[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 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1991 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1992 | 0 | 0.08 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.04 | |||||
1993 | 0 | 0.1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1994 | 0 | 0.11 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.05 | |||||
1995 | 0 | 0.19 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.08 | |||||
1996 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.1 | |||||
1997 | 0 | 0.22 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.09 | |||||
1998 | 0 | 0.26 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.12 | |||||
1999 | 0 | 0.28 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 0.14 | |||||
2000 | 0 | 0.33 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 0 | 0 | 0 | 0.15 | |||||
2001 | 0 | 0.36 | 0.39 | 0 | 67 | 67 | 1785 | 22 | 27 | 0 | 0 | 0 | 22 | 0.33 | 0.15 | |||
2002 | 0.54 | 0.39 | 0.45 | 0.54 | 63 | 130 | 712 | 51 | 86 | 67 | 36 | 67 | 36 | 4 | 7.8 | 9 | 0.14 | 0.21 |
2003 | 0.62 | 0.4 | 0.6 | 0.62 | 68 | 198 | 596 | 117 | 205 | 130 | 81 | 130 | 81 | 12 | 10.3 | 5 | 0.07 | 0.2 |
2004 | 0.48 | 0.45 | 0.58 | 0.51 | 67 | 265 | 867 | 153 | 359 | 131 | 63 | 198 | 101 | 21 | 13.7 | 12 | 0.18 | 0.2 |
2005 | 0.39 | 0.46 | 0.7 | 0.54 | 50 | 315 | 758 | 212 | 578 | 135 | 53 | 265 | 144 | 17 | 8 | 5 | 0.1 | 0.22 |
2006 | 0.44 | 0.46 | 0.72 | 0.54 | 45 | 360 | 373 | 250 | 836 | 117 | 52 | 315 | 169 | 34 | 13.6 | 10 | 0.22 | 0.21 |
2007 | 0.37 | 0.42 | 0.58 | 0.4 | 63 | 423 | 392 | 240 | 1082 | 95 | 35 | 293 | 117 | 18 | 7.5 | 11 | 0.17 | 0.18 |
2008 | 0.24 | 0.44 | 0.68 | 0.42 | 64 | 487 | 518 | 321 | 1411 | 108 | 26 | 293 | 123 | 33 | 10.3 | 18 | 0.28 | 0.21 |
2009 | 0.28 | 0.44 | 0.67 | 0.51 | 80 | 567 | 468 | 374 | 1790 | 127 | 36 | 289 | 148 | 33 | 8.8 | 5 | 0.06 | 0.21 |
2010 | 0.38 | 0.43 | 0.58 | 0.44 | 114 | 681 | 912 | 390 | 2184 | 144 | 55 | 302 | 134 | 30 | 7.7 | 23 | 0.2 | 0.18 |
2011 | 0.28 | 0.46 | 0.5 | 0.34 | 130 | 811 | 457 | 400 | 2589 | 194 | 54 | 366 | 125 | 37 | 9.3 | 16 | 0.12 | 0.21 |
2012 | 0.39 | 0.47 | 0.61 | 0.48 | 166 | 977 | 564 | 593 | 3188 | 244 | 94 | 451 | 217 | 61 | 10.3 | 12 | 0.07 | 0.19 |
2013 | 0.31 | 0.53 | 0.73 | 0.5 | 140 | 1117 | 542 | 809 | 4001 | 296 | 93 | 554 | 277 | 54 | 6.7 | 23 | 0.16 | 0.22 |
2014 | 0.41 | 0.55 | 0.76 | 0.53 | 155 | 1272 | 425 | 964 | 4973 | 306 | 125 | 630 | 332 | 50 | 5.2 | 22 | 0.14 | 0.22 |
2015 | 0.51 | 0.56 | 0.75 | 0.52 | 141 | 1413 | 493 | 1062 | 6037 | 295 | 149 | 705 | 364 | 62 | 5.8 | 42 | 0.3 | 0.21 |
2016 | 0.63 | 0.58 | 0.87 | 0.54 | 136 | 1549 | 238 | 1352 | 7390 | 296 | 185 | 732 | 393 | 81 | 6 | 8 | 0.06 | 0.2 |
2017 | 0.51 | 0.6 | 0.75 | 0.56 | 141 | 1690 | 196 | 1262 | 8653 | 277 | 141 | 738 | 410 | 69 | 5.5 | 19 | 0.13 | 0.22 |
2018 | 0.66 | 0.76 | 0.75 | 0.61 | 128 | 1818 | 66 | 1355 | 10008 | 277 | 182 | 713 | 432 | 16 | 1.2 | 20 | 0.16 | 0.31 |
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 | 2001 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 673 |
2 | 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 237 |
3 | 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 215 |
4 | 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 155 |
5 | 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 147 |
6 | 2001 | Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers || Download paper | 110 |
7 | 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 108 |
8 | 2002 | Dynamics of implied volatility surfaces. (2002). DA FONSECA, José ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:1:p:45-60. Full description at Econpapers || Download paper | 103 |
9 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 100 |
10 | 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 95 |
11 | 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 92 |
12 | 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 91 |
13 | 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 89 |
14 | 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 88 |
15 | 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 87 |
16 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 85 |
17 | 2011 | Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers || Download paper | 82 |
18 | 2001 | Optimal positioning in derivative securities. (2001). Madan, D. ; Carr, P.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:19-37. Full description at Econpapers || Download paper | 81 |
19 | 2001 | Significance of log-periodic precursors to financial crashes. (2001). Johansen, A. ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:452-471. Full description at Econpapers || Download paper | 74 |
20 | 2013 | Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers || Download paper | 73 |
21 | 2001 | High-frequency cross-correlation in a set of stocks. (2001). Mantegna, Rosario ; Lillo, F. ; Bonanno, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:96-104. Full description at Econpapers || Download paper | 73 |
22 | 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 68 |
23 | 2010 | A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers || Download paper | 66 |
24 | 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 65 |
25 | 2004 | A spot market model for pricing derivatives in electricity markets. (2004). Müller, Alfred ; Muller, Alfred ; Burger, Markus ; Schindlmayr, Gero ; Klar, Bernhard . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:1:p:109-122. Full description at Econpapers || Download paper | 61 |
26 | 2003 | Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers || Download paper | 60 |
27 | 2008 | A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 59 |
28 | 2001 | Stochastic volatility as a simple generator of apparent financial power laws and long memory. (2001). Lebaron, Blake. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:6:p:621-631. Full description at Econpapers || Download paper | 54 |
29 | 2015 | The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers || Download paper | 52 |
30 | 2011 | Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers || Download paper | 52 |
31 | 2002 | Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers || Download paper | 50 |
32 | 2007 | Multi-scaling in finance. (2007). Di Matteo, T.. In: Quantitative Finance. RePEc:taf:quantf:v:7:y:2007:i:1:p:21-36. Full description at Econpapers || Download paper | 50 |
33 | 2010 | Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers || Download paper | 48 |
34 | 2003 | Testing the Gaussian copula hypothesis for financial assets dependences. (2003). Malevergne, Yannick ; Sornette, D.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:4:p:231-250. Full description at Econpapers || Download paper | 48 |
35 | 2012 | Leverage causes fat tails and clustered volatility. (2012). Farmer, J. ; Geanakoplos, John ; Thurner, Stefan. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:5:p:695-707. Full description at Econpapers || Download paper | 46 |
36 | 2005 | Order book approach to price impact. (2005). Rosenow, B. ; Weber, P.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:4:p:357-364. Full description at Econpapers || Download paper | 46 |
37 | 2002 | The power of patience: a behavioural regularity in limit-order placement. (2002). Farmer, J. ; Zovko, Ilija . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:387-392. Full description at Econpapers || Download paper | 45 |
38 | 2002 | Dynamical pricing of weather derivatives. (2002). Brody, Dorje ; Zervos, Mihail ; Syroka, Joanna . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:3:p:189-198. Full description at Econpapers || Download paper | 44 |
39 | 2001 | Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. (2001). Lucas, C. A. ; Jobst, N. J. ; Horniman, M. D. ; Mitra, G.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:489-501. Full description at Econpapers || Download paper | 43 |
40 | 2015 | Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers || Download paper | 43 |
41 | 2016 | Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers || Download paper | 43 |
42 | 2012 | The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers || Download paper | 43 |
43 | 2001 | Pricing weather derivatives by marginal value. (2001). Davis, M.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:3:p:305-308. Full description at Econpapers || Download paper | 43 |
44 | 2008 | Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79. Full description at Econpapers || Download paper | 42 |
45 | 2001 | Infectious defaults. (2001). Davis, M. ; Lo, V.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:4:p:382-387. Full description at Econpapers || Download paper | 42 |
46 | 2011 | Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers || Download paper | 41 |
47 | 2013 | Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers || Download paper | 40 |
48 | 2001 | Information and option pricings. (2001). Guo, X.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:38-44. Full description at Econpapers || Download paper | 39 |
49 | 2005 | Tobin tax and market depth. (2005). Westerhoff, Frank ; Stauffer, D. ; Ehrenstein, G.. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:2:p:213-218. Full description at Econpapers || Download paper | 38 |
50 | 2010 | Valuation of energy storage: an optimal switching approach. (2010). Ludkovski, Michael ; Carmona, Rene. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:359-374. Full description at Econpapers || Download paper | 38 |
# | Year | Title | Cited |
---|---|---|---|
1 | 2001 | Empirical properties of asset returns: stylized facts and statistical issues. (2001). Cont, R.. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:223-236. Full description at Econpapers || Download paper | 208 |
2 | 2004 | Network topology of the interbank market. (2004). Summer, Martin ; Elsinger, Helmut ; Thurner, Stefan ; Boss, Michael . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:6:p:677-684. Full description at Econpapers || Download paper | 58 |
3 | 2016 | Pricing under rough volatility. (2016). Bayer, Christian ; Gatheral, Jim ; Friz, Peter . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:6:p:887-904. Full description at Econpapers || Download paper | 43 |
4 | 2005 | Empirical modelling of contagion: a review of methodologies. (2005). Martin, Vance ; Fry-McKibbin, Renee ; Dungey, Mardi ; Gonzalez-Hermosillo, Brenda . In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:1:p:9-24. Full description at Econpapers || Download paper | 41 |
5 | 2001 | What good is a volatility model?. (2001). Patton, Andrew ; Engle, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:2:p:237-245. Full description at Econpapers || Download paper | 34 |
6 | 2010 | Optimal execution strategies in limit order books with general shape functions. (2010). Schied, Alexander ; Alfonsi, Aurelien ; Fruth, Antje . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:143-157. Full description at Econpapers || Download paper | 33 |
7 | 2010 | Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606. Full description at Econpapers || Download paper | 33 |
8 | 2015 | The multiplex structure of interbank networks. (2015). Infante, Luigi ; di Iasio, Giovanni ; Bargigli, Leonardo ; Pierobon, F. ; Lillo, F.. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:673-691. Full description at Econpapers || Download paper | 32 |
9 | 2011 | Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012. Full description at Econpapers || Download paper | 32 |
10 | 2008 | High-frequency trading in a limit order book. (2008). Avellaneda, Marco ; Stoikov, Sasha. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:3:p:217-224. Full description at Econpapers || Download paper | 32 |
11 | 2010 | Statistical arbitrage in the US equities market. (2010). Lee, Jeong-Hyun ; Avellaneda, Marco. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:761-782. Full description at Econpapers || Download paper | 31 |
12 | 2011 | Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041. Full description at Econpapers || Download paper | 27 |
13 | 2013 | Modelling microstructure noise with mutually exciting point processes. (2013). Hoffmann, Marc ; Bacry, E. ; Delattre, S. ; Muzy, J. F.. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:65-77. Full description at Econpapers || Download paper | 27 |
14 | 2013 | Optimal high-frequency trading with limit and market orders. (2013). Guilbaud, Fabien ; Huyên Pham, . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:1:p:79-94. Full description at Econpapers || Download paper | 26 |
15 | 2015 | Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China. (2015). Wong, Wing-Keung ; McAleer, Michael ; Li, Hua ; Bai, Zhidong. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:889-900. Full description at Econpapers || Download paper | 26 |
16 | 2003 | Statistical theory of the continuous double auction. (2003). Farmer, J. ; Krishnamurthy, Supriya ; Gillemot, Laszlo ; Smith, Eric. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:6:p:481-514. Full description at Econpapers || Download paper | 24 |
17 | 2010 | Portfolio selection with higher moments. (2010). Harvey, Campbell ; Muller, Peter ; Liechty, Merrill . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:5:p:469-485. Full description at Econpapers || Download paper | 24 |
18 | 2004 | Fluctuations and response in financial markets: the subtle nature of random price changes. (2004). Bouchaud, Jean-Philippe ; Gefen, Yuval ; Wyart, Matthieu ; Potters, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:2:p:176-190. Full description at Econpapers || Download paper | 22 |
19 | 2015 | On elicitable risk measures. (2015). Bellini, Fabio ; Bignozzi, Valeria. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:5:p:725-733. Full description at Econpapers || Download paper | 22 |
20 | 2001 | Asset price and wealth dynamics under heterogeneous expectations. (2001). He, Xuezhong ; Chiarella, Carl ; X-Z. He, . In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:5:p:509-526. Full description at Econpapers || Download paper | 22 |
21 | 2017 | Extreme risk spillover network: application to financial institutions. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; He, Kaijian ; Xie, Chi. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:9:p:1417-1433. Full description at Econpapers || Download paper | 21 |
22 | 2012 | The price impact of order book events: market orders, limit orders and cancellations. (2012). Bouchaud, Jean-Philippe ; Kockelkoren, Julien . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:9:p:1395-1419. Full description at Econpapers || Download paper | 20 |
23 | 2005 | Optimal portfolios and Hestons stochastic volatility model: an explicit solution for power utility. (2005). Kraft, Holger. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:303-313. Full description at Econpapers || Download paper | 20 |
24 | 2010 | No-dynamic-arbitrage and market impact. (2010). Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:7:p:749-759. Full description at Econpapers || Download paper | 19 |
25 | 2014 | Arbitrage-free SVI volatility surfaces. (2014). Jacquier, Antoine ; Gatheral, Jim. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:59-71. Full description at Econpapers || Download paper | 19 |
26 | 2015 | Filling in the blanks: network structure and interbank contagion. (2015). von Peter, Goetz ; Anand, Kartik ; Craig, Ben . In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:625-636. Full description at Econpapers || Download paper | 19 |
27 | 2002 | A simulation analysis of the microstructure of double auction markets. (2002). Iori, Giulia ; Chiarella, Carl. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:5:p:346-353. Full description at Econpapers || Download paper | 19 |
28 | 2011 | Liberalisation and stock market co-movement between emerging economies. (2011). Candelon, Bertrand ; Beine, Michel. In: Quantitative Finance. RePEc:taf:quantf:v:11:y:2011:i:2:p:299-312. Full description at Econpapers || Download paper | 18 |
29 | 2012 | Universal price impact functions of individual trades in an order-driven market. (2012). Zhou, Wei-Xing. In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:8:p:1253-1263. Full description at Econpapers || Download paper | 17 |
30 | 2005 | Pairs trading. (2005). John van der Hoek, ; Malcolm, William ; Elliott, Robert. In: Quantitative Finance. RePEc:taf:quantf:v:5:y:2005:i:3:p:271-276. Full description at Econpapers || Download paper | 17 |
31 | 2002 | Probability distribution of returns in the Heston model with stochastic volatility. (2002). Yakovenko, Victor ; Dragulescu, A. A.. In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:6:p:443-453. Full description at Econpapers || Download paper | 17 |
32 | 2013 | The dynamics of commodity prices. (2013). Prokopczuk, Marcel ; Brooks, Chris. In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:4:p:527-542. Full description at Econpapers || Download paper | 17 |
33 | 2014 | Robust risk measurement and model risk. (2014). Glasserman, Paul ; Xu, Xingbo . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:1:p:29-58. Full description at Econpapers || Download paper | 17 |
34 | 2004 | What really causes large price changes?. (2004). Farmer, J. ; Sen, Anindya ; Mike, Szabolcs ; Gillemot, Laszlo ; Lillo, Fabrizio. In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:4:p:383-397. Full description at Econpapers || Download paper | 16 |
35 | 2003 | Dependence structures for multivariate high-frequency data in finance. (2003). Dias, A. ; Breymann, W. ; Embrechts, P.. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:1:p:1-14. Full description at Econpapers || Download paper | 16 |
36 | 2001 | Financial markets as nonlinear adaptive evolutionary systems. (2001). Hommes, Cars. In: Quantitative Finance. RePEc:taf:quantf:v:1:y:2001:i:1:p:149-167. Full description at Econpapers || Download paper | 16 |
37 | 2002 | Statistical properties of stock order books: empirical results and models. (2002). Bouchaud, Jean-Philippe ; Potters, Marc ; Mezard, Marc . In: Quantitative Finance. RePEc:taf:quantf:v:2:y:2002:i:4:p:251-256. Full description at Econpapers || Download paper | 16 |
38 | 2014 | Hawkes model for price and trades high-frequency dynamics. (2014). Bacry, Emmanuel ; Muzy, Jean-Franois . In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:7:p:1147-1166. Full description at Econpapers || Download paper | 16 |
39 | 2017 | Short-time at-the-money skew and rough fractional volatility. (2017). Fukasawa, Masaaki. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:189-198. Full description at Econpapers || Download paper | 15 |
40 | 2008 | A multifactor volatility Heston model. (2008). Tebaldi, Claudio ; DA FONSECA, José ; Grasselli, Martino. In: Quantitative Finance. RePEc:taf:quantf:v:8:y:2008:i:6:p:591-604. Full description at Econpapers || Download paper | 14 |
41 | 2012 | Does herding affect volatility? Implications for the Spanish stock market. (2012). Blasco, Natividad ; Ferreruela, Sandra ; Corredor, Pilar . In: Quantitative Finance. RePEc:taf:quantf:v:12:y:2012:i:2:p:311-327. Full description at Econpapers || Download paper | 14 |
42 | 2014 | Asset price bubbles: a survey. (2014). Scherbina, Anna ; Schlusche, Bernd. In: Quantitative Finance. RePEc:taf:quantf:v:14:y:2014:i:4:p:589-604. Full description at Econpapers || Download paper | 14 |
43 | 2013 | Limit order books. (2013). Fenn, Daniel J. ; Williams, Stacy ; Howison, Sam D. ; Porter, Mason A. ; Gould, Martin D. ; McDonald, Mark . In: Quantitative Finance. RePEc:taf:quantf:v:13:y:2013:i:11:p:1709-1742. Full description at Econpapers || Download paper | 14 |
44 | 2010 | A comparison of biased simulation schemes for stochastic volatility models. (2010). van Dijk, Dick ; Lord, Roger ; Koekkoek, Remmert . In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:2:p:177-194. Full description at Econpapers || Download paper | 14 |
45 | 2010 | International trade and financial integration: a weighted network analysis. (2010). Schiavo, Stefano ; Reyes, Javier ; Fagiolo, Giorgio. In: Quantitative Finance. RePEc:taf:quantf:v:10:y:2010:i:4:p:389-399. Full description at Econpapers || Download paper | 14 |
46 | 2003 | Systematic risk and timescales. (2003). Whitcher, Brandon ; Genay, Ramazan. In: Quantitative Finance. RePEc:taf:quantf:v:3:y:2003:i:2:p:108-116. Full description at Econpapers || Download paper | 14 |
47 | 2017 | Dissecting the financial cycle with dynamic factor models. (2017). Proaño, Christian ; Proao, Christian R ; Menden, Christian. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:12:p:1965-1994. Full description at Econpapers || Download paper | 13 |
48 | 2016 | The profitability of pairs trading strategies: distance, cointegration and copula methods. (2016). faff, robert ; Yew, Rand Kwong ; Rad, Hossein . In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:10:p:1541-1558. Full description at Econpapers || Download paper | 13 |
49 | 2004 | On the estimation of cost of capital and its reliability. (2004). Wong, Wing-Keung ; Chan, Raymond . In: Quantitative Finance. RePEc:taf:quantf:v:4:y:2004:i:3:p:365-372. Full description at Econpapers || Download paper | 13 |
50 | 2015 | Optimal execution with limit and market orders. (2015). Cartea, ÃÂlvaro ; Jaimungal, Sebastian. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:8:p:1279-1291. Full description at Econpapers || Download paper | 13 |
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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 | A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). di Matteo, Tiziana ; Buonocore, Riccardo Junior ; Verma, Anshul. In: Papers. RePEc:arx:papers:1712.02138. Full description at Econpapers || Download paper | |
2018 | Risk management for forestry planning under uncertainty in demand and prices. (2018). Alonso-Ayuso, Antonio ; Weintraub, Andres ; Guignard, Monique ; Escudero, Laureano F. In: European Journal of Operational Research. RePEc:eee:ejores:v:267:y:2018:i:3:p:1051-1074. Full description at Econpapers || Download paper | |
2018 | Pricing and hedging GDP-linked bonds in incomplete markets. (2018). Consiglio, Andrea ; Zenios, Stavros. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:137-155. Full description at Econpapers || Download paper | |
2018 | Pricing and hedging GDP-linked bonds in incomplete markets. (2018). Zenios, Stavros ; Consiglio, Andrea. In: Working Papers. RePEc:stm:wpaper:29. 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 | 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 | 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 | A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132. Full description at Econpapers || Download paper | |
2018 | A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). RodrÃÂguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; RodrÃÂÃÂguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33. Full description at Econpapers || Download paper | |
2018 | A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3. Full description at Econpapers || Download paper | |
2018 | Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:490:y:2018:i:c:p:402-418. Full description at Econpapers || Download paper | |
2018 | International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9. Full description at Econpapers || Download paper | |
2018 | What determines the long-term correlation between oil prices and exchange rates?. (2018). Yang, Lu ; Hamori, Shigeyuki ; Cai, Xiaojing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:140-152. Full description at Econpapers || Download paper | |
2018 | Does exchange rate management affect the causality between exchange rates and oil prices? Evidence from oil-exporting countries. (2018). Xin Lv, ; Yu, Chang ; Chen, Qian ; Lien, Donald. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:325-343. Full description at Econpapers || Download paper | |
2018 | Counterparty Trading Limits Revisited:CSAs, IM, SwapAgent(r), from PFE to PFL. (2018). Poncet, Benjamin ; Berrahoui, Mourad ; Kenyon, Chris. In: Papers. RePEc:arx:papers:1710.03161. Full description at Econpapers || Download paper | |
2018 | A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2018). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Papers. RePEc:arx:papers:1809.06643. Full description at Econpapers || Download paper | |
2018 | A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:58-:d:147258. Full description at Econpapers || Download paper | |
2018 | OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP. (2018). Ivanov, Roman V. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500188. Full description at Econpapers || Download paper | |
2018 | Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model. (2018). Chen, Son-Nan ; Hsu, Pao-Peng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:330-346. Full description at Econpapers || Download paper | |
2018 | Who drives the Monday effect?. (2018). Ulku, Numan ; Rogers, Madeline. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:148:y:2018:i:c:p:46-65. Full description at Econpapers || Download paper | |
2018 | A representative agent model based on risk-neutral prices. (2018). Park, Hyungbin. In: Papers. RePEc:arx:papers:1801.09315. Full description at Econpapers || Download paper | |
2018 | Predicting failure risk using financial ratios: Quantile hazard model approach. (2018). Chen, Cathy W. S. ; Tian, Shaonan ; Dong, Manh Cuong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:204-220. 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 | 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 | 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 | 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 | An analytical approximation for single barrier options under stochastic volatility models. (2018). Funahashi, Hideharu ; Higuchi, Tomohide. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2559-3. 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 | 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 | 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 | 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 | 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 | Asymptotic Theory for Rough Fractional Vasicek Models. (2018). Yu, Jun ; JunYu, ; Xiao, Weilin. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2018_007. Full description at Econpapers || Download paper | |
2018 | The microstructural foundations of leverage effect and rough volatility. (2018). Euch, Omar ; Rosenbaum, Mathieu ; Fukasawa, Masaaki. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:2:d:10.1007_s00780-018-0360-z. Full description at Econpapers || Download paper | |
2018 | New and refined bounds for expected maxima of fractional Brownian motion. (2018). Borovkov, Konstantin ; Zhitlukhin, Mikhail ; Novikov, Alexander ; Mishura, Yuliya. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:142-147. 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 | 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 | 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 | Volatility smiles when information is lagged in prices. (2018). Marcato, Gianluca ; Campani, Carlos Heitor ; Sebehela, Tumellano . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:151-165. Full description at Econpapers || Download paper | |
2018 | The Alpha-Heston Stochastic Volatility Model. (2018). Zhou, Chao ; Scotti, Simone ; Ma, Chunhua ; Jiao, Ying. In: Papers. RePEc:arx:papers:1812.01914. 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 | ||
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 | Calibration for Weak Variance-Alpha-Gamma Processes. (2018). Madan, Dilip B ; Lu, Kevin W ; Buchmann, Boris. In: Papers. RePEc:arx:papers:1801.08852. Full description at Econpapers || Download paper | |
2018 | MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS. (2018). Marena, Marina ; Semeraro, Patrizia ; Romeo, Andrea . In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:01:n:s021902491850005x. Full description at Econpapers || Download paper | |
2018 | The importance of transnational impacts of climate change in a power market. (2018). Hilden, Mikael ; Kopsakangas-Savolainen, Maria ; Kivisaari, Visa ; Huuki, Hannu. In: Energy Policy. RePEc:eee:enepol:v:115:y:2018:i:c:p:418-425. Full description at Econpapers || Download paper | |
2018 | Economic assessment of alternative heat decarbonisation strategies through coordinated operation with electricity system â UK case study. (2018). Zhang, XI ; Djapic, Predrag ; Teng, Fei ; Strbac, Goran. In: Applied Energy. RePEc:eee:appene:v:222:y:2018:i:c:p:79-91. Full description at Econpapers || Download paper | |
2018 | Performance of an electrical distribution network with Soft Open Point during a grid side AC fault. (2018). Aithal, Avinash ; Yu, James ; Wu, Jianzhong ; Li, Gen. In: Applied Energy. RePEc:eee:appene:v:227:y:2018:i:c:p:262-272. Full description at Econpapers || Download paper | |
2018 | Analytical pricing of discrete arithmetic Asian options under generalized CIR process with time change. (2018). Tong, Zhigang ; Liu, Allen. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:05:y:2018:i:01:n:s2424786318500020. Full description at Econpapers || Download paper | |
2018 | CVA and vulnerable options pricing by correlation expansions. (2018). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio. In: Papers. RePEc:arx:papers:1811.07294. 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 | Disentangling and quantifying market participant volatility contributions. (2018). Muzy, Jean-Franccois ; Bacry, Emmanuel ; Rambaldi, Marcello. In: Papers. RePEc:arx:papers:1807.07036. 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 | Modeling aggressive market order placements with Hawkes factor models. (2018). Zhou, Wei-Xing ; Xu, Hai-Chuan. In: Papers. RePEc:arx:papers:1811.08076. Full description at Econpapers || Download paper | |
2018 | When panic makes you blind: a chaotic route to systemic risk. (2018). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:1805.00785. 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 | 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 | 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 | Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256. 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 | Optimal vs naïve diversification in cryptocurrencies. (2018). Platanakis, Emmanouil ; Urquhart, Andrew ; Sutcliffe, Charles. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:93-96. Full description at Econpapers || Download paper | |
2018 | TRADING STRATEGIES WITHIN THE EDGES OF NO-ARBITRAGE. (2018). Cartea, Alvaro ; Ricci, Jason ; Jaimungal, Sebastian. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:21:y:2018:i:03:n:s0219024918500255. Full description at Econpapers || Download paper | |
2018 | Consistent Valuation Across Curves Using Pricing Kernels. (2018). Macrina, Andrea ; Mahomed, Obeid. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:1:p:18-:d:134969. Full description at Econpapers || Download paper | |
2018 | Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause. (2018). Bian, Lihua ; Yao, Haixiang ; Li, Zhongfei. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:78-94. Full description at Econpapers || Download paper | |
2018 | From Concentration Profiles to Concentration Maps. New tools for the study of loss distributions. (2018). Fontanari, Andrea ; Oosterlee, Cornelis W ; Cirillo, Pasquale. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:13-29. Full description at Econpapers || Download paper | |
2018 | A clustering approach and a rule of thumb for risk aggregation. (2018). Marta, F ; Puccetti, Giovanni ; Giammusso, Davide. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:236-248. Full description at Econpapers || Download paper | |
2018 | Statistical arbitrage with optimal causal paths on high-frequencydata of the S&P 500. (2018). Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:012018. Full description at Econpapers || Download paper | |
2018 | A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Stubinger, Johannes ; Endres, Sylvia. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018. Full description at Econpapers || Download paper | |
2018 | Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669. 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 | Pairs trading: the case of Norwegian seafood companies. (2018). Mikkelsen, Andreas. In: Applied Economics. RePEc:taf:applec:v:50:y:2018:i:3:p:303-318. Full description at Econpapers || Download paper | |
2018 | Quantitative strategy for the Chinese commodity futures market based on a dynamic weighted money flow model. (2018). Ye, Cheng ; Hou, Yawen ; Lu, Guohao ; Qiu, Yanjun. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:1009-1018. Full description at Econpapers || Download paper | |
2018 | Pairs trading with partial cointegration. (2018). Clegg, Matthew ; Krauss, Christopher. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:1:p:121-138. Full description at Econpapers || Download paper | |
2018 | Portfolio Diversification Strategy Via TailâDependence Clustering and ARMAâGARCH Vine Copula Approach. (2018). Ji, Hao ; Liseo, Brunero ; Wang, Hao. In: Australian Economic Papers. RePEc:bla:ausecp:v:57:y:2018:i:3:p:265-283. Full description at Econpapers || Download paper | |
2018 | A single-stage approach for cointegration-based pairs trading. (2018). Law, K F ; Li, W K. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:177-184. Full description at Econpapers || Download paper | |
2018 | Behavioral portfolio selection and optimization: an application to international stocks. (2018). simo -Kengne, Beatrice D ; Koumba, UR ; Ababio, Kofi A ; Simo-Kengne, Beatrice D. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:3:d:10.1007_s11408-018-0313-8. Full description at Econpapers || Download paper | |
2018 | Pairs trading with a mean-reverting jumpâdiffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751. Full description at Econpapers || Download paper | |
2018 | Contingent convertible bonds with the default risk premium. (2018). Jang, Hyun Jin ; Zheng, Harry ; Na, Young Hoon. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:77-93. Full description at Econpapers || Download paper | |
2018 | The Jacobi Stochastic Volatility Model. (2018). Pulido, Sergio ; Filipovic, Damir ; Ackerer, Damien. In: Post-Print. RePEc:hal:journl:hal-01338330. Full description at Econpapers || Download paper | |
2018 | The Jacobi stochastic volatility model. (2018). Ackerer, Damien ; Pulido, Sergio ; Filipovi, Damir. In: Finance and Stochastics. RePEc:spr:finsto:v:22:y:2018:i:3:d:10.1007_s00780-018-0364-8. 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 | Large large-trader activity weakens the long memory of limit order markets. (2018). Challet, Damien ; Primicerio, Kevin. In: Papers. RePEc:arx:papers:1803.08390. Full description at Econpapers || Download paper | |
2018 | The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098. 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 | 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 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Papers. RePEc:arx:papers:1810.09112. Full description at Econpapers || Download paper | |
2018 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395. Full description at Econpapers || Download paper | |
2018 | Gas storage valuation under multifactor Lévy processes. (2018). Cummins, Mark ; Murphy, Bernard ; Kiely, Greg. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:167-184. Full description at Econpapers || Download paper | |
2018 | The Impact of the Tobin Tax in a Heterogeneous Agent Model of the Foreign Exchange Market. (2018). Stanek, Filip ; Kukacka, Jiri. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9649-9. Full description at Econpapers || Download paper | |
2018 | Variance Swap Replication: Discrete or Continuous?. (2018). le Floch, Fabien. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:11-:d:131575. 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 | |
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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 | Heterogeneous Agent Models in Finance. (2018). He, Xuezhong ; Dieci, Roberto. In: Research Paper Series. RePEc:uts:rpaper:389. Full description at Econpapers || Download paper | |
2018 | Timing under individual evolutionary learning in a continuous double auction. (2018). Anufriev, Mikhail ; Leur, Michiel. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:28:y:2018:i:3:d:10.1007_s00191-017-0530-8. Full description at Econpapers || Download paper | |
2018 | Copula approaches for modeling cross-sectional dependence of data breach losses. (2018). Eling, Martin ; Jung, Kwangmin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:82:y:2018:i:c:p:167-180. 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 | Financial data science. (2018). Giudici, Paolo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:136:y:2018:i:c:p:160-164. Full description at Econpapers || Download paper | |
2018 | CoRisk: Credit Risk Contagion with Correlation Network Models. (2018). Parisi, Laura ; Giudici, Paolo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:95-:d:169274. Full description at Econpapers || Download paper | |
2018 | Latent Factor Models for Credit Scoring in P2P Systems. (2018). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: MPRA Paper. RePEc:pra:mprapa:92636. Full description at Econpapers || Download paper | |
2018 | Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-ÃÂric ; Theoret, Raymond . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675. Full description at Econpapers || Download paper | |
2018 | Regulating speculative housing markets via public housing construction programs: Insights from a heterogeneous agent model. (2018). Westerhoff, Frank ; Martin, Carolin. In: BERG Working Paper Series. RePEc:zbw:bamber:135. Full description at Econpapers || Download paper | |
2018 | Steady states, stability and bifurcations in multi-asset market models. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: BERG Working Paper Series. RePEc:zbw:bamber:136. Full description at Econpapers || Download paper | |
2018 | The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration. (2018). Boermans, Martijn ; Keshkov, Viacheslav. In: DNB Working Papers. RePEc:dnb:dnbwpp:590. 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 | The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581. Full description at Econpapers || Download paper | |
2018 | A review of uncertainty representations and metaverification of uncertainty assessment techniques for renewable energies. (2018). Gensler, Andre ; Vogt, Stephan ; Sick, Bernhard. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:96:y:2018:i:c:p:352-379. Full description at Econpapers || Download paper | |
2018 | A non-Gaussian OrnsteinâUhlenbeck model for pricing wind power futures. (2018). Pircalabu, Anca ; Benth, Fred Espen. In: Applied Mathematical Finance. RePEc:taf:apmtfi:v:25:y:2018:i:1:p:36-65. Full description at Econpapers || Download paper | |
2018 | Portfolio Management Using Prospect Theory: Comparing Genetic Algorithms and Particle Swarm Optimization. (2018). Manzi, Giancarlo ; Nematollahi, Seyedehzahra. In: Departmental Working Papers. RePEc:mil:wpdepa:2018-03. Full description at Econpapers || Download paper | |
2018 | VIX-linked fees for GMWBs via explicit solution simulation methods. (2018). Kouritzin, Michael A ; MacKay, Anne. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:1-17. Full description at Econpapers || Download paper | |
2018 | Wykorzystanie informacji ksiÄgowych w analizie ryzyka. (2018). Rutkowska-Ziarko, Anna ; Pyke, Christopher. In: Collegium of Economic Analysis Annals. RePEc:sgh:annals:i:49:y:2018:p:547-554. Full description at Econpapers || Download paper | |
2018 | Foreign Exchange Markets with Last Look. (2018). Walton, Jamie ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1806.04460. Full description at Econpapers || Download paper | |
2018 | Credit Ratings and Liquidity Risk for the Optimization of Debt Maturity Structure. (2018). Sajjad, Faiza ; Zakaria, Muhammad. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:24-:d:145854. Full description at Econpapers || Download paper | |
2018 | Credit risk contagion coupling with sentiment contagion. (2018). Jiang, Shanshan ; Fan, Hong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:186-202. Full description at Econpapers || Download paper | |
2018 | Trending Mixture Copula Models with Copula Selection. (2018). Hafner, Christian ; Liu, Guannan ; Cai, Zongwu ; Yang, Bingduo. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201809. Full description at Econpapers || Download paper | |
2018 | Risk spillover between energy and agricultural commodity markets: A dependence-switching CoVaR-copula model. (2018). Ji, Qiang ; Bouri, Elie ; Hussain, Syed Jawad ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:14-27. Full description at Econpapers || Download paper | |
2018 | Uncertainties and extreme risk spillover in the energy markets: A time-varying copula-based CoVaR approach. (2018). Ji, Qiang ; Uddin, Gazi Salah ; Nehler, Henrik ; Liu, Bing-Yue. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:115-126. Full description at Econpapers || Download paper | |
2018 | Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386. Full description at Econpapers || Download paper | |
2018 | Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180048. Full description at Econpapers || Download paper | |
2018 | Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1814. Full description at Econpapers || Download paper | |
2018 | Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, Hannu ; Ilomaki, Jukka. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2125-:d:153797. Full description at Econpapers || Download paper | |
2018 | Simple Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:107290. Full description at Econpapers || Download paper | |
2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1825. Full description at Econpapers || Download paper | |
2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554. Full description at Econpapers || Download paper | |
2018 | Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556. Full description at Econpapers || Download paper | |
2018 | Moving Average Market Timing in European Energy Markets: Production Versus Emissions. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3281-:d:185360. Full description at Econpapers || Download paper | |
2018 | Market Timing with Moving Averages. (2018). McAleer, Michael ; Laurila, H ; Ilomaki, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:110015. Full description at Econpapers || Download paper | |
2018 | Time consistent multi-period robust risk measures and portfolio selection models with regime-switching. (2018). Liu, Jia ; Chen, Zhiping. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:373-385. Full description at Econpapers || Download paper | |
2018 | Influence of individual rationality on continuous double auction markets with networked traders. (2018). Zhang, Junhuan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:495:y:2018:i:c:p:353-392. Full description at Econpapers || Download paper | |
2018 | Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18. Full description at Econpapers || Download paper | |
2018 | Downside and upside risk spillovers from China to Asian stock markets: A CoVaR-copula approach. (2018). Jin, Xiaoye. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:202-212. Full description at Econpapers || Download paper | |
2018 | A simple analytics framework for evaluating mean escape time in different term structures with stochastic volatility. (2018). Ko, Bonggyun ; Song, Jae Wook. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:398-412. 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 | 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 | Stock market as temporal network. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:1104-1112. Full description at Econpapers || Download paper | |
2018 | Collective behavior of cryptocurrency price changes. (2018). Stosic, Darko ; Ludermir, Teresa B. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:499-509. Full description at Econpapers || Download paper | |
2018 | A return spillover network perspective analysis of Chinese financial institutionsâ systemic importance. (2018). Huang, Wei-qiang ; Wang, Dan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:405-421. Full description at Econpapers || Download paper | |
2018 | Degree distributions and motif profiles of limited penetrable horizontal visibility graphs. (2018). Wang, Minggang ; Stanley, Eugene H ; Tian, Lixin ; Xu, Hua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:620-634. 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 | Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230. Full description at Econpapers || Download paper | |
2018 | Time-dependent lead-lag relationship between the onshore and offshore Renminbi exchange rates. (2018). Zhou, Wei-Xing ; Sornette, Didier ; Xu, Hai-Chuan. In: Papers. RePEc:arx:papers:1803.09432. Full description at Econpapers || Download paper | |
2018 | Analytical valuation for geometric Asian options in illiquid markets. (2018). Li, Zhe ; Liu, Yong-Jun ; Zhang, Wei-Guo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:175-191. Full description at Econpapers || Download paper | |
2018 | Asymmetric volatility varies in different dry bulk freight rate markets under structure breaks. (2018). Chen, Feier ; Liu, Junlin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:316-327. Full description at Econpapers || Download paper | |
2018 | Public attention to âIslamic terrorismâ and stock market returns. (2018). el Ouadghiri, Imane ; Peillex, Jonathan. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:4:p:936-946. Full description at Econpapers || Download paper | |
2018 | Market entry waves and volatility outbursts in stock markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Blaurock, Ivonne . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:153:y:2018:i:c:p:19-37. 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 | 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 | Recent contributions to linear semi-infinite optimization: an update. (2018). Goberna, M A ; Lopez, M A. In: Annals of Operations Research. RePEc:spr:annopr:v:271:y:2018:i:1:d:10.1007_s10479-018-2987-8. Full description at Econpapers || Download paper | |
2018 | An Economic Bubble Model and Its First Passage Time. (2018). Li, Luting ; Dassios, Angelos. In: Papers. RePEc:arx:papers:1803.08160. Full description at Econpapers || Download paper | |
2018 | Estimation of spot volatility with superposed noisy data. (2018). Liu, Qiang ; Wang, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79. Full description at Econpapers || Download paper | |
2018 | Common and fundamental risk factors in shareholder returns of Norwegian salmon producing companies. (2018). Misund, Brd. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:12:y:2018:i:c:p:19-30. Full description at Econpapers || Download paper | |
2018 | Seasonal aspects of the energy-water nexus: The case of a run-of-the-river hydropower plant. (2018). Gaudard, Ludovic ; de Michele, Carlo ; Avanzi, Francesco. In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:604-612. 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 | 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 | 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 | 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 | Electricity markets around the world. (2018). Trueck, Stefan ; Truck, Stefan ; Mayer, Klaus . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:77-100. Full description at Econpapers || Download paper | |
2018 | Dynamic Connectedness of International Crude Oil Prices: The DieboldâYilmaz Approach. (2018). Xiao, Xiaoyong ; Huang, Jing. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3298-:d:169990. Full description at Econpapers || Download paper | |
2018 | Threshold autoregressive models for interval-valued time series data. (2018). Hong, Yongmiao ; Wang, Shouyang ; Han, AI ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:2:p:414-446. Full description at Econpapers || Download paper | |
2018 | Interval decomposition ensemble approach for crude oil price forecasting. (2018). Sun, Shaolong ; Wei, Yunjie ; Wang, Shouyang. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:274-287. Full description at Econpapers || Download paper | |
2018 | Time-Varying Risk Aversion and Realized Gold Volatility. (2018). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza. In: Working Papers. RePEc:pre:wpaper:201881. 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 | 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 | 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 | 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 | An evaluation of early warning models for systemic banking crises: Does machine learning improve predictions?. (2018). von Schweinitz, Gregor ; Beutel, Johannes ; List, Sophia. In: Discussion Papers. RePEc:zbw:bubdps:482018. Full description at Econpapers || Download paper | |
2018 | Risk management with multiple VaR constraints. (2018). Chen, AN ; Stadje, Mitja ; Nguyen, Thai. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:88:y:2018:i:2:d:10.1007_s00186-018-0637-1. Full description at Econpapers || Download paper | |
2018 | Structural price model for coupled electricity markets. (2018). Alasseur, C ; Feron, O. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:104-119. Full description at Econpapers || Download paper | |
2018 | The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs. (2018). Jitmaneeroj, Boonlert. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:282-298. 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 | An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388. Full description at Econpapers || Download paper | |
2018 | The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165. Full description at Econpapers || Download paper | |
2018 | Which is the safe haven for emerging stock markets, gold or the US dollar?. (2018). Wen, Xiaoqian ; Cheng, Hua. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:69-90. Full description at Econpapers || Download paper | |
2018 | Order-book modelling and market making strategies. (2018). Fr'ed'eric Abergel, ; Lu, Xiaofei. In: Papers. RePEc:arx:papers:1806.05101. 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 | 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 |
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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 | Limit Order Strategic Placement with Adverse Selection Risk and the Role of Latency. (2018). LEHALLE, Charles-Albert ; Mounjid, Othmane. In: Papers. RePEc:arx:papers:1610.00261. 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 | 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 | The Zumbach effect under rough Heston. (2018). Rosenbaum, Mathieu ; Radoivci, Radovs ; Gatheral, Jim ; el Euch, Omar. In: Papers. RePEc:arx:papers:1809.02098. 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 | Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations. (2018). Smith, Greig ; Reis, Goncalo Dos ; Pfeuffer, Marius. In: Papers. RePEc:arx:papers:1809.09889. Full description at Econpapers || Download paper | |
2018 | Affine Jump-Diffusions: Stochastic Stability and Limit Theorems. (2018). Glynn, Peter W ; Zhang, Xiaowei. In: Papers. RePEc:arx:papers:1811.00122. Full description at Econpapers || Download paper | |
2018 | Forecasting in the presence of in and out of sample breaks. (2018). Perron, Pierre ; Xu, Jiawen. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-014. Full description at Econpapers || Download paper | |
2018 | High-frequency Pairs Trading on a Small Stock Exchange. (2018). Mikkelsen, Andreas ; Kjarland, Frode. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-11. Full description at Econpapers || Download paper | |
2018 | Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62. Full description at Econpapers || Download paper | |
2018 | Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353. Full description at Econpapers || Download paper | |
2018 | Deep learning with long short-term memory networks for financial market predictions. (2018). Fischer, Thomas ; Krauss, Christopher. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:2:p:654-669. Full description at Econpapers || Download paper | |
2018 | Uncovering long term relationships between oil prices and the economy: A time-varying cointegration analysis. (2018). Gogolin, Fabian ; Vigne, Samuel A ; Peat, Maurice ; Lucey, Brian M ; Kearney, Fearghal. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:584-593. Full description at Econpapers || Download paper | |
2018 | Macroeconomic Structural Changes in a Leading Emerging Market: The Effects of the Asian Financial Crisis. (2018). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:22-42. Full description at Econpapers || Download paper | |
2018 | Fast and accurate calculation of American option prices. (2018). Ballestra, Luca Vincenzo. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:41:y:2018:i:2:d:10.1007_s10203-018-0224-1. Full description at Econpapers || Download paper | |
2018 | Pairs trading with a mean-reverting jumpâdiffusion model on high-frequency data. (2018). Endres, Sylvia ; Stubinger, Johannes. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:10:p:1735-1751. Full description at Econpapers || Download paper | |
2018 |
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2017 | An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng. In: Papers. RePEc:arx:papers:1704.04354. Full description at Econpapers || Download paper | |
2017 | Lagrange regularisation approach to compare nested data sets and determine objectively financial bubbles inceptions. (2017). Demos, Guilherme ; Sornette, Didier. In: Papers. RePEc:arx:papers:1707.07162. Full description at Econpapers || Download paper | |
2017 | A regularity structure for rough volatility. (2017). Stemper, Benjamin ; Martin, Joerg ; Gassiat, Paul ; Friz, Peter K ; Bayer, Christian. In: Papers. RePEc:arx:papers:1710.07481. Full description at Econpapers || Download paper | |
2017 | Stock market as temporal network. (2017). Wang, Gang-Jin ; Stanley, Eugene H ; Li, Wei ; Bao, Weiqi ; Zhao, Longfeng. In: Papers. RePEc:arx:papers:1712.04863. Full description at Econpapers || Download paper | |
2017 | Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14. Full description at Econpapers || Download paper | |
2017 | Super-Exponential RE Bubble Model with Efficient Crashes. (2017). Kreuser, Jerome L ; Sornette, Didier. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1733. Full description at Econpapers || Download paper | |
2017 | Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926. Full description at Econpapers || Download paper | |
2017 | Bounded Brownian Motion. (2017). Carr, Peter. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:61-:d:119375. Full description at Econpapers || Download paper | |
2017 | Characterizing the financial cycle: evidence from a frequency domain analysis. (2017). Proaño, Christian ; Wolters, Jurgen ; Proao, Christian R ; Strohsal, Till. In: IMK Working Paper. RePEc:imk:wpaper:189-2017. Full description at Econpapers || Download paper | |
2017 | Using Ratios of Successive Returns for the Estimation of Serial Correlation in Return Series. (2017). Reschenhofer, Erhard. In: Noble International Journal of Economics and Financial Research. RePEc:nap:nijefr:2017:p:125-130. Full description at Econpapers || Download paper | |
2017 | Divergent Behavior in Markets with Idiosyncratic Private Information. (2017). Goldbaum, David. In: Review of Behavioral Economics. RePEc:now:jnlrbe:105.00000064. Full description at Econpapers || Download paper | |
2017 | Comparing market power at home and abroad: evidence from Austrian banks and their subsidiaries in CESEE. (2017). Sigmund, Michael ; Feldkircher, Martin. In: Focus on European Economic Integration. RePEc:onb:oenbfi:y:2017:i:q3/17:b:4. Full description at Econpapers || Download paper | |
2017 | On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators. (2017). GUPTA, RANGAN ; Demirer, Riza ; Demos, Guilherme ; Sornette, Didier. In: Working Papers. RePEc:pre:wpaper:201752. Full description at Econpapers || Download paper | |
2017 | Optimal execution of limit and market orders with trade director, speed limiter, and fill uncertainty. (2017). Leung, Tim ; Ward, Brian ; Concha, Julio ; Bulthuis, Brian. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500207. Full description at Econpapers || Download paper | |
2017 | Contests as selection mechanisms: The impact of risk aversion. (2017). March, Christoph ; Sahm, Marco. In: BERG Working Paper Series. RePEc:zbw:bamber:127. Full description at Econpapers || Download paper | |
2017 | Fiscal consolidations and finite planning horizons. (2017). Mavromatis, Kostas(Konstantinos) ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:130. Full description at Econpapers || Download paper | |
2017 | Managing unanchored, heterogeneous expectations and liquidity traps. (2017). Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:131. Full description at Econpapers || Download paper | |
2017 | Fiscal consolidations and heterogeneous expectations. (2017). Mavromatis, Kostas(Konstantinos) ; Hommes, Cars ; Lustenhouwer, Joep. In: BERG Working Paper Series. RePEc:zbw:bamber:132. Full description at Econpapers || Download paper | |
2017 | Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market. (2017). Schasfoort, Joeri ; Stockermans, Christopher. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201763. Full description at Econpapers || Download paper |
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2016 | Polynomial Diffusion Models for Life Insurance Liabilities. (2016). Biagini, Francesca ; Zhang, Yinglin . In: Papers. RePEc:arx:papers:1602.07910. Full description at Econpapers || Download paper | |
2016 | Short selling constraints and stock returns volatility: empirical evidence from the German stock market. (2016). Wilfling, Bernd ; Reher, Gerrit ; Bohl, Martin T. In: CQE Working Papers. RePEc:cqe:wpaper:4516. Full description at Econpapers || Download paper | |
2016 | An extreme value analysis of the last century crises across industries in the U.S. economy. (2016). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Working Papers. RePEc:ial:wpaper:02/2016. Full description at Econpapers || Download paper | |
2016 | Maximizing excess return per unit variance: A novel investment management objective. (2016). Glabadanidis, Paskalis. In: Journal of Asset Management. RePEc:pal:assmgt:v:17:y:2016:i:7:d:10.1057_jam.2016.11. Full description at Econpapers || Download paper | |
2016 | Oil price, exchange rate and consumer price co-movement: A continuous-wavelet analysis. (2016). Habimana, Olivier. In: MPRA Paper. RePEc:pra:mprapa:71886. Full description at Econpapers || Download paper | |
2016 | Oil prices and sovereign credit risk of oil producing countries: an empirical investigation. (2016). von Mettenheim, Hans-Jörg ; Wegener, Christoph ; Kunze, Frederik ; Basse, Tobias. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:12:p:1961-1968. Full description at Econpapers || Download paper | |
2016 | Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes. (2016). Zeng, Pingping ; Kwok, Yue Kuen. In: Quantitative Finance. RePEc:taf:quantf:v:16:y:2016:i:9:p:1375-1391. Full description at Econpapers || Download paper | |
2016 | THE EFFECT OF HETEROGENEITY ON FINANCIAL CONTAGION DUE TO OVERLAPPING PORTFOLIOS. (2016). Harrald, Paul ; Medda, Francesca ; Caccioli, Fabio ; Banwo, Opeoluwa. In: Advances in Complex Systems (ACS). RePEc:wsi:acsxxx:v:19:y:2016:i:08:n:s0219525916500168. Full description at Econpapers || Download paper |
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2015 | Stress for Success: A Review of Timothy Geithners Financial Crisis Memoir. (2015). Gorton, Gary. In: Journal of Economic Literature. RePEc:aea:jeclit:v:53:y:2015:i:4:p:975-95. Full description at Econpapers || Download paper | |
2015 | Can a stochastic cusp catastrophe model explain housing market crashes?. (2015). Wang, J. In: CeNDEF Working Papers. RePEc:ams:ndfwpp:15-12. Full description at Econpapers || Download paper | |
2015 | Asset Price Bubbles. (2015). Jarrow, Robert. In: Annual Review of Financial Economics. RePEc:anr:refeco:v:7:y:2015:p:201-218. Full description at Econpapers || Download paper | |
2015 | Club Convergence of House Prices: Evidence from Chinas Ten Key Cities. (2015). Meng, Hao ; Xie, Wen-Jie ; Zhou, Wei-Xing. In: Papers. RePEc:arx:papers:1503.05550. Full description at Econpapers || Download paper | |
2015 | Quadratic Hawkes processes for financial prices. (2015). Blanc, Pierre ; Bouchaud, Jean-Philippe ; Donier, Jonathan . In: Papers. RePEc:arx:papers:1509.07710. Full description at Econpapers || Download paper | |
2015 | Patterns of trading profiles at the Nordic Stock Exchange. A correlation-based approach. (2015). Mantegna, Rosario ; Musciotto, Federico ; Piilo, Jyrki ; Micciche, Salvatore ; Marotta, Luca . In: Papers. RePEc:arx:papers:1511.06873. Full description at Econpapers || Download paper | |
2015 | Strategic Interactions and Contagion Effects under Monetary Unions. (2015). Piersanti, Giovanni ; Di Bartolomeo, Giovanni ; Canofari, Paolo. In: The World Economy. RePEc:bla:worlde:v:38:y:2015:i:10:p:1618-1629. Full description at Econpapers || Download paper | |
2015 | Bank Networks: Contagion, Systemic Risk and Prudential Policy. (2015). Faia, Ester ; Delli Gatti, Domenico ; Aldasoro, Iñaki. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:10540. Full description at Econpapers || Download paper | |
2015 | Interconnectedness of the banking sector as a vulnerability to crises. (2015). Rancan, Michela ; Peltonen, Tuomas ; Sarlin, Peter. In: Working Paper Series. RePEc:ecb:ecbwps:20151866. Full description at Econpapers || Download paper | |
2015 | The role of bank relationships in the interbank market. (2015). Montes-Rojas, Gabriel ; Iori, Giulia ; Temizsoy, Asena . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:59:y:2015:i:c:p:118-141. Full description at Econpapers || Download paper | |
2015 | Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; HOANG, Thi Hong Van ; Zhu, Zhenzhen. In: Economic Modelling. RePEc:eee:ecmode:v:50:y:2015:i:c:p:200-211. Full description at Econpapers || Download paper | |
2015 | Is gold good for portfolio diversification? A stochastic dominance analysis of the Paris stock exchange. (2015). Wong, Wing-Keung ; Lean, Hooi Hooi ; HOANG, Thi Hong Van. In: International Review of Financial Analysis. RePEc:eee:finana:v:42:y:2015:i:c:p:98-108. Full description at Econpapers || Download paper | |
2015 | A comparison of the convenience yield and interest-adjusted basis. (2015). Fouquau, Julien ; Six, Pierre. In: Finance Research Letters. RePEc:eee:finlet:v:14:y:2015:i:c:p:142-149. Full description at Econpapers || Download paper | |
2015 | Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. (2015). Lleo, Sebastien ; Ziemba, William T.. In: International Journal of Forecasting. RePEc:eee:intfor:v:31:y:2015:i:2:p:399-425. Full description at Econpapers || Download paper | |
2015 | Dynamical macroprudential stress testing using network theory. (2015). Levy-Carciente, Sary ; Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Kenett, Dror Y. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:59:y:2015:i:c:p:164-181. Full description at Econpapers || Download paper | |
2015 | The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?. (2015). Rodriguez, Rosa ; Malagon, Juliana ; Moreno, David. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:60:y:2015:i:c:p:224-238. Full description at Econpapers || Download paper | |
2015 | MA trading rules, herding behaviors, and stock market overreaction. (2015). Ni, Yensen ; Huang, Paoyu ; Liao, Yi-Ching . In: International Review of Economics & Finance. RePEc:eee:reveco:v:39:y:2015:i:c:p:253-265. Full description at Econpapers || Download paper | |
2015 | Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Econometric Institute Research Papers. RePEc:ems:eureir:78718. Full description at Econpapers || Download paper | |
2015 | The Italian Corporate System: SOEs, Private Firms and Institutions in a Network Perspective (1952-1983). (2015). Bargigli, Leonardo ; Giannetti, Renato . In: Working Papers - Economics. RePEc:frz:wpaper:wp2015_01.rdf. Full description at Econpapers || Download paper | |
2015 | Dependence Uncertainty Bounds for the Expectile of a Portfolio. (2015). Vanduffel, Steven ; Jakobsons, Edgars. In: Risks. RePEc:gam:jrisks:v:3:y:2015:i:4:p:599-623:d:60385. Full description at Econpapers || Download paper | |
2015 | Measuring Contagion-Induced Funding Liquidity Risk in Sovereign Debt Markets. (2015). Hui, Cho-Hoi ; Fong, Tom ; Zheng, Xiao-Fen ; Lo, Chi-Fai. In: Working Papers. RePEc:hkm:wpaper:182015. Full description at Econpapers || Download paper | |
2015 | Designing Effective Macroprudential Stress Tests; Progress So Far and the Way Forward. (2015). Demekas, Dimitri. In: IMF Working Papers. RePEc:imf:imfwpa:15/146. Full description at Econpapers || Download paper | |
2015 | Dynamical Macroprudential Stress Testing Using Network Theory. (2015). Havlin, Shlomo ; Stanley, Eugene H ; Avakian, Adam ; Levy-Carciente, Sary ; Kenett, Dror Y. In: Working Papers. RePEc:ofr:wpaper:15-12. Full description at Econpapers || Download paper | |
2015 | Measuring the Unmeasurable: An Application of Uncertainty Quantification to Financial Portfolios. (2015). Sowers, Richard B ; Flood, Mark D ; Chen, Jingnan. In: Working Papers. RePEc:ofr:wpaper:15-19. Full description at Econpapers || Download paper | |
2015 | Contagion in Financial Networks. (2015). Glasserman, Paul ; Young, Peyton. In: Economics Series Working Papers. RePEc:oxf:wpaper:764. Full description at Econpapers || Download paper | |
2015 | Could the global financial crisis improve the performance of the G7 stocks markets?. (2015). Zhenzhen, Zhu ; Wong, Wing-Keung ; Vieito, Joo Paulo ; Zhu, Zhenzhen. In: MPRA Paper. RePEc:pra:mprapa:66521. Full description at Econpapers || Download paper | |
2015 | Networks of value added trade. (2015). Cabral, Sonia ; Amador, João. In: Working Papers. RePEc:ptu:wpaper:w201516. Full description at Econpapers || Download paper | |
2015 | Network science: a useful tool in economics and finance. (2015). Kenett, Dror ; Havlin, Shlomo. In: Mind & Society: Cognitive Studies in Economics and Social Sciences. RePEc:spr:minsoc:v:14:y:2015:i:2:p:155-167. Full description at Econpapers || Download paper | |
2015 | European Government Bond Dynamics and Stability Policies: Taming Contagion Risks. (2015). Hillebrand, Martin ; Ott, Thomas ; Schuele, Martin ; Schwendner, Peter . In: Working Papers. RePEc:stm:wpaper:8. Full description at Econpapers || Download paper | |
2015 | Input-output-based measures of systemic importance. (2015). Angeloni, Ignazio ; Aldasoro, Iñaki. In: Quantitative Finance. RePEc:taf:quantf:v:15:y:2015:i:4:p:589-606. Full description at Econpapers || Download paper | |
2015 | Financial stability from a network perspective. (2015). Leon Rincon, C. E., . In: Other publications TiSEM. RePEc:tiu:tiutis:bb2e4e44-e842-45c6-a946-4ba7bdffb65c. Full description at Econpapers || Download paper | |
2015 | Behavioural, Financial, and Health & Medical Economics: A Connection. (2015). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1514. Full description at Econpapers || Download paper | |
2015 | Cost-efficiency in multivariate Lévy models. (2015). Ludger, Ruschendorf ; Viktor, Wolf . In: Dependence Modeling. RePEc:vrs:demode:v:3:y:2015:i:1:p:16:n:1. Full description at Econpapers || Download paper | |
2015 | COUPLED NETWORK APPROACH TO PREDICTABILITY OF FINANCIAL MARKET RETURNS AND NEWS SENTIMENTS. (2015). Curme, Chester ; Vodenska, Irena ; Stanley, Eugene H. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500430. Full description at Econpapers || Download paper | |
2015 | THE MULTI-CURVE POTENTIAL MODEL. (2015). Nguyen, The Anh ; Seifried, Frank Thomas. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:18:y:2015:i:07:n:s0219024915500491. Full description at Econpapers || Download paper | |
2015 | Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102. Full description at Econpapers || Download paper | |
2015 | Multiplex interbank networks and systemic importance: An application to European data. (2015). Aldasoro, Iñaki ; Alves, Ivan . In: SAFE Working Paper Series. RePEc:zbw:safewp:102r. Full description at Econpapers || Download paper |