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Pairs trading with general state space models
Zhang, Guang - In: Quantitative finance 21 (2021) 9, pp. 1567-1587
Persistent link: https://www.econbiz.de/10012624158
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The interest rate factor in commodity markets
Shu, Haicheng - In: Quantitative finance 21 (2021) 12, pp. 2103-2118
Persistent link: https://www.econbiz.de/10012696821
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Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Varneskov, Rasmus Tangsgaard; Perron, Pierre - In: Quantitative finance 18 (2018) 3, pp. 371-393
Persistent link: https://www.econbiz.de/10011906384
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Sequential Monte Carlo for fractional stochastic volatility models
Chronopoulou, Alexandra; Spiliopoulos, Konstantinos - In: Quantitative finance 18 (2018) 3, pp. 507-517
Persistent link: https://www.econbiz.de/10011906404