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Economic Statistics, Econometrics, Business Informatics
Hits 41-50 within 55 documents
Random matrix ensembles of time-lagged correlation matrices: derivation of eigenvalue spectra and analysis of financial time-series [journal article]
Source: Quantitative Finance, 8 (2008) 7. p.705-722
Risk minimization in stochastic volatility models: model risk and empirical performance [journal article]
Source: Quantitative Finance, 9 (2009) 6. p.693-704
Spectral methods for volatility derivatives [journal article]
Source: Quantitative Finance, 9 (2009) 6. p.663-692
Well-posedness and invariant measures for HJM models with deterministic volatility and Lévy noise [journal article]
Source: Quantitative Finance, 10 (2010) 1. p.39-47
Pricing a class of exotic commodity options in a multi-factor jump-diffusion model [journal article]
Source: Quantitative Finance, 8 (2008) 5. p.471-483
Bond Pricing when the Short-Term Interest Rate Follows a Threshold Process [journal article]
Source: Quantitative Finance, 8 (2008) 8. p.811-822
A Two-Factor Model for the Electricity Forward Market [journal article]
Source: Quantitative Finance, 9 (2009) 3. p.279-287
A Cross-Currency Lévy Market Model [journal article]
Source: Quantitative Finance, 6 (2006) 6. p.465-480
The momentum effect: Omitted risk factors or investor behaviour? Some evidence from the Spanish stock market [journal article]
Source: Quantitative Finance, 7 (2007) 6. p.637-650
Gram-Charlier densities: A multivariate approach [journal article]
Source: Quantitative Finance, 9 (2009) 7. p.855-868