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~isPartOf:"Quantitative finance"
~person:"Endres, Sylvia"
~person:"Zumbach, Gilles O."
~subject:"Asymmetrische Information"
~subject:"Portfolio selection"
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Endres, Sylvia
Zumbach, Gilles O.
Escobar, Marcos
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Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
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2
Stochastic regularization for the mean-variance allocation scheme
Zumbach, Gilles O.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1097-1120
Persistent link: https://www.econbiz.de/10012194746
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A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
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4
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1735-1751
Persistent link: https://www.econbiz.de/10012261908
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