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Testing for reduction to random walk in autoregressive conditional heteroskedasticity model
Klüppelberg, Claudia
;
Maller, Ross A.
;
Vyver, Mark van de
-
2001
Persistent link: https://www.econbiz.de/10001744688
Saved in:
2
Testing for reducing to random walk in autogressive conditional heteroskedasticity models
Klüppelberg, Claudia
;
Maller, Ross A.
;
Vyver, Mark van de
- In:
The econometrics journal
5
(
2002
)
2
,
pp. 387-416
Persistent link: https://www.econbiz.de/10001713307
Saved in:
3
Risk management with extreme value theory
Klüppelberg, Claudia
-
2002
Persistent link: https://www.econbiz.de/10001745767
Saved in:
4
Optimal portfolio choice using the maximum Sharpe ratio
Maller, Ross A.
;
Durand, Robert B.
;
Jafarpour, Hediah
- In:
Journal of risk
12
(
2009/10
)
4
,
pp. 49-73
Persistent link: https://www.econbiz.de/10003995406
Saved in:
5
The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot
;
Durand, Robert B.
;
Maller, Ross A.
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
Saved in:
6
On the performance of the minimum VAR portfolio
Durand, Robert B.
;
Gould, John
;
Maller, Ross A.
- In:
The European journal of finance
17
(
2011
)
7/8
,
pp. 553-576
Persistent link: https://www.econbiz.de/10009509846
Saved in:
7
Finite time ruin probabilities for tempered stable insurance risk processes
Griffin, Philip S.
;
Maller, Ross A.
;
Roberts, Dale
- In:
Insurance / Mathematics & economics
53
(
2013
)
2
,
pp. 478-489
Persistent link: https://www.econbiz.de/10010195908
Saved in:
8
Asymptotic distributions of the overshoot and undershoots for the Lévy insurance risk process in the Cramér and convolution equivalent cases
Griffin, Philip S.
;
Maller, Ross A.
;
Schaik, Kees van
- In:
Insurance / Mathematics & economics
51
(
2012
)
2
,
pp. 382-392
Persistent link: https://www.econbiz.de/10009669554
Saved in:
9
Ornstein-Uhlenbeck processes and extensions
Maller, Ross A.
;
Müller, Gernot
;
Szimayer, Alexander
- In:
Handbook of financial time series
,
(pp. 421-437)
.
2009
Persistent link: https://www.econbiz.de/10003833975
Saved in:
10
A multinominal approximation for American option prices in Lévy process models
Maller, Ross A.
;
Solomon, David Henry
;
Szimayer, Alex
- In:
Mathematical finance : an international journal of …
16
(
2006
)
4
,
pp. 613-633
Persistent link: https://www.econbiz.de/10003394175
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