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Results 1-10 of 38.
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| Date | Title |
Authors |
| 2011 | Martingale approach in pricing and hedging European options under regime-switching | Milstein, Grigori N. / Spokoiny, Vladimir |
| 2011 | Empirical evidence on jumps and large fluctuations in individual stocks | Doung, Diep / Swanson, Norman |
| 2011 | Volatility in discrete and continuous time models: A survey with new evidence on large and small jumps | Duong, Diep / Swanson, Norman |
| 2011 | Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise | Reiß, Markus |
| 2012 | Arima-Garch models in estimating market risk using value at risk for the WIG20 index | Makiel, Kamil |
| 2012 | Structural change and spurious persistence in stochastic volatility | Krämer, Walter / Messow, Philip |
| 2012 | Pricing synthetic CDOs using a three regime Random-Factor-Loading Model | Messow, Philip |
| 2010 | Equity premium predictions with adaptive macro indexes | Bai, Jennie |
| 2012 | Identifying time variability in stock and interest rate dependence | Stein, Michael / Islami, Mevlud / Lindemann, Jens |
| 2011 | Spectral estimation of covolatility from noisy observations using local weights | Bibinger, Markus / Reiß, Markus |
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