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Pairs trading : the performance of a stochastic spread model with regime switching-evidence from the S&P 500
Yang, Jen-Wei; Tsai, Shu-Yu; Shyu, So-De; Chang, Chia-Chien - In: International review of economics & finance : IREF 43 (2016), pp. 139-150
Persistent link: https://www.econbiz.de/10011625559
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Hidden Markov models in finance
Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2010
Persistent link: https://www.econbiz.de/10011550091
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Advancing the state of the art
Mamon, Rogemar S. (ed.); Elliott, Robert J. (ed.) - 2010
Persistent link: https://www.econbiz.de/10008934439
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On a class of renewal queueing and risk processes
Thampi, K. K.; Jacob, M. J. - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 204-220
Persistent link: https://www.econbiz.de/10003953368
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Valuation of default-sensitive claims under imperfect information
Coculescu, Delia; Geman, Hélyette; Jeanblanc, Monique - In: Finance and stochastics 12 (2008) 2, pp. 195-218
Persistent link: https://www.econbiz.de/10003716260
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Optimal portfolio construction and active portfolio management including alternative investments
Keel, Simon Theodor (contributor) - 2006
Persistent link: https://www.econbiz.de/10003512326
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Asset Liability Methoden für Pensionskassen und private Investoren
Pfiffner, Thomas - 2006
Persistent link: https://www.econbiz.de/10003389532
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Target-based investment for long-term investors under stochastic volatility
Pelsser, Antoon André Jean; Yang, Li - 2023
Persistent link: https://www.econbiz.de/10014458738
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
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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