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DateTitle Authors
2012 Identifying time variability in stock and interest rate dependenceStein, Michael / Islami, Mevlud / Lindemann, Jens
2014 Machine News and Volatility: The Dow Jones Industrial Average and the TRNA Sentiment SeriesAllen, David E. / McAleer, Michael / Singh, Abhay K.
2014 New HEAVY Models for Fat-Tailed Returns and Realized Covariance KernelsJanus, Pawel / Lucas, André / Opschoor, Anne
2010 Equity premium predictions with adaptive macro indexesBai, Jennie
2014 A Multiple Testing Approach to the Regularisation of Large Sample Correlation MatricesBailey, Natalia / Pesaran, M. Hashem / Smith, L. Vanessa
2013 Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility predictionDuong, Diep / Swanson, Norman R.
2014 TEDAS - Tail Event Driven ASset AllocationHärdle, Wolfgang Karl / Nasekin, Sergey / Lee, David Kuo Chuen / Fai, Phoon Kok
2014 Estimating the spot covariation of asset prices: Statistical theory and empirical evidenceBibinger, Markus / Hautsch, Nikolaus / Malec, Peter / Reiss, Markus
2014 Localising forward intensities for multiperiod corporate defaultDedy Dwi Prastyo / Härdle, Wolfgang Karl
2014 Beyond dimension two: A test for higher-order tail riskBormann, Carsten / Schienle, Melanie / Schaumburg, Julia

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