Yerkin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500048. Full description at Econpapers || Download paper | |
2018 | Size matters, if you control your junk. (2018). Asness, Clifford ; Pedersen, Lasse H ; Moskowitz, Tobias J ; Israel, Ronen ; Frazzini, Andrea. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:479-509. Full description at Econpapers || Download paper | |
2018 | An Expanded Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1802.09611. Full description at Econpapers || Download paper | |
2018 | Geometric Local Variance Gamma model. (2018). Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1809.07727. Full description at Econpapers || Download paper | |
2018 | Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA. (2018). Gulerce, Mustafa ; Unal, Gazanfer. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500044. Full description at Econpapers || Download paper | |
2018 | Which portfolio is better? A discussion of several possible comparison criteria. (2018). Gzyl, Henryk ; Rios, Alfredo . In: Papers. RePEc:arx:papers:1805.06345. Full description at Econpapers || Download paper | |
2018 | Model-free portfolio theory and its functional master formula. (2018). Schied, Alexander ; Speiser, Leo ; Voloshchenko, Iryna . In: Papers. RePEc:arx:papers:1606.03325. Full description at Econpapers || Download paper | |
2018 | Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions. (2018). Komadel, Jan ; Brunovsk, Pavol ; Ern, Ale . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:3:p:1159-1171. Full description at Econpapers || Download paper | |
2018 | Market Impact in a Latent Order Book. (2018). Lemhadri, Ismael. In: Papers. RePEc:arx:papers:1802.06101. Full description at Econpapers || Download paper | |
2018 | Market impact in a latent order book. (2018). Lemhadri, Ismael. In: Working Papers. RePEc:hal:wpaper:hal-01711192. Full description at Econpapers || Download paper | |
2018 | Statistical Industry Classification. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1607.04883. Full description at Econpapers || Download paper | |
2018 | Decoding stock market with quant alphas. (2018). Kakushadze, Zura ; Yu, Willie. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:1:d:10.1057_s41260-017-0059-2. Full description at Econpapers || Download paper | |
2018 | Betas, Benchmarks and Beating the Market. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1807.09919. Full description at Econpapers || Download paper | |
2018 | A Continuous-Time Inequality Measure Applied to Financial Risk: The Case of the European Union. (2018). Damico, Guglielmo ; Storchi, Loriano ; Scocchera, Stefania ; Regnault, Philippe. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:3:p:62-:d:154243. Full description at Econpapers || Download paper | |
2018 | Power-law cross-correlations: Issues, solutions and future challenges. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Papers. RePEc:arx:papers:1806.01616. Full description at Econpapers || Download paper | |
2018 | The effectiveness of the monetary policy in China: New evidence from long-range cross-correlation analysis and the components of multifractality. (2018). Qin, Jing ; Lu, Xinsheng ; Ge, Jintian . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1026-1037. Full description at Econpapers || Download paper | |
2018 | The inefficiency of cryptocurrency and its cross-correlation with Dow Jones Industrial Average. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:658-670. Full description at Econpapers || Download paper | |
2018 | Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Kebaier, Ahmed ; ben Alaya, Mohamed. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:4:p:1135-1164. Full description at Econpapers || Download paper | |
2018 | Social crises. A network model approach. (2018). Cardenas, Juan Pablo ; Fuentes, Miguel Angel ; Olivares, Gaston ; Urbina, Carolina ; Vidal, Gerardo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:35-48. Full description at Econpapers || Download paper | |
2018 | Herding boosts too-connected-to-fail risk in stock market of China. (2018). Lu, Shan ; Ren, Ruoen ; Wang, Huiwen ; Zhao, Jichang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:945-964. Full description at Econpapers || Download paper | |
2018 | Epidemics of liquidity shortages in interbank markets. (2018). Di Clemente, Riccardo ; Cimini, Giulio ; Brandi, Giuseppe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:255-267. Full description at Econpapers || Download paper | |
2018 | Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475. Full description at Econpapers || Download paper | |
2018 | Extended Reduced-Form Framework for Non-Life Insurance. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1802.07741. Full description at Econpapers || Download paper | |
2018 | Modeling surveys effects in political competitions. (2018). Biondo, A E ; Rapisarda, A ; Pluchino, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:714-726. Full description at Econpapers || Download paper | |
2018 | Empirical justification of the elementary model of money circulation. (2018). Schinckus, Christophe ; Pokrovskii, Vladimir N ; Altukhov, Yurii A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:228-238. Full description at Econpapers || Download paper | |
2018 | Bosons and fermions in social and economic systems. (2018). Rashkovskiy, Sergey A. In: Papers. RePEc:arx:papers:1805.05327. Full description at Econpapers || Download paper | |
2018 | Multiscale fluctuations and complexity synchronization of Bitcoin in China and US markets. (2018). Fang, Wen ; Wang, Jun ; Tian, Shaolin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:109-120. Full description at Econpapers || Download paper | |
2018 | What matters most to people around the world? Retrieving Better Life Index priorities on Twitter. (2018). Resce, Giuliano ; Maynard, Diana. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:137:y:2018:i:c:p:61-75. Full description at Econpapers || Download paper | |
2018 | Multiple curve L\evy forward price model allowing for negative interest rates. (2018). Grbac, Zorana ; Gerhart, Christoph ; Eberlein, Ernst. In: Papers. RePEc:arx:papers:1805.02605. Full description at Econpapers || Download paper | |
2018 | Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper | |
2018 | Financial Big Data Solutions for State Space Panel Regression in Interest Rate Dynamics. (2018). Toczydlowska, Dorota ; Peters, Gareth W. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:3:p:34-:d:158660. Full description at Econpapers || Download paper | |
2018 | Pricing in-arrears caps and ratchet caps under LIBOR market model with multiplicative basis. (2018). Zhong, Yangfan ; Mi, Yanhui. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500238. Full description at Econpapers || Download paper | |
2018 | Estimation of the bias parameter of the skew random walk and application to the skew Brownian motion. (2018). Lejay, Antoine. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:21:y:2018:i:3:d:10.1007_s11203-017-9161-9. Full description at Econpapers || Download paper | |
2018 | Volatility and arbitrage. (2018). Ruf, Johannes ; Karatzas, Ioannis ; Fernholz, Robert E. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:75234. Full description at Econpapers || Download paper | |
2018 | Estimating option prices using multilevel particle filters. (2018). Jasra, A ; Osei, P P. In: Papers. RePEc:arx:papers:1806.01734. Full description at Econpapers || Download paper | |
2018 | Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1801.07817. Full description at Econpapers || Download paper | |
2018 | Endogeneous Dynamics of Intraday Liquidity. (2018). Lehalle, Charles-Albert ; Bi, Mikolaj . In: Papers. RePEc:arx:papers:1811.03766. Full description at Econpapers || Download paper | |
2018 | Machine-learned patterns suggest that diversification drives economic development. (2018). Hausmann, Ricardo ; Bonds, Matthew H ; Gomez-Lievano, Andres ; Brummitt, Charles D. In: Papers. RePEc:arx:papers:1812.03534. Full description at Econpapers || Download paper | |
2018 | Facebook drives behavior of passive households in stock markets. (2018). Siikanen, Milla ; Hussain, Abid ; Mukkamala, Raghava ; Vatrapu, Ravi ; Kanniainen, Juho ; Baltakys, Kstutis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:208-213. Full description at Econpapers || Download paper | |
2018 | CryptoRuble: From Russia with Love. (2018). Liew, Jim Kyung-Soo ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1801.05760. Full description at Econpapers || Download paper | |
2018 | Exploring the dynamic relationships between cryptocurrencies and other financial assets. (2018). Corbet, Shaen ; Yarovaya, Larisa ; Lucey, Brian ; Larkin, Charles ; Meegan, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:28-34. Full description at Econpapers || Download paper | |
2018 | The Hidden Predictive Power of Cryptocurrencies: Evidence from US Stock Market. (2018). Isah, Kazeem ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0056. Full description at Econpapers || Download paper | |
2018 | AR(p)-based detrended fluctuation analysis. (2018). Alvarez-Ramirez, J ; Rodriguez, E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:49-57. Full description at Econpapers || Download paper | |
2018 | Analysing the distribution properties of Bitcoin returns. (2018). Tiwari, Aviral ; Salisu, Afees ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0058. Full description at Econpapers || Download paper | |
2018 | Time-varying long-term memory in Bitcoin market. (2018). Jiang, Yonghong ; Ruan, Weihua ; Nie, HE. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:280-284. Full description at Econpapers || Download paper | |
2018 | Statistical properties and multifractality of Bitcoin. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:507-519. Full description at Econpapers || Download paper | |
2018 | Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072. Full description at Econpapers || Download paper | |
2018 | Bitcoin technical trading with artificial neural network. (2018). Nakano, Masafumi ; Takahashi, Soichiro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:510:y:2018:i:c:p:587-609. Full description at Econpapers || Download paper | |
2018 | Multifractal analysis of Bitcoin market. (2018). da Silva, Antonio Carlos ; de Almeida, Eduardo Fonseca ; Maganini, Natalia Diniz. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:954-967. Full description at Econpapers || Download paper | |
2018 | A High-Frequency Analysis of Bitcoin Markets. (2018). Theissen, Erik ; Mestel, Roland ; Riordan, Ryan ; Brauneis, Alexander. In: Working Paper Series, Social and Economic Sciences. RePEc:grz:wpsses:2018-06. Full description at Econpapers || Download paper | |
2018 | ÐÐТÐÐÐЧÐСÐÐÐ ÐÐÐÐ¥ÐÐЫ Ð ÐÐ ÐÐÐÐÐÐÐ ÐÐÐÐÐЮ ÐÐÐÐÐÐÐÐ ÐУРСРÐÐ ÐÐТÐÐÐÐЮТ С ÐÐ ÐÐÐÐÐÐÐÐÐ ÐÐСТРУÐÐÐТÐРСТÐÐ¥ÐСТÐЧÐСÐ. (2018). Safiullin, M ; Ð. ÐлÑÑин Ð., ; Ð. ÐбдÑкаева Ð., ; Ð. СаÑиÑллин Ð ., ; Elshin, L ; Abdukaeva, A. In: ФинанÑÑ: ÑеоÑÐ¸Ñ Ð¸ пÑакÑика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2018:i:4:p:38-51. Full description at Econpapers || Download paper | |
2018 | Bitcoin Technical Trading with Articial Neural Network. (2018). Takahashi, Soichiro ; Nakano, Masafumi. In: CIRJE F-Series. RePEc:tky:fseres:2018cf1090. Full description at Econpapers || Download paper | |
2018 | Taylor effect in Bitcoin time series. (2018). Takaishi, Tetsuya ; Adachi, Takanori. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:5-7. Full description at Econpapers || Download paper | |
2018 | Datestamping the Bitcoin and Ethereum bubbles. (2018). Corbet, Shaen ; Yarovaya, Larisa ; Lucey, Brian. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:81-88. Full description at Econpapers || Download paper | |
2018 | On Bitcoin markets (in)efficiency and its evolution. (2018). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:257-262. Full description at Econpapers || Download paper | |
2018 | Some stylized facts of the cryptocurrency market. (2018). Shen, Dehua ; Li, Xiao ; Wang, Pengfei ; Zhang, Wei. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:55:p:5950-5965. Full description at Econpapers || Download paper | |
2018 | Information Transmission Between Cryptocurrencies: Does Bitcoin Rule the Cryptocurrency World?. (2018). Portugal Duarte, António ; Bação, Pedro ; Srdjan, Redzepagic ; Helder, Sebastio ; Pedro, Bao. In: Scientific Annals of Economics and Business. RePEc:vrs:aicuec:v:65:y:2018:i:2:p:97-117:n:7. Full description at Econpapers || Download paper | |
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2018 | Financial Time Series Forecasting Using Empirical Mode Decomposition and Support Vector Regression. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, Tiziana. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:7-:d:130251. Full description at Econpapers || Download paper | |
2018 | Financial time series forecasting using empirical mode decomposition and support vector regression. (2018). Aste, Tomaso ; di Matteo, Tiziana ; Nava, Noemi. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:91028. Full description at Econpapers || Download paper | |
2018 | ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS. (2018). Daluiso, Roberto ; Facchinetti, Giorgio. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s021902491850019x. Full description at Econpapers || Download paper | |
2018 | Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. (2018). Ferrer, Roman ; Jareo, Francisco ; Lopez, Raquel ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:1-20. Full description at Econpapers || Download paper | |
2018 | Optimal execution with price impact under Cumulative Prospect Theory. (2018). Li, Xindan ; Zhao, Jingdong ; Zhu, Hongliang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1228-1237. Full description at Econpapers || Download paper | |
2018 | The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1802.01143. Full description at Econpapers || Download paper | |
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2018 | The Impact of Management Fees on the Pricing of Variable Annuity Guarantees. (2018). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:103-:d:170856. Full description at Econpapers || Download paper | |
2018 | Does the U.S. exercise contagion on Italy? A theoretical model and empirical evidence. (2018). Ventura, Marco ; Fenga, Livio ; Cerqueti, Roy. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:436-442. Full description at Econpapers || Download paper | |
2018 | Duality in an asset exchange model for wealth distribution. (2018). Li, Jie ; Boghosian, Bruce M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:154-165. Full description at Econpapers || Download paper | |
2018 | Capital asset pricing model in Portugal: Evidence from fractal regressions. (2018). Krištoufek, Ladislav ; Ferreira, Paulo ; Kristoufek, Ladislav. In: Portuguese Economic Journal. RePEc:spr:portec:v:17:y:2018:i:3:d:10.1007_s10258-018-0145-5. Full description at Econpapers || Download paper | |
2018 | The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists. (2018). Poitras, Geoffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:89-98. Full description at Econpapers || Download paper | |
2018 | Ising model, econophysics and analogies. (2018). Schinckus, Christophe. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:95-103. Full description at Econpapers || Download paper | |
2018 | How can Bitcoin Price Fluctuations be Explained?. (2018). Kjarland, Frode ; Oyen, Vilde ; Oust, Are ; Meland, Maria. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-38. Full description at Econpapers || Download paper | |
2018 | SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS. (2018). Bhim, Louis ; Kawai, Reiichiro. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500097. Full description at Econpapers || Download paper | |
2018 | Fifty-shades of grey: Competition between dark and lit pools in stock exchanges. (2018). Oriol, Nathalie ; Torre, Dominique ; Rufini, Alexandra. In: Information Economics and Policy. RePEc:eee:iepoli:v:45:y:2018:i:c:p:68-85. Full description at Econpapers || Download paper | |
2018 | Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1706.07375. Full description at Econpapers || Download paper | |
2018 | Editorial: A Celebration of the Ties That Bind Us: Connections between Actuarial Science and Mathematical Finance. (2018). Cohen, Albert. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:4-:d:126976. Full description at Econpapers || Download paper | |
2018 | Systemic Risk and the Dependence Structures. (2018). Chang, Yu-Sin. In: Papers. RePEc:arx:papers:1809.03425. Full description at Econpapers || Download paper | |
2018 | Robust expected utility maximization with medial limits. (2018). Kupper, Michael ; Cheridito, Patrick ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1712.07699. Full description at Econpapers || Download paper | |
2018 | Complexity of products: the effect of data regularisation. (2018). di Matteo, Tiziana ; Angelini, Orazio . In: Papers. RePEc:arx:papers:1808.08249. Full description at Econpapers || Download paper | |
2018 | On the quadratic variation of the model-free price paths with jumps. (2018). Mhlanga, Farai J ; Lochowski, Rafal M. In: Papers. RePEc:arx:papers:1710.07894. Full description at Econpapers || Download paper | |
2018 | Time irreversibility and intrinsics revealing of series with complex network approach. (2018). Xiong, Hui ; Wang, Jing ; Xia, Jianan ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:241-249. Full description at Econpapers || Download paper | |
2018 | Extended AIC model based on high order moments and its application in the financial market. (2018). Mao, Xuegeng ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:264-275. Full description at Econpapers || Download paper | |
2018 | Time irreversibility of financial time series based on higher moments and multiscale KullbackâLeibler divergence. (2018). Li, Jinyang ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:248-255. Full description at Econpapers || Download paper | |
2018 | An improvement of the measurement of time series irreversibility with visibility graph approach. (2018). Wu, Zhenyu ; Xiong, Hui ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:370-378. Full description at Econpapers || Download paper | |
2018 | New irreversibility measure and complexity analysis based on singular value decomposition. (2018). Rong, Lei ; Shang, Pengjian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:913-924. Full description at Econpapers || Download paper | |
2018 | Deep Learning for Mortgage Risk. (2018). Sadhwani, Apaar ; Giesecke, Kay ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1607.02470. Full description at Econpapers || Download paper | |
2018 | Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin. In: Papers. RePEc:arx:papers:1803.06917. Full description at Econpapers || Download paper | |
2018 | Universal features of price formation in financial markets: perspectives from Deep Learning. (2018). Cont, Rama ; Sirignano, Justin. In: Working Papers. RePEc:hal:wpaper:hal-01754054. Full description at Econpapers || Download paper | |
2018 | The average risk sharing problem under risk measure and expected utility theory. (2018). Mao, Tiantian ; Liu, Haiyan ; Hu, Jiuyun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:83:y:2018:i:c:p:170-179. Full description at Econpapers || Download paper | |
2018 | An analysis of the Solvency II regulatory frameworkâs Smith-Wilson model for the term structure of risk-free interest rates. (2018). Jorgensen, Peter Lochte . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:219-237. Full description at Econpapers || Download paper | |
2018 | High dimensional Hawkes processes for limit order books Modelling, empirical analysis and numerical calibration. (2018). Abergel, Frederic ; Lu, Xiaofei. In: Post-Print. RePEc:hal:journl:hal-01686122. Full description at Econpapers || Download paper | |
2018 | A Thought Experiment on Sustainable Management of the Earth System. (2018). Heitzig, Jobst ; Donges, Jonathan F ; Barfuss, Wolfram . In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:6:p:1947-:d:151732. Full description at Econpapers || Download paper | |
2018 | Recommendations for improving the treatment of risk and uncertainty in economic estimates of climate impacts in the Sixth Intergovernmental Panel on Climate Change Assessment Report. (2018). Wagner, Gernot ; Robert, ; Stoerk, Thomas. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87957. Full description at Econpapers || Download paper | |
2018 | Stability for gains from large investors strategies in M1/J1 topologies. (2018). Frentrup, Peter ; Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1701.02167. Full description at Econpapers || Download paper | |
2018 | An Optimal Extraction Problem with Price Impact. (2018). Koch, Torben ; Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1812.01270. Full description at Econpapers || Download paper | |
2018 | An optimal extraction problem with price impact. (2018). Koch, Torben ; Ferrari, Giorgio. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:603. Full description at Econpapers || Download paper | |
2018 | Environmental impact assessment for climate change policy with the simulation-based integrated assessment model E3ME-FTT-GENIE. (2018). Mercure, Jean-Francois ; Vinuales, J ; Knobloch, F ; Lam, A ; Salas, P ; Chewpreecha, U ; Holden, P B ; Edwards, N R ; Pollitt, H. In: Papers. RePEc:arx:papers:1707.04870. Full description at Econpapers || Download paper | |
2018 | Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C. (2018). Mercure, Jean-Francois ; Chewpreecha, Unnada ; Pollitt, Hector ; Knobloch, Florian. In: Papers. RePEc:arx:papers:1710.11019. Full description at Econpapers || Download paper | |
2018 | Systems Innovation, Inertia and Pliability: A mathematical exploration with implications for climate change abatement. (2018). Mercure, Jean-Francois ; Grubb, Michael ; Lange, R ; Salas, P. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1819. Full description at Econpapers || Download paper | |
2018 | Recent advancements in robust optimization for investment management. (2018). Ho, Jang ; Fabozzi, Frank J ; Kim, Woo Chang. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2573-5. Full description at Econpapers || Download paper | |
2018 | Evidence for criticality in financial data. (2018). Ruiz, G ; de Marcos, A F. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:91:y:2018:i:1:d:10.1140_epjb_e2017-80535-3. Full description at Econpapers || Download paper | |
2018 | Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18. Full description at Econpapers || Download paper | |
2018 | Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201. Full description at Econpapers || Download paper | |
2018 | Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1802.00311. Full description at Econpapers || Download paper | |
2018 | Using Social Media Analytics: The Effect of President Trumpâs Tweets On Companiesâ Performance. (2018). Jumah, Ahmad H ; Alnsour, Yazan. In: Journal of Accounting and Management Information Systems. RePEc:ami:journl:v:17:y:2018:i:1:p:100-121. Full description at Econpapers || Download paper | |
2018 | Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145. Full description at Econpapers || Download paper | |
2018 | Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407. Full description at Econpapers || Download paper | |
2018 | Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167. Full description at Econpapers || Download paper | |
2018 | Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613. Full description at Econpapers || Download paper | |
2018 | Spinning the Web: The Impact of ICT on Trade in Intermediates and Technology Diffusion. (2018). Steinwender, Claudia ; Juhasz, Reka. In: NBER Working Papers. RePEc:nbr:nberwo:24590. Full description at Econpapers || Download paper | |
2018 | Learning from failure in healthcare: Dynamic panel evidence of a physician shock effect. (2018). Raf, Tobias Mueller. In: Diskussionsschriften. RePEc:ube:dpvwib:dp1809. Full description at Econpapers || Download paper | |
2018 | Nonlinear factor models for network and panel data. (2018). Weidner, Martin ; Fernandez-Val, Ivan ; Chen, Mingli. In: CeMMAP working papers. RePEc:ifs:cemmap:38/18. Full description at Econpapers || Download paper | |
2018 | Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. (2018). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:632-647. Full description at Econpapers || Download paper | |
2018 | Economic Sociotronics of the 21st Century. (2018). Popov, Yevgeny V. In: Upravlenets. RePEc:url:upravl:v:9:y:2018:i:2:p:2-5. Full description at Econpapers || Download paper | |
2018 | Mean field and n-agent games for optimal investment under relative performance criteria. (2018). Zariphopoulou, Thaleia ; Lacker, Daniel . In: Papers. RePEc:arx:papers:1703.07685. Full description at Econpapers || Download paper | |
2018 | The bubble and anti-bubble risk resistance analysis on the metal futures in China. (2018). Zhou, Wei ; Chen, Jin ; Huang, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:947-957. Full description at Econpapers || Download paper | |
2018 | Integrating dynamic fuzzy C-means, data envelopment analysis and artificial neural network to online prediction performance of companies in stock exchange. (2018). Rezaee, Mustafa Jahangoshai ; Valipour, Mahsa ; Jozmaleki, Mehrdad . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:489:y:2018:i:c:p:78-93. Full description at Econpapers || Download paper | |
2018 | Networks of volatility spillovers among stock markets. (2018). Výrost, Tomáš ; Lyócsa, Å tefan ; KoÄenda, Evžen ; Baumohl, Eduard ; Vrost, Toma ; Koenda, Even ; Lyocsa, Tefan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:1555-1574. Full description at Econpapers || Download paper | |
2018 | Informed trading in the Bitcoin market. (2018). Feng, Wenjun ; Zhang, Zhengjun ; Wang, Yiming. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:63-70. Full description at Econpapers || Download paper | |
2018 | Nowcasting economic activity with electronic payments data: A predictive modeling approach. (2018). Ortega, Fabio ; León, Carlos ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1037. Full description at Econpapers || Download paper | |
2018 | New Approaches of NARX-Based Forecasting Model. A Case Study on CHF-RON Exchange Rate. (2018). Avramescu, Mihai-Serban ; Cocianu, Catalina Lucia . In: Informatica Economica. RePEc:aes:infoec:v:22:y:2018:i:2:p:5-13. Full description at Econpapers || Download paper | |
2018 | Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers || Download paper | |
2018 | Systemic Greeks: Measuring risk in financial networks. (2018). Stobbe, Julian ; Bertschinger, Nils. In: Papers. RePEc:arx:papers:1810.11849. Full description at Econpapers || Download paper | |
2018 | Discretion versus Policy Rules in Futures Markets: A Case of the Osaka-Dojima Rice Exchange, 1914-1939. (2018). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio . In: Papers. RePEc:arx:papers:1704.00985. Full description at Econpapers || Download paper | |
2018 | Sentiment and asset price bubble in the precious metals markets. (2018). Pan, Wei-Fong. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:106-111. Full description at Econpapers || Download paper | |
2018 | Dynamic correlations at different time-scales with empirical mode decomposition. (2018). Nava, Noemi ; Aste, Tomaso ; di Matteo, T. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:534-544. Full description at Econpapers || Download paper | |
2018 | An approximation method for risk aggregations and capital allocation rules based on additive risk factor models. (2018). Dhaene, Jan ; Yao, Jing ; Zhou, Ming. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:79:y:2018:i:c:p:92-100. Full description at Econpapers || Download paper | |
2018 | A comparative study of pricing approaches for longevity instruments. (2018). Leung, Melvern ; Ohare, Colin ; Fung, Man Chung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:95-116. Full description at Econpapers || Download paper | |
2018 | ASSESSING THE OLYMPIC GAMES: THE ECONOMIC IMPACT AND BEYOND. (2018). Scandizzo, Pasquale Lucio ; Pierleoni, Maria Rita . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:3:p:649-682. Full description at Econpapers || Download paper | |
2018 | Five things you should know about cost overrun. (2018). Ronnest, Arne ; Flyvbjerg, Bent ; Molin, Eric ; Lunn, Daniel ; Lovallo, Dan ; Holm, Mette Skamris ; Glenting, Carsten ; Garbuio, Massimo ; Cantarelli, Chantal ; Buhl, Soren ; van Wee, Bert ; Budzier, Alexander ; Stewart, Allison ; Ansar, Atif . In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:118:y:2018:i:c:p:174-190. Full description at Econpapers || Download paper | |
2018 | Evolution of the Chinese Guarantee Network and Its Implication for Risk Management: Impacts from Financial Crisis and Stimulus Program. (2018). Yang, Xiaoguang ; Zhang, Qingpeng ; Wang, Yingli. In: Papers. RePEc:arx:papers:1804.05667. Full description at Econpapers || Download paper | |
2018 | Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts. (2018). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1801.07044. Full description at Econpapers || Download paper | |
2018 | Economic Complexity and Human Development: DEA performance measurement in Asia and Latin America. (2018). Ferraz, Diogo ; Do, Daisy Aparecida ; Ribeiro, Fabiola Cristina ; Campoli, Jessica Suarez ; Moralles, Herick Fernando. In: EconStor Open Access Articles. RePEc:zbw:espost:171379. Full description at Econpapers || Download paper | |
2018 | Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063. Full description at Econpapers || Download paper | |
2018 | Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk. (2018). Hitaj, Asmerilda ; Peri, Ilaria ; Mateus, Cesario. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:17-:d:134856. Full description at Econpapers || Download paper | |
2018 | Arbitrage-Free Pricing Of Derivatives In Nonlinear Market Models. (2018). Bielecki, Tomasz R ; Cialenco, Igor ; Rutkowski, Marek. In: Papers. RePEc:arx:papers:1701.08399. Full description at Econpapers || Download paper | |
2018 | Capital and Funding. (2018). Crepey, Stephane ; Caenazzo, Simone ; Albanese, Claudio. In: Working Papers. RePEc:hal:wpaper:hal-01764401. Full description at Econpapers || Download paper | |
2018 | Investigating the configurations in cross-shareholding: a joint copula-entropy approach. (2018). Cerqueti, Roy ; ausloos, marcel ; Rotundo, Giulia. In: Papers. RePEc:arx:papers:1807.09346. Full description at Econpapers || Download paper | |
2018 | Non-stochastic portfolio theory. (2018). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1712.09108. Full description at Econpapers || Download paper | |
2018 | Are cryptocurrencies connected to forex? A quantile cross-spectral approach. (2018). Baumohl, Eduard. In: EconStor Preprints. RePEc:zbw:esprep:174884. Full description at Econpapers || Download paper | |
2018 | Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Tankov, Peter ; Krief, David ; Alfonsi, Aur'Elien. In: Papers. RePEc:arx:papers:1806.06883. Full description at Econpapers || Download paper | |
2018 | Long-time trajectorial large deviations for affine stochastic volatility models and application to variance reduction for option pricing. (2018). Tankov, Peter ; Krief, David ; Grbac, Zorana. In: Papers. RePEc:arx:papers:1809.06153. Full description at Econpapers || Download paper | |
2018 | A Scaling Limit for Limit Order Books Driven by Hawkes Processes. (2018). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:1709.01292. Full description at Econpapers || Download paper | |
2018 | Second order approximations for limit order books. (2018). Horst, Ulrich ; Kreher, Dorte . In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0373-7. Full description at Econpapers || Download paper | |
2018 | The randomised Heston model. (2018). Jacquier, Antoine ; Shi, Fangwei . In: Papers. RePEc:arx:papers:1608.07158. Full description at Econpapers || Download paper | |
2018 | The interaction between monetary and macroprudential policy: Should central banks lean against the wind to foster macro-financial stability?. (2018). Krug, Sebastian. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:20187. Full description at Econpapers || Download paper | |
2018 | Optimal inflation target: Insights from an agent-based model. (2018). Bouchaud, Jean-Philippe ; Zamponi, Francesco ; Tarzia, Marco ; Gualdi, Stanislao. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201815. Full description at Econpapers || Download paper | |
2018 | Optimal inflation target: insights from an agent-based model. (2018). Zamponi, Francesco ; Tarzia, Marco ; Gualdi, Stanislao ; Bouchaud, Jean-Philippe. In: Post-Print. RePEc:hal:journl:hal-01768441. Full description at Econpapers || Download paper | |
2018 | Optimal liquidation under stochastic liquidity. (2018). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:1:d:10.1007_s00780-017-0346-2. Full description at Econpapers || Download paper | |
2018 | Hedging with transient price impact for non-covered and covered options. (2018). Bilarev, Todor ; Becherer, Dirk. In: Papers. RePEc:arx:papers:1807.05917. Full description at Econpapers || Download paper | |
2018 | A composition between risk and deviation measures. (2018). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1511.06943. Full description at Econpapers || Download paper | |
2018 | A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112. Full description at Econpapers || Download paper | |
2018 | Evaluating Indicators for Use in Setting the Countercyclical Capital Buffer. (2018). Tolo, Eero ; Kalatie, Simo ; Laakkonen, Helina . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2018:q:1:a:2. Full description at Econpapers || Download paper | |
2018 | Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must be the Sets Induced by Value-at-Risk. (2018). Peng, Xianhua ; He, Xue Dong . In: Papers. RePEc:arx:papers:1707.05596. Full description at Econpapers || Download paper | |
2018 | Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2018). Zhou, Chao ; Liang, Gechun ; Yang, Zhou. In: Papers. RePEc:arx:papers:1711.02939. Full description at Econpapers || Download paper | |
2018 | Who would invest only in the risk-free asset?. (2018). Azevedo, N ; Yannacopoulos, A N ; Xanthopoulos, S Z ; Pinheiro, D. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s242478631850024x. Full description at Econpapers || Download paper | |
2018 | Evaluating the role of risk networks on risk identification, classification and emergence. (2018). Coombe, Caroline ; Allan, Neil ; Ellinas, Christos. In: Papers. RePEc:arx:papers:1801.05759. Full description at Econpapers || Download paper | |
2018 | Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | Chebyshev Methods for Ultra-efficient Risk Calculations. (2018). Ruiz, Ignacio ; Medina, Mariano Zeron. In: Papers. RePEc:arx:papers:1805.00898. Full description at Econpapers || Download paper | |
2018 | Dynamic Initial Margin via Chebyshev Spectral Decomposition. (2018). Zeron, Mariano ; Ruiz, Ignacio. In: Papers. RePEc:arx:papers:1808.08221. Full description at Econpapers || Download paper | |
2018 | Stability of Radner equilibria with respect to small frictions. (2018). Herdegen, Martin ; Muhle-Karbe, Johannes. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0354-x. Full description at Econpapers || Download paper | |
2018 | Equilibrium returns with transaction costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0366-6. Full description at Econpapers || Download paper | |
2018 | IMPACT OF THE NATIONAL PROFESSIONAL QUALIFICATION PROGRAM (PNQ) ON INCOME: AN ECONOMETRIC ANALYSIS IN PIRACICABA/SP-BRAZIL. (2018). Ferraz, Diogo ; Ribeiro, Fabiola Cristina. In: EconStor Open Access Articles. RePEc:zbw:espost:171454. Full description at Econpapers || Download paper | |
2018 | Endogenizing non-price competitiveness in a BoPC growth model with capital accumulation. (2018). Oreiro, José LuÃÂs ; Dávila-Fernández, Marwil ; Davila, Mario W ; Davila-Fernandez, Marwil J. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:77-87. Full description at Econpapers || Download paper | |
2018 | Whose greed, whose grievance, and whose opportunity? Effects of foreign direct investments (FDI) on internal conflict. (2018). Mihalache, Andreea S. In: World Development. RePEc:eee:wdevel:v:106:y:2018:i:c:p:187-206. Full description at Econpapers || Download paper | |
2018 | Energy consumption and economic growth: New evidence from the OECD countries. (2018). Gözgör, Giray ; Lu, Zhou ; Marco, Chi Keung ; Gozgor, Giray . In: Energy. RePEc:eee:energy:v:153:y:2018:i:c:p:27-34. Full description at Econpapers || Download paper | |
2018 | Democracyâs comparative advantage: Evidence from aggregated trade data, 1962â2010. (2018). Yue, Jiahua ; Zhou, Shangsi. In: World Development. RePEc:eee:wdevel:v:111:y:2018:i:c:p:27-40. Full description at Econpapers || Download paper | |
2018 | Export Take-Offs and Acceleration: Unpacking Cross-Sector Linkages in the Evolution of Comparative Advantage. (2018). Wagner, Rodrigo ; Stein, Ernesto ; Rosenow, Samuel ; Bahar, Dany. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7436. Full description at Econpapers || Download paper | |
2018 | Export Take-Offs and Acceleration: Unpacking Cross-Sector Linkages in the Evolution of Comparative Advantage. (2018). Wagner, Rodrigo ; Stein, Ernesto ; Rosenow, Samuel ; Bahar, Dany. In: IZA Discussion Papers. RePEc:iza:izadps:dp12061. Full description at Econpapers || Download paper | |
2018 | Some New Insights on Financialisation and Income Inequality. (2018). Davila-Fernandez, Marwil J ; Punzo, Lionello F. In: Department of Economics University of Siena. RePEc:usi:wpaper:792. Full description at Econpapers || Download paper | |
2018 | Alternative Approaches to Technological Change when Growth is BoPC. (2018). Davila-Fernandez, Marwil J. In: Department of Economics University of Siena. RePEc:usi:wpaper:795. Full description at Econpapers || Download paper | |
2018 | Intermittent transition between synchronization and desynchronization in multi-regional business cycles. (2018). Onozaki, Tamotsu ; Sato, Yuzuru ; Saiki, Yoshitaka ; Esashi, Kunihiko. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:68-76. Full description at Econpapers || Download paper | |
2018 | The flow network method. (2018). Bubboloni, Daniela ; Gori, Michele. In: Social Choice and Welfare. RePEc:spr:sochwe:v:51:y:2018:i:4:d:10.1007_s00355-018-1131-7. Full description at Econpapers || Download paper | |
2018 | The Fatou Closedness under Model Uncertainty. (2018). Meyer-Brandis, Thilo ; Svindland, Gregor ; Maggis, Marco. In: Papers. RePEc:arx:papers:1610.04085. Full description at Econpapers || Download paper | |
2018 | Fashion, fads and the popularity of choices: micro-foundations for diffusion consumer theory. (2018). Mercure, Jean-Francois. In: Papers. RePEc:arx:papers:1607.04155. Full description at Econpapers || Download paper | |
2018 | The EIRIN Flow-of-funds Behavioural Model of Green Fiscal Policies and Green Sovereign Bonds. (2018). Raberto, Marco ; Monasterolo, Irene. In: Ecological Economics. RePEc:eee:ecolec:v:144:y:2018:i:c:p:228-243. Full description at Econpapers || Download paper | |
2018 | An economic assessment of carbon tax reform to meet Japanâs NDC target under different nuclear assumptions using the E3ME model. (2018). Lee, Soocheol ; Kojima, Satoshi ; Pollitt, Hector ; Chewpreecha, Unnada. In: Environmental Economics and Policy Studies. RePEc:spr:envpol:v:20:y:2018:i:2:d:10.1007_s10018-017-0199-0. Full description at Econpapers || Download paper | |
2018 | Policies and Predictions for a Low-Carbon Transition by 2050 in Passenger Vehicles in East Asia: Based on an Analysis Using the E3ME-FTT Model. (2018). Lam, Aileen ; Billington, Sophie ; Chewpreecha, Unnada ; Pollitt, Hector ; Cho, Yongsung ; Mercure, Jean-Franois ; Lee, Soocheol. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:5:p:1612-:d:146955. Full description at Econpapers || Download paper | |
2018 | The Nexus Concept Integrating Energy and Resource Efficiency for Policy Assessments: A Comparative Approach from Three Cases. (2018). Linderhof, Vincent ; Griffey, Matthew ; Bremere, Ingrida ; Alexandri, Eva ; Vamvakeridou-Lyroudia, Lydia ; Brouwer, Floor. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:12:p:4860-:d:191803. Full description at Econpapers || Download paper | |
2018 | Integrated assessment modelling as a positive science: private passenger road transport policies to meet a climate target well below 2 âC. (2018). J. -F. Mercure, ; Pollitt, H ; Billington, S ; Lam, A ; J.-F. Mercure, . In: Climatic Change. RePEc:spr:climat:v:151:y:2018:i:2:d:10.1007_s10584-018-2262-7. Full description at Econpapers || Download paper | |
2018 | Preferences over all random variables: Incompatibility of convexity and continuity. (2018). Zimper, Alexander ; Assa, Hirbod. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:75:y:2018:i:c:p:71-83. Full description at Econpapers || Download paper | |
2018 | Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895. Full description at Econpapers || Download paper | |
2018 | Fractional Brownian motion with zero Hurst parameter: a rough volatility viewpoint. (2018). Rosenbaum, Mathieu ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1711.00427. Full description at Econpapers || Download paper | |
2018 | Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215. Full description at Econpapers || Download paper | |
2018 | Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296. Full description at Econpapers || Download paper | |
2018 | A new and stable estimation method of country economic fitness and product complexity. (2018). Pietronero, Luciano ; Tacchella, Andrea ; Mazzilli, Dario ; Butta, Paolo ; Vito, . In: Papers. RePEc:arx:papers:1807.10276. Full description at Econpapers || Download paper | |
2018 | Sovereign defaults and banking crises. (2018). Sosa-Padilla, Cesar. In: Journal of Monetary Economics. RePEc:eee:moneco:v:99:y:2018:i:c:p:88-105. Full description at Econpapers || Download paper | |
2018 | The market nanostructure origin of asset price time reversal asymmetry. (2018). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus. In: Working Papers. RePEc:hal:wpaper:hal-01966419. Full description at Econpapers || Download paper | |
2018 | The market nanostructure origin of asset price time reversal asymmetry. (2018). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus. In: Post-Print. RePEc:hal:journl:hal-01966419. Full description at Econpapers || Download paper | |
2018 | Buy-and-Hold Property for Fully Incomplete Markets when Super-replicating Markovian Claims. (2018). Neufeld, Ariel. In: Papers. RePEc:arx:papers:1707.01178. Full description at Econpapers || Download paper | |
2018 | Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco. In: Papers. RePEc:arx:papers:1807.01979. Full description at Econpapers || Download paper | |
2018 | Investigating Limit Order Book Characteristics for Short Term Price Prediction: a Machine Learning Approach. (2018). Qureshi, Faisal I. In: Papers. RePEc:arx:papers:1901.10534. Full description at Econpapers || Download paper | |
2018 | Probabilistic Mid- and Long-Term Electricity Price Forecasting. (2018). Steinert, Rick ; Ziel, Florian. In: Papers. RePEc:arx:papers:1703.10806. Full description at Econpapers || Download paper | |
2018 | Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903. Full description at Econpapers || Download paper | |
2018 | Probabilistic mid- and long-term electricity price forecasting. (2018). Ziel, Florian ; Steinert, Rick. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:94:y:2018:i:c:p:251-266. Full description at Econpapers || Download paper | |
2018 | Managing renewable energy production risk. (2018). Hain, Martin ; Fichtner, Wolf ; Uhrig-Homburg, Marliese ; Schermeyer, Hans. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:1-19. Full description at Econpapers || Download paper | |
2018 | Option pricing under fast-varying and rough stochastic volatility. (2018). Garnier, Josselin ; Solna, Knut. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:4:d:10.1007_s10436-018-0325-4. Full description at Econpapers || Download paper | |
2018 | Nominal GDP stabilization: Chasing a mirage. (2018). Veetil, Vipin P ; Wagner, Richard E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:227-236. Full description at Econpapers || Download paper | |
2018 | Price and network dynamics in the European carbon market. (2018). Mandel, Antoine ; Battiston, Stefano ; Karpf, Andreas. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:103-122. Full description at Econpapers || Download paper | |
2018 | Optimal consumption of multiple goods in incomplete markets. (2018). Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:1705.02291. Full description at Econpapers || Download paper | |
2018 | The value of informational arbitrage. (2018). Fontana, Claudio ; Cosso, Andrea ; Chau, Huy N. In: Papers. RePEc:arx:papers:1804.00442. Full description at Econpapers || Download paper | |
2018 | The strong predictable representation property in initially enlarged filtrations under the density hypothesis. (2018). Fontana, Claudio. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:3:p:1007-1033. Full description at Econpapers || Download paper | |
2018 | Log-optimal portfolio without NFLVR: existence, complete characterization, and duality. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1807.06449. Full description at Econpapers || Download paper | |
2018 | Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models. (2018). Cherstvy, Andrey G ; Aydiner, Ekrem ; Metzler, Ralf. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:278-288. Full description at Econpapers || Download paper | |
2018 | An agent-based model of the observed distribution of wealth in the United States. (2018). Vallejos, Hunter A ; Perumalla, Kalyan S ; Nutaro, James J. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:3:d:10.1007_s11403-017-0200-9. Full description at Econpapers || Download paper | |
2018 | Robust framework for quantifying the value of information in pricing and hedging. (2018). Aksamit, Anna ; Obl, Jan ; Hou, Zhaoxu . In: Papers. RePEc:arx:papers:1605.02539. Full description at Econpapers || Download paper | |
2018 | Optimal dividend policies with random profitability. (2018). Rochet, Jean ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1706.01813. Full description at Econpapers || Download paper | |
2018 | Asset pricing under optimal contracts. (2018). Cvitanic, Jaksa ; Xing, Hao. In: Journal of Economic Theory. RePEc:eee:jetheo:v:173:y:2018:i:c:p:142-180. Full description at Econpapers || Download paper | |
2018 | Pricing American Options with Jumps in Asset and Volatility. (2018). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Taruvinga, Blessing. In: Research Paper Series. RePEc:uts:rpaper:394. Full description at Econpapers || Download paper | |
2018 | Short-term integration costs of variable renewable energy: Wind curtailment and balancing in Britain and Germany. (2018). Staffell, Iain ; Joos, Michael . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:86:y:2018:i:c:p:45-65. Full description at Econpapers || Download paper | |
2018 | DYNAMIC MEANâVARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. (2018). Schweizer, Martin ; Iki, Mario ; Zivoi, Danijel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500115. Full description at Econpapers || Download paper | |
2018 | Change of Measure in the Heston Model given a violated Feller Condition. (2018). Desmettre, Sascha. In: Papers. RePEc:arx:papers:1809.10955. Full description at Econpapers || Download paper | |
2018 | Arbitrage-free pricing of American options in nonlinear markets. (2018). Rutkowski, Marek ; Nie, Tianyang ; Kim, Edward. In: Papers. RePEc:arx:papers:1804.10753. Full description at Econpapers || Download paper | |
2018 | Arbitrage-Free Pricing of Game Options in Nonlinear Markets. (2018). Rutkowski, Marek ; Kim, Edward ; Nie, Tianyang. In: Papers. RePEc:arx:papers:1807.05448. Full description at Econpapers || Download paper | |
2018 | Robust martingale selection problem and its connections to the no-arbitrage theory. (2018). Sikic, Mario ; Burzoni, Matteo. In: Papers. RePEc:arx:papers:1801.03574. Full description at Econpapers || Download paper | |
2018 | An exact and explicit implied volatility inversion formula. (2018). Xia, Yuxuan ; Cui, Zhenyu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:03:n:s2424786318500329. Full description at Econpapers || Download paper | |
2018 | Steinâs lemma for truncated elliptical random vectors. (2018). Shushi, Tomer. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:297-303. Full description at Econpapers || Download paper | |
2018 | CORRIGENDUM: âPRICING AND VALUATION UNDER THE REAL-WORLD MEASUREâ. (2018). Frahm, Gabriel. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918920012. Full description at Econpapers || Download paper | |
2018 | BANK PANICS AND FIRE SALES, INSOLVENCY AND ILLIQUIDITY. (2018). Hurd, T R. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:06:n:s0219024918500401. Full description at Econpapers || Download paper | |
2018 | Policy simulation for promoting residential PV considering anecdotal information exchanges based on social network modelling. (2018). Wang, GE ; Li, Hailong ; Zhang, QI. In: Applied Energy. RePEc:eee:appene:v:223:y:2018:i:c:p:1-10. Full description at Econpapers || Download paper | |
2018 | Solvency II, or how to sweep the downside risk under the carpet. (2018). Weber, Stefan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:191-200. Full description at Econpapers || Download paper | |
2018 | Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model. (2018). Roventini, Andrea ; Dosi, Giovanni ; Sapio, A ; Napoletano, M ; Lamperti, F. In: Ecological Economics. RePEc:eee:ecolec:v:150:y:2018:i:c:p:315-339. Full description at Econpapers || Download paper | |
2018 | Empirical validation of simulated models through the GSL-div: an illustrative application. (2018). Lamperti, Francesco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0206-3. Full description at Econpapers || Download paper | |
2018 | Indirect inference through prediction. (2018). Carrella, Ernesto ; Madsen, Jens Koed ; Bailey, Richard M. In: Papers. RePEc:arx:papers:1807.01579. Full description at Econpapers || Download paper | |
2018 | Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408. Full description at Econpapers || Download paper | |
2018 | Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751. Full description at Econpapers || Download paper | |
2018 | Can agent-based models probe market microstructure?. (2018). Platt, Donovan ; Gebbie, Tim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1092-1106. Full description at Econpapers || Download paper | |
2018 | Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro. In: Papers. RePEc:arx:papers:1708.08594. Full description at Econpapers || Download paper | |
2018 | Identifying relationship lending in the interbank market: A network approach. (2018). Kobayashi, Teruyoshi ; Takaguchi, Taro . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:97:y:2018:i:c:p:20-36. Full description at Econpapers || Download paper | |
2018 | Empirical scaling relations of market event rates in foreign currency market. (2018). Boilard, J.-F., ; Takayasu, M ; Kanazawa, K. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:1152-1161. Full description at Econpapers || Download paper | |
2018 | No-arbitrage and hedging with liquid American options. (2018). Bayraktar, Erhan ; Zhou, Zhou. In: Papers. RePEc:arx:papers:1605.01327. Full description at Econpapers || Download paper | |
2018 | Designing Coalition-Based Fair and Stable Pricing Mechanisms Under Private Information on Consumers Reservation Prices. (2018). Beaude, Olivier ; Homem-De, Tito ; Pagnoncelli, Bernardo ; le Cadre, Helene. In: Working Papers. RePEc:hal:wpaper:hal-01353763. Full description at Econpapers || Download paper | |
2018 | Designing Coalition-Based Fair and Stable Pricing Mechanisms Under Private Information on Consumers Reservation Prices. (2018). Beaude, Olivier ; Homem-De, Tito ; Pagnoncelli, Bernardo ; le Cadre, Helene. In: Post-Print. RePEc:hal:journl:hal-01353763. Full description at Econpapers || Download paper | |
2018 | Option Pricing in a Regime Switching Stochastic Volatility Model. (2018). Goswami, Anindya ; Biswas, Arunangshu. In: Papers. RePEc:arx:papers:1707.01237. Full description at Econpapers || Download paper | |
2018 | Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151. Full description at Econpapers || Download paper | |
2018 | Model-free bounds on Value-at-Risk using extreme value information and statistical distances. (2018). Lux, Thibaut ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:1610.09734. Full description at Econpapers || Download paper | |
2018 | How much market making does a market need?. (2018). Swart, Jan M ; Pervzina, V'It . In: Papers. RePEc:arx:papers:1612.00981. Full description at Econpapers || Download paper | |
2018 | Hybrid continuous and periodic barrier strategies in the dual model: optimality and fluctuation identities. (2018). Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1612.02444. Full description at Econpapers || Download paper | |
2018 | Solving Nonlinear and High-Dimensional Partial Differential Equations via Deep Learning. (2018). Saporito, Yuri ; Jardim, Gabriel ; Naiff, Danilo ; Correia, Adolfo ; Al-Aradi, Ali. In: Papers. RePEc:arx:papers:1811.08782. Full description at Econpapers || Download paper | |
2018 | Forward-looking and Incentive-compatible Operational Risk Capital Framework. (2018). Migueis, Marco. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-87. Full description at Econpapers || Download paper | |
2018 | Can high-speed rail have a transformative effect on the economy?. (2018). Vickerman, Roger. In: Transport Policy. RePEc:eee:trapol:v:62:y:2018:i:c:p:31-37. Full description at Econpapers || Download paper | |
2018 | The transition of China to sustainable growth â implications for the global economy and the euro area. (2018). Korhonen, Iikka ; Gauvin, Ludovic ; Dieppe, Alistair ; Lodge, David ; Han, Jenny ; Gilhooly, Robert. In: Occasional Paper Series. RePEc:ecb:ecbops:2018206. Full description at Econpapers || Download paper | |
2018 | A comparative study of the Belt and Road Initiative and the Marshall plan. (2018). Shen, Simon ; Chan, Wilson. In: Palgrave Communications. RePEc:pal:palcom:v:4:y:2018:i:1:d:10.1057_s41599-018-0077-9. Full description at Econpapers || Download paper | |
2018 | Infrastructure Investment and the Indian Economy. (2018). Roy, Atrayee Ghosh . In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:5:y:2018:i:1:p:29-38. Full description at Econpapers || Download paper | |
2018 | Government size, institutional quality, and capital flows across regions in China: a specific exploration on the failure of capital flows across Shanhai Pass. (2018). Han, H ; Lin, S. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277515. Full description at Econpapers || Download paper | |
2018 | High-speed rail and inventory reduction: Firm-level evidence from China. (2018). Cui, Chuantao ; Li, Leona Shao-Zhi. In: RIEI Working Papers. RePEc:xjt:rieiwp:2018-08. Full description at Econpapers || Download paper | |
2018 | Is Transportation Infrastructure Important to the One Belt One Road (OBOR) Initiative? Empirical Evidence from the Selected Asian Countries. (2018). Yii, Kwang-Jing ; Lee, Ching-Mei ; Chong, Yee-Lee ; Cheam, Wei-Yong ; Bee, Kai-Ying. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:11:p:4131-:d:181866. Full description at Econpapers || Download paper | |
2018 | Capability and opportunism: Evidence from city officials in China. (2018). , Tianyang ; Zhang, Muyang ; Yao, Yang ; Yang, Tian. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:4:p:1046-1061. Full description at Econpapers || Download paper | |
2018 | Most-likely-path in Asian option pricing under local volatility models. (2018). Wang, Tai-Ho ; Liu, Nien-Lin ; Arguin, Louis-Pierre . In: Papers. RePEc:arx:papers:1706.02408. Full description at Econpapers || Download paper | |
2018 | SENSITIVITIES OF ASIAN OPTIONS IN THE BLACKâSCHOLES MODEL. (2018). Pirjol, Dan ; Zhu, Lingjiong. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s0219024918500085. Full description at Econpapers || Download paper | |
2018 | MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS. (2018). Arguin, Louis-Pierre ; Wang, Tai-Ho ; Liu, Nien-Lin . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:05:n:s0219024918500292. Full description at Econpapers || Download paper | |
2018 | Missing Observations in Observation-Driven Time Series Models. (2018). Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180013. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Francq, Christian ; darolles, serge ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247. Full description at Econpapers || Download paper | |
2018 | Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: Working Papers. RePEc:hal:wpaper:halshs-01944656. Full description at Econpapers || Download paper | |
2018 | Key Borrowers Detection by Long-Range Interactions. (2018). Shvydun, Sergey ; Aleskerov, Fuad ; Nikitina, Alisa ; Meshcheryakova, Natalia . In: Papers. RePEc:arx:papers:1807.10115. Full description at Econpapers || Download paper | |
2018 | Deep Hedging. (2018). Wood, Ben ; Teichmann, Josef ; Gonon, Lukas ; Buhler, Hans. In: Papers. RePEc:arx:papers:1802.03042. Full description at Econpapers || Download paper | |
2018 | Optimal investment with transient price impact. (2018). Voss, Moritz ; Bank, Peter. In: Papers. RePEc:arx:papers:1804.07392. Full description at Econpapers || Download paper | |
2018 | Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre. In: Papers. RePEc:arx:papers:1709.08755. Full description at Econpapers || Download paper | |
2018 | Bayesian Estimation of Generalized Partition of Unity Copulas. (2018). Masuhr, Andreas. In: CQE Working Papers. RePEc:cqe:wpaper:7318. Full description at Econpapers || Download paper | |
2018 | Money demand stability, monetary overhang and inflation forecast in the CEE countries. (2018). Pépin, Dominique ; Albulescu, Claudiu. In: Working Papers. RePEc:hal:wpaper:hal-01720319. Full description at Econpapers || Download paper | |
2018 | Forecasting Expected Shortfall: Should we use a Multivariate Model for Stock Market Factors?. (2018). Dionne, Georges ; Simonato, Jean-Guy ; Fortin, Alain-Philippe. In: Working Papers. RePEc:ris:crcrmw:2018_004. Full description at Econpapers || Download paper | |
2018 | Alonso and the Scaling of Urban Profiles. (2018). Caruso, Geoffrey ; Lemoy, R'emi ; Delloye, Justin. In: Papers. RePEc:arx:papers:1801.07512. Full description at Econpapers || Download paper | |
2018 | Dark Markets with Multiple Assets: Segmentation, Asymptotic Stability, and Equilibrium Prices. (2018). Pongou, Roland ; Ndoun'e Ndoun'e, . In: Papers. RePEc:arx:papers:1806.01924. Full description at Econpapers || Download paper | |
2018 | Volatility and return jumps in bitcoin. (2018). Laurini, Márcio ; Chaim, Pedro. In: Economics Letters. RePEc:eee:ecolet:v:173:y:2018:i:c:p:158-163. Full description at Econpapers || Download paper | |
2018 | Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091. Full description at Econpapers || Download paper | |
2018 | An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Sojmark, Andreas ; Hambly, Ben. In: Papers. RePEc:arx:papers:1801.10088. Full description at Econpapers || Download paper | |
2018 | Semi-analytical solution of a McKean-Vlasov equation with feedback through hitting a boundary. (2018). Reisinger, Christoph ; Kaushansky, Vadim ; Lipton, Alexander. In: Papers. RePEc:arx:papers:1808.05311. Full description at Econpapers || Download paper | |
2018 | Uniqueness for contagious McKean--Vlasov systems in the weak feedback regime. (2018). Sojmark, Andreas ; Ledger, Sean. In: Papers. RePEc:arx:papers:1811.12356. Full description at Econpapers || Download paper | |
2018 | Wind Speed Modeling by Nested ARIMA Processes. (2018). Sim, So-Kumneth ; Lind, Pedro G ; Maass, Philipp . In: Energies. RePEc:gam:jeners:v:12:y:2018:i:1:p:69-:d:193365. Full description at Econpapers || Download paper | |
2018 | Intraday return inefficiency and long memory in the volatilities of forex markets and the role of trading volume. (2018). Shahzad, Syed Jawad Hussain ; Kayani, Ghulam Mujtaba ; Hanif, Waqas ; Hernandez, Jose Areola ; Hussain, Syed Jawad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:433-450. Full description at Econpapers || Download paper | |
2018 | Quantum-like model of subjective expected utility. (2018). Basieva, Irina ; Khrennikov, Andrei ; Asano, Masanari ; Pothos, Emmanuel M ; Khrennikova, Polina . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:150-162. Full description at Econpapers || Download paper | |
2018 | Probability interference in expected utility theory. (2018). Charles-Cadogan, G. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:163-175. Full description at Econpapers || Download paper | |
2018 | Testing ambiguity and Machina preferences within a quantum-theoretic framework for decision-making. (2018). Aerts, Diederik ; Sozzo, Sandro ; Moreira, Catarina ; Geriente, Suzette . In: Journal of Mathematical Economics. RePEc:eee:mateco:v:78:y:2018:i:c:p:176-185. Full description at Econpapers || Download paper | |
2018 | SKEWED LÃVY MODELS AND IMPLIED VOLATILITY SKEW. (2018). Fajardo, José ; Mordecki, Ernesto ; De Olivera, Federico . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:02:n:s0219024918500036. Full description at Econpapers || Download paper | |
2018 | Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods. (2018). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Magris, Martin ; Ntakaris, Adamantios. In: Papers. RePEc:arx:papers:1705.03233. Full description at Econpapers || Download paper | |
2018 | The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. (2018). Bermudez, Nancy Areli ; Saucedo, Eduardo ; Delgado, Estefania Bermudez. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:266-275. Full description at Econpapers || Download paper | |
2018 | Important institutions of interinstitutional scientific collaboration networks in materials science. (2018). Li, Yang ; Liu, Xueyong. In: Scientometrics. RePEc:spr:scient:v:117:y:2018:i:1:d:10.1007_s11192-018-2837-0. Full description at Econpapers || Download paper | |
2018 | How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Jacquod, Philippe ; Pagnier, Laurent. In: Papers. RePEc:arx:papers:1706.00330. Full description at Econpapers || Download paper | |
2018 | How fast can one overcome the paradox of the energy transition? A physico-economic model for the European power grid. (2018). Pagnier, Laurent ; Jacquod, Philippe . In: Energy. RePEc:eee:energy:v:157:y:2018:i:c:p:550-560. Full description at Econpapers || Download paper | |
2018 | Cost modeling and analysis for Mask Image Projection Stereolithography additive manufacturing: Simultaneous production with mixed geometries. (2018). Yang, Yiran ; Li, Lin. In: International Journal of Production Economics. RePEc:eee:proeco:v:206:y:2018:i:c:p:146-158. Full description at Econpapers || Download paper | |
2018 | Stock Market Visualization. (2018). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1802.05264. Full description at Econpapers || Download paper | |
2018 | A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations. (2018). Fischer, Matthias ; Pfeuffer, Marius ; Moser, Thorsten. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:142-:d:188842. Full description at Econpapers || Download paper | |
2018 | Welfare Effect of Urea Deep Placement (UDP) Technology Adoption among Smallholder Rice Farmers in Kwara State, Nigeria â Analysis of a Randomized Control Trial Experiment. (2018). Mavrotas, George ; Edeh, Hyacinth. In: 92nd Annual Conference, April 16-18, 2018, Warwick University, Coventry, UK. RePEc:ags:aesc18:273493. Full description at Econpapers || Download paper | |
2018 | The Demotivating Effect (and Unintended Message) of Retrospective Awards. (2018). Rogers, Todd ; Lee, Monica G ; Gallus, Jana ; Robinson, Carly D. In: Working Paper Series. RePEc:ecl:harjfk:rwp18-020. Full description at Econpapers || Download paper | |
2018 | The Term Structure of Growth-at-Risk. (2018). Adrian, Tobias ; Malik, Sheherya ; Liang, Nellie ; Grinberg, Federico. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13349. Full description at Econpapers || Download paper | |
2018 | Simultaneous inference for Best Linear Predictor of the Conditional Average Treatment Effect and other structural functions. (2018). Chernozhukov, Victor ; Semenova, Vira. In: CeMMAP working papers. RePEc:ifs:cemmap:40/18. Full description at Econpapers || Download paper | |
2018 | Generalized instrumental variable models, methods, and applications. (2018). Rosen, Adam ; Chesher, Andrew. In: CeMMAP working papers. RePEc:ifs:cemmap:43/18. Full description at Econpapers || Download paper | |
2018 | Interpreting Quantile Independence. (2018). Poirier, Alexandre ; Masten, Matthew A. In: Papers. RePEc:arx:papers:1804.10957. Full description at Econpapers || Download paper | |
2018 | Machine Learning for Set-Identified Linear Models. (2018). Semenova, Vira. In: Papers. RePEc:arx:papers:1712.10024. Full description at Econpapers || Download paper | |
2018 | Pricing Engine: Estimating Causal Impacts in Real World Business Settings. (2018). Quistorff, Brian ; Goldman, Matt. In: Papers. RePEc:arx:papers:1806.03285. Full description at Econpapers || Download paper | |
2018 | Machine Learning for Dynamic Discrete Choice. (2018). Semenova, Vira. In: Papers. RePEc:arx:papers:1808.02569. Full description at Econpapers || Download paper | |
2018 | Uniform Inference in High-Dimensional Gaussian Graphical Models. (2018). Chernozhukov, Victor ; Spindler, Martin ; Kuck, Jannis ; Klaassen, Sven. In: Papers. RePEc:arx:papers:1808.10532. Full description at Econpapers || Download paper | |
2018 | Instrument Validity Tests with Causal Trees: With an Application to the Same-sex Instrument. (2018). Guber, Raphael. In: MEA discussion paper series. RePEc:mea:meawpa:201805. Full description at Econpapers || Download paper | |
2018 | An Offer that you Cant Refuse? Agrimafias and Migrant Labor on Vineyards in Southern Italy. (2018). Valente, Marica ; Seifert, Stefan. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1735. Full description at Econpapers || Download paper | |
2018 | A Simple Traffic Light Approach to Backtesting Expected Shortfall. (2018). Costanzino, Nick ; Curran, Michael. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:2-:d:126009. Full description at Econpapers || Download paper | |
2018 | Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21. Full description at Econpapers || Download paper | |
2018 | Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351. Full description at Econpapers || Download paper | |
2018 | Extremal quantile regressions for selection models and the blackâwhite wage gap. (2018). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Zhang, Yichong ; Dhaultfuille, Xavier . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:129-142. Full description at Econpapers || Download paper | |
2018 | Series representation of the pricing formula for the European option driven by space-time fractional diffusion. (2018). Korbel, Jan ; Coste, Cyril ; Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1712.04990. Full description at Econpapers || Download paper | |
2018 | Bitcoin price and its marginal cost of production: support for a fundamental value. (2018). Hayes, Adam. In: Papers. RePEc:arx:papers:1805.07610. Full description at Econpapers || Download paper | |
2018 | Quantifier Elimination for Deduction in Econometrics. (2018). Mulligan, Casey. In: NBER Working Papers. RePEc:nbr:nberwo:24601. Full description at Econpapers || Download paper | |
2018 | Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178. Full description at Econpapers || Download paper | |
2018 | Density Forecasts in Panel Data Models : A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-36. Full description at Econpapers || Download paper | |
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2018 | High-Dimensional Econometrics and Regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1806.01888. Full description at Econpapers || Download paper | |
2018 | High-dimensional econometrics and regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:35/18. Full description at Econpapers || Download paper | |
2018 | Modified Causal Forests for Estimating Heterogeneous Causal Effects. (2018). Lechner, Michael. In: IZA Discussion Papers. RePEc:iza:izadps:dp12040. Full description at Econpapers || Download paper | |
2018 | On the robustness of the principal volatility components. (2018). Valls Pereira, Pedro ; Hotta, Luiz ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:474. Full description at Econpapers || Download paper | |
2018 | Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models. (2018). Pfarrhofer, Michael ; Piribauer, Philipp. In: Papers. RePEc:arx:papers:1805.10822. Full description at Econpapers || Download paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2018 | High dimensional semiparametric moment restriction models. (2018). LINTON, OLIVER ; Gao, Jiti ; Dong, Chaohua. In: CeMMAP working papers. RePEc:ifs:cemmap:04/18. Full description at Econpapers || Download paper | |
2018 | Estimating Latent Asset-Pricing Factors. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12926. Full description at Econpapers || Download paper | |
2018 | Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373. Full description at Econpapers || Download paper | |
2018 | Hurst exponents and delampertized fractional Brownian motions. (2018). Garcin, Matthieu. In: Working Papers. RePEc:hal:wpaper:hal-01919754. Full description at Econpapers || Download paper | |
2018 | Matrix Completion Methods for Causal Panel Data Models. (2018). Athey, Susan ; Khosravi, Khashayar ; Imbens, Guido ; Doudchenko, Nikolay ; Bayati, Mohsen. In: Papers. RePEc:arx:papers:1710.10251. Full description at Econpapers || Download paper | |
2018 | Pricing Derivatives under Multiple Stochastic Factors by Localized Radial Basis Function Methods. (2018). Shcherbakov, Victor ; Milovanovi, Slobodan. In: Papers. RePEc:arx:papers:1711.09852. Full description at Econpapers || Download paper | |
2018 | Quantum Bounds for Option Prices. (2018). McCloud, Paul. In: Papers. RePEc:arx:papers:1712.01385. Full description at Econpapers || Download paper | |
2018 | Statistical Non-Significance in Empirical Economics. (2018). Abadie, Alberto. In: NBER Working Papers. RePEc:nbr:nberwo:24403. Full description at Econpapers || Download paper | |
2018 | Methods Matter: P-Hacking and Causal Inference in Economics. (2018). Cook, Nikolai ; Brodeur, Abel ; Heyes, Anthony. In: Working Papers. RePEc:ott:wpaper:1809e. Full description at Econpapers || Download paper | |
2018 | Methods Matter: P-Hacking and Causal Inference in Economics. (2018). Cook, Nikolai ; Brodeur, Abel ; Heyes, Anthony. In: IZA Discussion Papers. RePEc:iza:izadps:dp11796. Full description at Econpapers || Download paper | |
2018 | Deriving the factor endowment--commodity output relationship for Thailand (1920-1927) using a three-factor two-good general equilibrium trade model. (2018). Nakada, Yoshiaki. In: Papers. RePEc:arx:papers:1810.04819. Full description at Econpapers || Download paper | |
2018 | The effects of energy and commodity prices on commodity output in a three-factor, two-good general equilibrium trade model. (2018). Nakada, Yoshiaki. In: Papers. RePEc:arx:papers:1711.10096. Full description at Econpapers || Download paper | |
2018 | Earthquake risk embedded in property prices: Evidence from five Japanese cities. (2018). Laeven, Roger ; Yue, Yuan ; Magnus, Jan R ; Ikefuji, Masako. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180061. Full description at Econpapers || Download paper | |
2018 | Higher order risk attitudes and prevention under different timings of loss. (2018). Masuda, Takehito ; Lee, Eungik. In: ISER Discussion Paper. RePEc:dpr:wpaper:1034. Full description at Econpapers || Download paper | |
2018 | Investigating the features of pairs trading strategy: A network perspective on the Chinese stock market. (2018). Wang, Gang-Jin ; Ma, Chaoqun ; Wen, Danyan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:903-918. Full description at Econpapers || Download paper | |
2018 | Height conditions salary expectations: Evidence from large-scale data in China. (2018). Yang, Xiao ; Zhou, Tao ; Liu, Jin-Hu ; Gao, Jian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:501:y:2018:i:c:p:86-97. Full description at Econpapers || Download paper | |
2018 | Macroeconomic models with long dynamic memory: Fractional calculus approach. (2018). Tarasov, Vasily E ; Tarasova, Valentina V. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:338:y:2018:i:c:p:466-486. Full description at Econpapers || Download paper | |
2018 | On the adaptive sliding mode controller for a hyperchaotic fractional-order financial system. (2018). Hajipour, Ahamad ; Baleanu, Dumitru. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:139-153. Full description at Econpapers || Download paper | |
2018 | The impact of Chinas Central Rise Policy on carbon emissions at the stage of operation in road sector. (2018). Zhang, Yue-Jun ; Qin, Chang-Xiong ; Zhou, Si-Ming ; Liu, Zhao. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:159-173. Full description at Econpapers || Download paper | |
2018 | Asymptotic behaviour of high Gaussian minima. (2018). Chakrabarty, Arijit ; Samorodnitsky, Gennady. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:7:p:2297-2324. Full description at Econpapers || Download paper | |
2018 | Sequential Bayesian inference for static parameters in dynamic state space models. (2018). Bhattacharya, Arnab ; Wilson, Simon P. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:127:y:2018:i:c:p:187-203. Full description at Econpapers || Download paper | |
2018 | Sparse Bayesian vector autoregressions in huge dimensions. (2018). Kastner, Gregor ; Huber, Florian. In: Papers. RePEc:arx:papers:1704.03239. Full description at Econpapers || Download paper | |
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2018 | Continuity inequalities for multidimensional renewal risk models. (2018). Gordienko, E ; Vazquez-Ortega, P. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:48-54. Full description at Econpapers || Download paper | |
2018 | On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2018). Marciniak, Ewa ; Palmowski, Zbigniew. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:179:y:2018:i:2:d:10.1007_s10957-016-1050-7. Full description at Econpapers || Download paper | |
2018 | Financial bridges and network communities. (2018). Yenerdag, Erdem ; Costola, Michele ; Casarin, Roberto. In: SAFE Working Paper Series. RePEc:zbw:safewp:208. Full description at Econpapers || Download paper | |
2018 | Least squares estimation for the subcritical Heston model based on continuous time observations. (2018). Barczy, Matyas ; Pap, Gyula ; Nyul, Balazs . In: Papers. RePEc:arx:papers:1511.05948. Full description at Econpapers || Download paper |
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2018 | Fast and Wild: Bootstrap Inference in Stata Using boottest. (2018). Webb, Matthew ; Roodman, David ; Nielsen, Morten ; MacKinnon, James. In: CREATES Research Papers. RePEc:aah:create:2018-34. Full description at Econpapers || Download paper | |
2018 | Uniform Post Selection Inference for LAD Regression and Other Z-estimation problems. (2018). Chernozhukov, Victor ; Kato, Kengo ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1304.0282. Full description at Econpapers || Download paper | |
2018 | Testing for Common Breaks in a Multiple Equations System. (2018). Perron, Pierre ; Oka, Tatsushi. In: Papers. RePEc:arx:papers:1606.00092. Full description at Econpapers || Download paper | |
2018 | Generic Inference on Quantile and Quantile Effect Functions for Discrete Outcomes. (2018). Melly, Blaise ; Chernozhukov, Victor ; Wuthrich, Kaspar ; Fern, Iv'An. In: Papers. RePEc:arx:papers:1608.05142. Full description at Econpapers || Download paper | |
2018 | Model Selection for Treatment Choice: Penalized Welfare Maximization. (2018). Tabord-Meehan, Max ; Mbakop, Eric. In: Papers. RePEc:arx:papers:1609.03167. Full description at Econpapers || Download paper | |
2018 | Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292. Full description at Econpapers || Download paper | |
2018 | Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185. Full description at Econpapers || Download paper | |
2018 | Multi-Dimensional Pass-Through and Welfare Measures under Imperfect Competition. (2018). Fabinger, Michal ; Adachi, Takanori. In: Papers. RePEc:arx:papers:1702.04967. Full description at Econpapers || Download paper | |
2018 | Incorporating Signals into Optimal Trading. (2018). LEHALLE, Charles-Albert ; Neuman, Eyal. In: Papers. RePEc:arx:papers:1704.00847. Full description at Econpapers || Download paper | |
2018 | Strong convergence rates for Euler approximations to a class of stochastic path-dependent volatility models. (2018). Reisinger, Christoph ; Cozma, Andrei . In: Papers. RePEc:arx:papers:1706.07375. Full description at Econpapers || Download paper | |
2018 | Reduced-form framework under model uncertainty. (2018). Zhang, Yinglin ; Biagini, Francesca. In: Papers. RePEc:arx:papers:1707.04475. Full description at Econpapers || Download paper | |
2018 | Equilibrium Returns with Transaction Costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1707.08464. Full description at Econpapers || Download paper | |
2018 | Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. (2018). Wildman, Mackenzie ; Sturm, Stephan ; Schaanning, Eric ; Rudloff, Birgit ; Pang, Weijie ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1708.01561. Full description at Econpapers || Download paper | |
2018 | Technology networks: the autocatalytic origins of innovation. (2018). Zeppini, Paolo ; Room, Graham ; Napolitano, Lorenzo ; Pugliese, Emanuele ; Evangelou, Evangelos. In: Papers. RePEc:arx:papers:1708.03511. Full description at Econpapers || Download paper | |
2018 | VIX-linked fees for GMWBs via Explicit Solution Simulation Methods. (2018). MacKay, Anne ; Kouritzin, Michael A. In: Papers. RePEc:arx:papers:1708.06886. Full description at Econpapers || Download paper | |
2018 | The Strength of Absent Ties: Social Integration via Online Dating. (2018). Ortega, Josue ; Hergovich, Philipp. In: Papers. RePEc:arx:papers:1709.10478. Full description at Econpapers || Download paper | |
2018 | Large deviation principle for Volterra type fractional stochastic volatility models. (2018). Gulisashvili, Archil. In: Papers. RePEc:arx:papers:1710.10711. Full description at Econpapers || Download paper | |
2018 | Simulating the deep decarbonisation of residential heating for limiting global warming to 1.5C. (2018). Mercure, Jean-Francois ; Chewpreecha, Unnada ; Pollitt, Hector ; Knobloch, Florian. In: Papers. RePEc:arx:papers:1710.11019. Full description at Econpapers || Download paper | |
2018 | The perverse incentive for insurance instruments that are derivatives: solving the jackpot problem with a clawback lien for default insurance notes. (2018). Hanley, Brian P. In: Papers. RePEc:arx:papers:1711.02600. Full description at Econpapers || Download paper | |
2018 | Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs. (2018). Zhou, Chao ; Liang, Gechun ; Yang, Zhou. In: Papers. RePEc:arx:papers:1711.02939. Full description at Econpapers || Download paper | |
2018 | Risk Sensitive Portfolio Optimization with Default Contagion and Regime-Switching. (2018). Yu, Xiang ; Liao, Huafu ; Bo, Lijun. In: Papers. RePEc:arx:papers:1712.05676. Full description at Econpapers || Download paper | |
2018 | Robust expected utility maximization with medial limits. (2018). Kupper, Michael ; Cheridito, Patrick ; Bartl, Daniel. In: Papers. RePEc:arx:papers:1712.07699. Full description at Econpapers || Download paper | |
2018 | Optimal Equilibria for Time-Inconsistent Stopping Problems in Continuous Time. (2018). Zhou, Zhou ; Huang, Yu-Jui. In: Papers. RePEc:arx:papers:1712.07806. Full description at Econpapers || Download paper | |
2018 | Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091. Full description at Econpapers || Download paper | |
2018 | Revealed Price Preference: Theory and Empirical Analysis. (2018). Stoye, Jörg ; Quah, John ; Deb, Rahul ; Kitamura, Yuichi. In: Papers. RePEc:arx:papers:1801.02702. Full description at Econpapers || Download paper | |
2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Mahomed, Obeid ; Macrina, Andrea. In: Papers. RePEc:arx:papers:1801.04994. Full description at Econpapers || Download paper | |
2018 | Generalised Lyapunov Functions and Functionally Generated Trading Strategies. (2018). Xie, Kangjianan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:1801.07817. Full description at Econpapers || Download paper | |
2018 | Target volatility option pricing in lognormal fractional SABR model. (2018). Wang, Tai-Ho ; Tudor, Sebastian ; Chatterjee, Rupak ; Alos, Elisa. In: Papers. RePEc:arx:papers:1801.08215. Full description at Econpapers || Download paper | |
2018 | Rational Models for Inflation-Linked Derivatives. (2018). Sloth, David ; Skovmand, David ; Macrina, Andrea ; Dam, Henrik. In: Papers. RePEc:arx:papers:1801.08804. Full description at Econpapers || Download paper | |
2018 | Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1801.10583. Full description at Econpapers || Download paper | |
2018 | The Power of Trading Polarity: Evidence from China Stock Market Crash. (2018). Wang, Huiwen ; Zhao, Jichang ; Lu, Shan. In: Papers. RePEc:arx:papers:1802.01143. Full description at Econpapers || Download paper | |
2018 | The sum of log-normal variates in geometric Brownian motion. (2018). Adamou, Alexander ; Peters, Ole. In: Papers. RePEc:arx:papers:1802.02939. Full description at Econpapers || Download paper | |
2018 | Asset Price Volatility and Price Extrema. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1802.04774. Full description at Econpapers || Download paper | |
2018 | Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139. Full description at Econpapers || Download paper | |
2018 | Extracting the multi-timescale activity patterns of online financial markets. (2018). Kobayashi, Teruyoshi ; Ferrara, Emilio ; Sapienza, Anna. In: Papers. RePEc:arx:papers:1802.07405. Full description at Econpapers || Download paper | |
2018 | Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Guhr, Thomas ; Muhlbacher, Andreas. In: Papers. RePEc:arx:papers:1803.00261. Full description at Econpapers || Download paper | |
2018 | Classification of cryptocurrency coins and tokens by the dynamics of their market capitalisations. (2018). Sornette, Didier ; Wheatley, Spencer ; Wu, KE. In: Papers. RePEc:arx:papers:1803.03088. Full description at Econpapers || Download paper | |
2018 | Robust utility maximization in markets with transaction costs. (2018). Rasonyi, Miklos ; Chau, Huy N. In: Papers. RePEc:arx:papers:1803.04213. Full description at Econpapers || Download paper | |
2018 | Financial Contagion in a Generalized Stochastic Block Model. (2018). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:1803.08169. Full description at Econpapers || Download paper | |
2018 | Explicit description of all deflators for markets under random horizon. (2018). Yansori, Sina ; Choulli, Tahir. In: Papers. RePEc:arx:papers:1803.10128. Full description at Econpapers || Download paper | |
2018 | Estimating Dynamic Treatment Effects in Event Studies with Heterogeneous Treatment Effects. (2018). Sun, Liyang ; Abraham, Sarah. In: Papers. RePEc:arx:papers:1804.05785. Full description at Econpapers || Download paper | |
2018 | Arbitrage-free pricing of American options in nonlinear markets. (2018). Rutkowski, Marek ; Nie, Tianyang ; Kim, Edward. In: Papers. RePEc:arx:papers:1804.10753. Full description at Econpapers || Download paper | |
2018 | A Dynamical Systems Approach to Cryptocurrency Stability. (2018). Caginalp, Carey. In: Papers. RePEc:arx:papers:1805.03143. Full description at Econpapers || Download paper | |
2018 | Structural Breaks in Time Series. (2018). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1805.03807. Full description at Econpapers || Download paper | |
2018 | Network-based indicators of Bitcoin bubbles. (2018). Tessone, Claudio J ; Squartini, Tiziano ; Nicol'o Vallarano, ; Saggese, Pietro ; Restocchi, Valerio ; Pozzana, Iacopo ; Mottes, Francesco ; Lazo, Jorge F ; Campajola, Carlo ; Bovet, Alexandre. In: Papers. RePEc:arx:papers:1805.04460. Full description at Econpapers || Download paper | |
2018 | Data-Driven Investment Decision-Making: Applying Moores Law and S-Curves to Business Strategies. (2018). Magee, Christopher L ; Benson, Christopher L. In: Papers. RePEc:arx:papers:1805.06339. Full description at Econpapers || Download paper | |
2018 | Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454. Full description at Econpapers || Download paper | |
2018 | Impact of Contingent Payments on Systemic Risk in Financial Networks. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1805.08544. Full description at Econpapers || Download paper | |
2018 | Anticipating cryptocurrency prices using machine learning. (2018). Baronchelli, Andrea ; Aiello, Luca Maria ; Elbahrawy, Abeer ; Alessandretti, Laura. In: Papers. RePEc:arx:papers:1805.08550. Full description at Econpapers || Download paper | |
2018 | Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs. (2018). Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.09996. Full description at Econpapers || Download paper |
More than 50 citations. List broken...
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2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26. Full description at Econpapers || Download paper | |
2017 | The State of Applied Econometrics: Causality and Policy Evaluation. (2017). Imbens, Guido ; Athey, Susan. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:31:y:2017:i:2:p:3-32. Full description at Econpapers || Download paper | |
2017 | Black-Scholes in a CEV random environment. (2017). Jacquier, Antoine ; Roome, Patrick. In: Papers. RePEc:arx:papers:1503.08082. Full description at Econpapers || Download paper | |
2017 | High-frequency limit of Nash equilibria in a market impact game with transient price impact. (2017). Schied, Alexander ; Zhang, Tao ; Strehle, Elias . In: Papers. RePEc:arx:papers:1509.08281. Full description at Econpapers || Download paper | |
2017 | Optimal Rebalancing Frequencies for Multidimensional Portfolios. (2017). Ekren, Ibrahim ; Muhle-Karbe, Johannes ; Liu, Ren . In: Papers. RePEc:arx:papers:1510.05097. Full description at Econpapers || Download paper | |
2017 | Stochastic control for a class of nonlinear kernels and applications. (2017). Possamai, Dylan ; Zhou, Chao ; Tan, Xiaolu . In: Papers. RePEc:arx:papers:1510.08439. Full description at Econpapers || Download paper | |
2017 | Equilibrium pricing under relative performance concerns. (2017). Bielagk, Jana ; Reis, Goncalo Dos ; Lionnet, Arnaud . In: Papers. RePEc:arx:papers:1511.04218. Full description at Econpapers || Download paper | |
2017 | Statistical Risk Models. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1602.08070. Full description at Econpapers || Download paper | |
2017 | Tukeys transformational ladder for portfolio management. (2017). Ernst, Philip ; Miao, Yinsen ; Thompson, James. In: Papers. RePEc:arx:papers:1603.06050. Full description at Econpapers || Download paper | |
2017 | Optimal Liquidation under Stochastic Liquidity. (2017). Becherer, Dirk ; Frentrup, Peter ; Bilarev, Todor. In: Papers. RePEc:arx:papers:1603.06498. Full description at Econpapers || Download paper | |
2017 | Using real-time cluster configurations of streaming asynchronous features as online state descriptors in financial markets. (2017). Hendricks, Dieter. In: Papers. RePEc:arx:papers:1603.06805. Full description at Econpapers || Download paper | |
2017 | Cyclical properties of supply-side and demand-side shocks in oil-based commodity markets. (2017). Krehlik, Tomas ; BarunÃÂk, Jozef. In: Papers. RePEc:arx:papers:1603.07020. Full description at Econpapers || Download paper | |
2017 | A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective. (2017). Bielecki, Tomasz R ; Pitera, Marcin ; Cialenco, Igor. In: Papers. RePEc:arx:papers:1603.09030. Full description at Econpapers || Download paper | |
2017 | Market Integration in the Prewar Japanese Rice Markets. (2017). Noda, Akihiko ; Maeda, Kiyotaka ; Ito, Mikio. In: Papers. RePEc:arx:papers:1604.00148. Full description at Econpapers || Download paper | |
2017 | Factor Models for Cancer Signatures. (2017). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1604.08743. Full description at Econpapers || Download paper | |
2017 | The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868. Full description at Econpapers || Download paper | |
2017 | High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering. (2017). Bayraktar, Erhan ; Munk, Alexander . In: Papers. RePEc:arx:papers:1605.03653. Full description at Econpapers || Download paper | |
2017 | Skorohods representation theorem and optimal strategies for markets with frictions. (2017). Chau, Huy N. In: Papers. RePEc:arx:papers:1606.07311. Full description at Econpapers || Download paper | |
2017 | On the Optimal Management of Public Debt: a Singular Stochastic Control Problem. (2017). Ferrari, Giorgio. In: Papers. RePEc:arx:papers:1607.04153. Full description at Econpapers || Download paper | |
2017 | On optimal investment with processes of long or negative memory. (2017). Chau, Huy N ; Rasonyi, Miklos. In: Papers. RePEc:arx:papers:1608.00768. Full description at Econpapers || Download paper | |
2017 | Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332. Full description at Econpapers || Download paper | |
2017 | Approximate pricing of European and Barrier claims in a local-stochastic volatility setting. (2017). Barger, Weston ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1610.05728. Full description at Econpapers || Download paper | |
2017 | Optimal Trade Execution with Instantaneous Price Impact and Stochastic Resilience. (2017). Horst, Ulrich ; Graewe, Paulwin. In: Papers. RePEc:arx:papers:1611.03435. Full description at Econpapers || Download paper | |
2017 | Convex functions on dual Orlicz spaces. (2017). Delbaen, Freddy ; Owari, Keita . In: Papers. RePEc:arx:papers:1611.06218. Full description at Econpapers || Download paper | |
2017 | A Primer on Portfolio Choice with Small Transaction Costs. (2017). Muhle-Karbe, Johannes ; Soner, Mete H ; Reppen, Max. In: Papers. RePEc:arx:papers:1612.01302. Full description at Econpapers || Download paper | |
2017 | Cross-impact and no-dynamic-arbitrage. (2017). Schneider, Michael ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1612.07742. Full description at Econpapers || Download paper | |
2017 | Fractional Dynamics of Natural Growth and Memory Effect in Economics. (2017). Tarasov, Vasily E ; Tarasova, Valentina V. In: Papers. RePEc:arx:papers:1612.09060. Full description at Econpapers || Download paper | |
2017 | Political elections and uncertainty -Are BRICS markets equally exposed to Trumps agenda?. (2017). Selmi, Refk ; bouoiyour, jamal. In: Papers. RePEc:arx:papers:1701.02182. Full description at Econpapers || Download paper | |
2017 | Trading strategies for stock pairs regarding to the cross-impact cost. (2017). Wang, Shanshan. In: Papers. RePEc:arx:papers:1701.03098. Full description at Econpapers || Download paper | |
2017 | On VIX Futures in the rough Bergomi model. (2017). Jacquier, Antoine ; Muguruza, Aitor ; Martini, Claude. In: Papers. RePEc:arx:papers:1701.04260. Full description at Econpapers || Download paper | |
2017 | Existence, uniqueness and stability of optimal portfolios of eligible assets. (2017). Baes, Michel ; Munari, Cosimo ; Koch-Medina, Pablo. In: Papers. RePEc:arx:papers:1702.01936. Full description at Econpapers || Download paper | |
2017 | A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus. (2017). Imai, Yuto ; Arai, Takuji. In: Papers. RePEc:arx:papers:1702.07556. Full description at Econpapers || Download paper | |
2017 | Reverse stress testing interbank networks. (2017). Caccioli, Fabio ; Grigat, Daniel . In: Papers. RePEc:arx:papers:1702.08744. Full description at Econpapers || Download paper | |
2017 | Quantifying Chinas Regional Economic Complexity. (2017). Gao, Jian ; Zhou, Tao. In: Papers. RePEc:arx:papers:1703.01292. Full description at Econpapers || Download paper | |
2017 | Towards a probability-free theory of continuous martingales. (2017). Shafer, Glenn ; Vovk, Vladimir. In: Papers. RePEc:arx:papers:1703.08715. Full description at Econpapers || Download paper | |
2017 | Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639. Full description at Econpapers || Download paper | |
2017 | A Joint Quantile and Expected Shortfall Regression Framework. (2017). Bayer, Sebastian ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers || Download paper | |
2017 | Fast Quantization of Stochastic Volatility Models. (2017). Platen, Eckhard ; McWalter, Thomas ; Kienitz, Joerg ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1704.06388. Full description at Econpapers || Download paper | |
2017 | Sensitivity analysis of the utility maximization problem with respect to model perturbations. (2017). Sirbu, Mihai ; Mostovyi, Oleksii. In: Papers. RePEc:arx:papers:1705.08291. Full description at Econpapers || Download paper | |
2017 | Moral hazard in welfare economics: on the advantage of Planners advices to manage employees actions. (2017). Mastrolia, Thibaut. In: Papers. RePEc:arx:papers:1706.01254. Full description at Econpapers || Download paper | |
2017 | Exploring the determinants of Bitcoins price: an application of Bayesian Structural Time Series. (2017). Poyser, Obryan. In: Papers. RePEc:arx:papers:1706.01437. Full description at Econpapers || Download paper | |
2017 | Econophysics of Macro-Finance: Local Multi-fluid Models and Surface-like Waves of Financial Variables. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.01748. Full description at Econpapers || Download paper | |
2017 | Open Source Fundamental Industry Classification. (2017). Yu, Willie ; Kakushadze, Zura. In: Papers. RePEc:arx:papers:1706.04210. Full description at Econpapers || Download paper | |
2017 | Non-Local Macroeconomic Transactions and Credits-Loans Surface-Like Waves. (2017). Olkhov, Victor. In: Papers. RePEc:arx:papers:1706.07758. Full description at Econpapers || Download paper | |
2017 | Risk Model Based on General Compound Hawkes Process. (2017). Swishchuk, Anatoliy. In: Papers. RePEc:arx:papers:1706.09038. Full description at Econpapers || Download paper | |
2017 | An Optimal Execution Problem with S-shaped Market Impact Functions. (2017). Kato, Takashi. In: Papers. RePEc:arx:papers:1706.09224. Full description at Econpapers || Download paper | |
2017 | Analytical and numerical results for American style of perpetual put options through transformation into nonlinear stationary Black-Scholes equations. (2017). Grossinho, Maria ; Sevcovic, Daniel ; Kord, Yaser Faghan . In: Papers. RePEc:arx:papers:1707.00356. Full description at Econpapers || Download paper | |
2017 | Asymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model. (2017). Zhu, Lingjiong ; Pirjol, Dan. In: Papers. RePEc:arx:papers:1707.00899. Full description at Econpapers || Download paper | |
2017 | Instantaneous order impact and high-frequency strategy optimization in limit order books. (2017). Schervish, Mark ; Gonzalez, Federico. In: Papers. RePEc:arx:papers:1707.01167. Full description at Econpapers || Download paper | |
2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Gerlach, Richard ; Chen, Qian ; Wang, Chao. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper |
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2016 | Arbitrage without borrowing or short selling?. (2016). Pakkanen, Mikko S ; Lukkarinen, Jani. In: CREATES Research Papers. RePEc:aah:create:2016-13. Full description at Econpapers || Download paper | |
2016 | Efficient Bailouts?. (2016). Bianchi, Javier. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:12:p:3607-59. Full description at Econpapers || Download paper | |
2016 | Tails of weakly dependent random vectors. (2016). TANKOV, PETER. In: Papers. RePEc:arx:papers:1402.4683. Full description at Econpapers || Download paper | |
2016 | A statistical physics analysis of expenditure in the UK. (2016). Oltean, Elvis ; Kusmartsev, Fedor . In: Papers. RePEc:arx:papers:1410.3865. Full description at Econpapers || Download paper | |
2016 | Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model. (2016). Kramkov, Dmitry ; Pulido, Sergio. In: Papers. RePEc:arx:papers:1410.6144. Full description at Econpapers || Download paper | |
2016 | Regulatory Capital Modelling for Credit Risk. (2016). Rutkowski, Marek ; Tarca, Silvio . In: Papers. RePEc:arx:papers:1412.1183. Full description at Econpapers || Download paper | |
2016 | A weak law of large numbers for a limit order book model with fully state dependent order dynamics. (2016). Horst, Ulrich ; Kreher, Dorte . In: Papers. RePEc:arx:papers:1502.04359. Full description at Econpapers || Download paper | |
2016 | Arbitrage-Free Pricing of XVA - Part II: PDE Representation and Numerical Analysis. (2016). Capponi, Agostino ; Sturm, Stephan ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:1502.06106. Full description at Econpapers || Download paper | |
2016 | Leveraging the network: a stress-test framework based on DebtRank. (2016). Caldarelli, Guido ; Gurciullo, Stefano ; Battiston, Stefano ; D'Errico, Marco. In: Papers. RePEc:arx:papers:1503.00621. Full description at Econpapers || Download paper | |
2016 | Pathwise super-replication via Vovks outer measure. (2016). Alexander M. G. Cox, ; Perkowski, Nicolas ; Beiglbock, Mathias ; Huesmann, Martin ; Promel, David J.. In: Papers. RePEc:arx:papers:1504.03644. Full description at Econpapers || Download paper | |
2016 | Small-time asymptotics for Gaussian self-similar stochastic volatility models. (2016). Gulisashvili, Archil ; Zhang, Xin ; Viens, Frederi . In: Papers. RePEc:arx:papers:1505.05256. Full description at Econpapers || Download paper | |
2016 | Optimal Investment to Minimize the Probability of Drawdown. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R.. In: Papers. RePEc:arx:papers:1506.00166. Full description at Econpapers || Download paper | |
2016 | Complete Duality for Martingale Optimal Transport on the Line. (2016). Beiglbock, Mathias ; Touzi, Nizar ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1507.00671. Full description at Econpapers || Download paper | |
2016 | Minimizing the Probability of Lifetime Drawdown under Constant Consumption. (2016). Bayraktar, Erhan ; Angoshtari, Bahman ; Young, Virginia R. In: Papers. RePEc:arx:papers:1507.08713. Full description at Econpapers || Download paper | |
2016 | A recursive algorithm for multivariate risk measures and a set-valued Bellmans principle. (2016). Feinstein, Zachary ; Rudloff, Birgit. In: Papers. RePEc:arx:papers:1508.02367. Full description at Econpapers || Download paper | |
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2016 | Magic points in finance: Empirical integration for parametric option pricing. (2016). Gass, Maximilian ; Mair, Maximilian ; Glau, Kathrin. In: Papers. RePEc:arx:papers:1511.00884. Full description at Econpapers || Download paper | |
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2016 | Purely pathwise probability-free Ito integral. (2016). Vovk, Vladimir. In: Papers. RePEc:arx:papers:1512.01698. Full description at Econpapers || Download paper | |
2016 | Consistent Re-Calibration of the Discrete-Time Multifactor Vasi\v{c}ek Model. (2016). Teichmann, Josef ; Harms, Philipp ; Stefanovits, David ; Wuthrich, Mario V. In: Papers. RePEc:arx:papers:1512.06454. Full description at Econpapers || Download paper | |
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2016 | Deep Learning for Limit Order Books. (2016). Sirignano, Justin. In: Papers. RePEc:arx:papers:1601.01987. Full description at Econpapers || Download paper | |
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2016 | Relativistic Quantum Finance. (2016). Romero, Juan M ; Zubieta-Mart, Ilse B. In: Papers. RePEc:arx:papers:1604.01447. Full description at Econpapers || Download paper | |
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2016 | On the Optimal Dividend Problem in the Dual Model with Surplus-Dependent Premiums. (2016). Marciniak, Ewa ; Palmowski, Zbigniew. In: Papers. RePEc:arx:papers:1605.04584. Full description at Econpapers || Download paper | |
2016 | Trading VIX Futures under Mean Reversion with Regime Switching. (2016). Li, Jiao. In: Papers. RePEc:arx:papers:1605.07945. Full description at Econpapers || Download paper | |
2016 | The space of outcomes of semi-static trading strategies need not be closed. (2016). Larsson, Martin ; Acciaio, Beatrice ; Schachermayer, Walter. In: Papers. RePEc:arx:papers:1606.00631. Full description at Econpapers || Download paper | |
2016 | Market Microstructure During Financial Crisis: Dynamics of Informed and Heuristic-Driven Trading. (2016). Ormos, Mihály ; Timotity, Dusan . In: Papers. RePEc:arx:papers:1606.03590. Full description at Econpapers || Download paper | |
2016 | Recursive utility optimization with concave coefficients. (2016). Ji, Shaolin ; Shi, Xiaomin . In: Papers. RePEc:arx:papers:1607.00721. Full description at Econpapers || Download paper | |
2016 | A probability-free and continuous-time explanation of the equity premium and CAPM. (2016). Vovk, Vladimir ; Shafer, Glenn . In: Papers. RePEc:arx:papers:1607.00830. Full description at Econpapers || Download paper | |
2016 | Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?. (2016). Peters, Gareth W ; Chapelle, Ariane ; Hassani, Bertrand ; Shevchenko, Pavel V. In: Papers. RePEc:arx:papers:1607.02319. Full description at Econpapers || Download paper | |
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2016 | Volatility and Arbitrage. (2016). Fernholz, Robert E ; Ruf, Johannes ; Karatzas, Ioannis. In: Papers. RePEc:arx:papers:1608.06121. Full description at Econpapers || Download paper | |
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2015 | Dynamic Model of Markets of Homogenous Non-Durable. (2015). Kaldasch, Joachim. In: Papers. RePEc:arx:papers:1109.5791. Full description at Econpapers || Download paper | |
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2015 | Arbitrage and duality in nondominated discrete-time models. (2015). Bouchard, Bruno ; Nutz, Marcel. In: Papers. RePEc:arx:papers:1305.6008. Full description at Econpapers || Download paper | |
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2015 | Rough fractional diffusions as scaling limits of nearly unstable heavy tailed Hawkes processes. (2015). Rosenbaum, Mathieu ; Jaisson, Thibault . In: Papers. RePEc:arx:papers:1504.03100. Full description at Econpapers || Download paper | |
2015 | Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs. (2015). Leung, Tim ; Li, Xin ; Wang, Zheng. In: Papers. RePEc:arx:papers:1504.04682. Full description at Econpapers || Download paper | |
2015 | SMC-ABC methods for the estimation of stochastic simulation models of the limit order book. (2015). Panayi, Efstathios ; Peters, Gareth W. ; Septier, Francois . In: Papers. RePEc:arx:papers:1504.05806. Full description at Econpapers || Download paper | |
2015 | Transitions in the Stock Markets of the US, UK, and Germany. (2015). Raddant, Matthias ; Wagner, Friedrich . In: Papers. RePEc:arx:papers:1504.06113. Full description at Econpapers || Download paper | |
2015 | Google matrix of the world network of economic activities. (2015). Escaith, Hubert ; Shepelyansky, D. L. ; Kandiah, V.. In: Papers. RePEc:arx:papers:1504.06773. Full description at Econpapers || Download paper | |
2015 | Collective synchronization and high frequency systemic instabilities in financial markets. (2015). Lillo, Fabrizio ; Marmi, Stefano ; Treccani, Michele ; Calcagnile, Lucio Maria ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1505.00704. Full description at Econpapers || Download paper | |
2015 | Dynamics of Order Positions and Related Queues in a Limit Order Book. (2015). Guo, Xin ; Zhu, Lingjiong ; Ruan, Zhao . In: Papers. RePEc:arx:papers:1505.04810. Full description at Econpapers || Download paper | |
2015 | Ergodicity and diffusivity of Markovian order book models: a general framework. (2015). Huang, Weibing ; Rosenbaum, Mathieu. In: Papers. RePEc:arx:papers:1505.04936. Full description at Econpapers || Download paper | |
2015 | Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1505.07313. Full description at Econpapers || Download paper | |
2015 | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting. (2015). Leung, Tim ; Zhang, Hongzhong ; Yamazaki, Kazutoshi. In: Papers. RePEc:arx:papers:1505.07705. Full description at Econpapers || Download paper | |
2015 | Many-to-one contagion of economic growth rate across trade credit network of firms. (2015). Lamieri, Marco ; Golo, Natasa ; Solomon, Sorin ; Usher, Leanne ; Bree, David S. ; Kelman, Guy . In: Papers. RePEc:arx:papers:1506.01734. Full description at Econpapers || Download paper | |
2015 | Autoregressive approaches to import--export time series II: a concrete case study. (2015). di Persio, Luca ; Segala, Chiara . In: Papers. RePEc:arx:papers:1506.01984. Full description at Econpapers || Download paper | |
2015 | Optimal Static Quadratic Hedging. (2015). Leung, Tim ; Lorig, Matthew. In: Papers. RePEc:arx:papers:1506.02074. Full description at Econpapers || Download paper | |
2015 | Seasonal Stochastic Volatility and Correlation together with the Samuelson Effect in Commodity Futures Markets. (2015). Schneider, Lorenz ; Tavin, Bertrand. In: Papers. RePEc:arx:papers:1506.05911. Full description at Econpapers || Download paper | |
2015 | Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio. (2015). Lorig, Matthew ; Sircar, Ronnie. In: Papers. RePEc:arx:papers:1506.06180. Full description at Econpapers || Download paper | |
2015 | Too dynamic to fail. Empirical support for an autocatalytic model of Minskys financial instability hypothesis. (2015). Lamieri, Marco ; Golo, Natasa ; Solomon, Sorin ; Usher, Leanne ; Kelman, Guy ; Bree, David S.. In: Papers. RePEc:arx:papers:1506.07582. Full description at Econpapers || Download paper | |
2015 | Expected Shortfall is jointly elicitable with Value at Risk - Implications for backtesting. (2015). Fissler, Tobias ; Gneiting, Tilmann ; Ziegel, Johanna F.. In: Papers. RePEc:arx:papers:1507.00244. Full description at Econpapers || Download paper |
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