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CoFE-Diskussionspapiere, Universität Konstanz

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DateTitle Authors
2008 Importance sampling for backward SDEsBendera, Christian / Moseler, Thilo
2008 Managerial responses to incentives: control of firm risk, derivative pricing implications, and outside wealth managementJackwerth, Jens Carsten / Hodder, James E.
2008 Kinetic equations modelling wealth redistribution: a comparison of approachesDüring, Bertram / Matthes, Daniel / Toscani, Giuseppe
2008 Filtered Log-periodogram Regression of long memory processesFeng, Yuanhua / Beran, Jan
2008 Modelling and forecasting multivariate realized volatilityChiriac, Roxana / Voev, Valeri
2008 A nonparametric regression cross spectrum for multivariate time seriesBeran, Jan
2008 Asset pricing under information with stochastic volatilityDüring, Bertram
2008 International and domestic trading and wealth distributionDüring, Bertram / Toscani, Giuseppe
2008 Are options on index futures profitable for risk averse investors? Empirical evidenceJackwerth, Jens Carsten / Constantinides, George M. / Czerwonko, Michal / Perrakis, Stelios
2008 Recovering delisting returns of hedge fundsHodder, James E. / Jackwerth, Jens Carsten / Kolokolova, Olga
2008 A Boltzmann-type approach to the formation of wealth distribution curvesDüring, Bertram / Matthes, Daniel / Toscani, Giuseppe
2007 Information asymmetries and securitization designFranke, Günter / Herrmann, Markus / Weber, Thomas
2007 Two-dimensional risk neutral valuation relationships for the pricing of optionsFranke, Günter / Huang, James / Stapleton, Richard C.
2007 Customer trading in the foreign exchange market empirical evidence from an internet trading platformLechner, Sandra / Nolte, Ingmar
2007 Panel intensity models with latent factors: an application to the trading dynamics on the foreign exchange marketNolte, Ingmar / Voev, Valeri
2007 Securitisation of mezzanine capital in GermanyFranke, Günter / Hein, Julia
2007 On parameter estimation for locally stationary long-memory processesBeran, Jan
2007 Hydrodynamics from kinetic models of conservative economiesDüring, B. / Toscani, Giuseppe
2007 Non-market wealth, background risk and portfolio choiceFranke, Günter / Schlesinger, Harris / Stapleton, Richard C.
2007 Dynamic modeling of large dimensional covariance matricesVoev, Valeri
2007 Estimation of a nonparametric regression spectrum for multivariate time seriesBeran, Jan / Heiler, Mark A.
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