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DateTitle Authors
2011 About the impact of model risk on capital reserves: A quantitative analysisBertram, Philip / Sibbertsen, Philipp / Stahl, Gerhard
2011 A Markov-switching multifractal approach to forecasting realized volatilityLux, Thomas / Morales-Arias, Leonardo / Sattarhoff, Cristina
2013 Consistent pricing and hedging volatility derivatives with two volatility surfacesChen, Ke / Poon, Ser-Huang
2013 Variance swap premium under stochastic volatility and self-exciting jumpsChen, Ke / Poon, Ser-Huang
2013 The Size Effect in Value and Momentum Factors: Implications for the Cross-section of International Stock ReturnsAtanasov, Victoria / Nitschka, Thomas
2005 On the timing option in a futures contractBiagini, Francesca / Björk, Tomas
2004 Do Fund Managers Expect Mean Averting Returns?Stotz, Olaf / Lütje, Torben / Menkhoff, Lukas / von Nitzsch, Rüdiger
2013 Macro determinants of US stock market risk premia in bull and bear marketsBätje, Fabian / Menkhoff, Lukas
2001 A new approach to the derivation of asset price boundsLongarela, Iñaki R.
2003 Price dividend models, expectations formation, and monetary policyValckx, Nico

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