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ECONIS (ZBW)
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1
Statistical tests of distributional scaling properties for financial return series
Hallam, Mark
;
Olmo, Jose
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1211-1232
Persistent link: https://www.econbiz.de/10011911533
Saved in:
2
A multiple-curve Lévy forward rate model in a two-price economy
Eberlein, Ernst
;
Gerhart, Christoph
- In:
Quantitative finance
18
(
2018
)
4
,
pp. 537-561
Persistent link: https://www.econbiz.de/10011906431
Saved in:
3
Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
Kang, Zhilin
;
Li, Xun
;
Li, Zhongfei
;
Zhu, Shushang
- In:
Quantitative finance
19
(
2019
)
1
,
pp. 105-121
Persistent link: https://www.econbiz.de/10012194623
Saved in:
4
Price signatures
Oomen, Roel
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 733-761
Persistent link: https://www.econbiz.de/10012194712
Saved in:
5
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
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6
Evolutionary patterns of onshore and offshore Renminbi exchange rates with convexity-concavity indicators
Zhang, Qun
;
Sornette, Didier
;
Han, Liyan
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 367-384
Persistent link: https://www.econbiz.de/10013167760
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7
Computation of expected shortfall by fast detection of worst scenarios
Bouchard, Bruno
;
Reghai, Adil
;
Virrion, Benjamin
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1087-1108
Persistent link: https://www.econbiz.de/10012588021
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8
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.
;
Squartini, T.
;
Kandhai, D.
;
Garlaschelli, D.
- In:
Quantitative finance
21
(
2021
)
9
,
pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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9
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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10
Structural breaks in Box-Cox transforms of realized volatility : a model selection perspective
Behrendt, Simon
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1905-1919
Persistent link: https://www.econbiz.de/10012696795
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