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Unveiling the relation between herding and liquidity with trader lead-lag networks
Campajola, Carlo; Lillo, Fabrizio; Tantari, Daniele - In: Quantitative finance 20 (2020) 11, pp. 1765-1778
Persistent link: https://www.econbiz.de/10012313511
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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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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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Variable annuities in a Lévy-based hybrid model with surrender risk
Ballotta, Laura; Eberlein, Ernst; Schmidt, Thorsten; … - In: Quantitative finance 20 (2020) 5, pp. 867-886
Persistent link: https://www.econbiz.de/10012262632
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665
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A cluster driven log-volatility factor model : a deepening on the source of the volatility clustering
Verma, Anshul; Buonocore, R. J.; Di Matteo, Tiziana - In: Quantitative finance 19 (2019) 6, pp. 981-996
Persistent link: https://www.econbiz.de/10012194736
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A path-integral approximation for non-linear diffusions
Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36
Persistent link: https://www.econbiz.de/10012194852
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High-dimensional sparse index tracking based on a multi-step convex optimization approach
Shi, Fangquan; Shu, Lianjie; Luo, Yiling; Huo, Xiaoming - In: Quantitative finance 23 (2023) 9, pp. 1361-1372
Persistent link: https://www.econbiz.de/10014339936
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GDP-linked bonds as a new asset class
Papavassiliou, Ellie; Topaloglou, Nikolas; Zenios, … - In: Quantitative finance 24 (2024) 8, pp. 1177-1195
Persistent link: https://www.econbiz.de/10015196876
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Improving out-of-sample forecasts of stock price indexes with forecast reconciliation and clustering
Mattera, Raffaele; Athanasopoulos, George; Hyndman, Rob J. - In: Quantitative finance 24 (2024) 11, pp. 1641-1667
Persistent link: https://www.econbiz.de/10015196952