What's Beneath the Surface? Option Pricing with Multifrequency Latent States
M. Leippold, L. Calvet, M. Fearnly, A. Fisher
Academic Publications
1. Jan. 2015
Using Trading Strategies to Detect phase Transitions in Financial Markets
D. Sornette, Z. Forro and R. Woodard
Academic Publications
1. Jan. 2015
Uncertainty, Information Acquisition and Price Swings in Asset Markets
A. Mele, F. Sangiorgi
Academic Publications
1. Jan. 2015
Transaction-Based and Appraisal-Based Capitalization Rate Determinants
M. Hoesli, A. Chaney
Academic Publications
1. Jan. 2015
Trading with Small Price Impact
H. Soner, L. Moreau, J. Muhle-Karbe
Academic Publications
1. Jan. 2015
The War Puzzle: Contradictory Effects of International Conflicts on Stock Markets
T. Hens, A. Brune, M.O. Rieger, and M. Wang
Academic Publications
1. Jan. 2015
The Perennial Challenge to Counter Too-Big-To-Fail in Banking: Empirical Evidence From the New International Regulation Dealing with Global Systemically Important Banks
S. Ongena, S. C. Moenninghoff and A. Wieandt
Academic Publications
1. Jan. 2015
The International Diversification of Banks and the Value of their Cross-border M&A Advice
S. Ongena, A. De Jong, A. Rajamani, and M. Van der Poel
Academic Publications
1. Jan. 2015
The Impact of Foreign Bank Presence on Foreign Direct Investment in China
S. Ongena, S. Qi and F. Qin
Academic Publications
1. Jan. 2015
The Impact of Cointegration on Commodity Spread Options
W. Farkas, E. Gourier, R. Huitema, C. Necula
Academic Publications
1. Jan. 2015
The Gärtner-Ellis Theorem, Homogenization, and Affine Processes, in Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics Series, vol. 110,
J. Teichmann, A. Gulisashvili eds. P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann
Academic Publications
1. Jan. 2015
The Economic Impact of Merger Control Legislation
S. Ongena, E. Carletti, P. Hartmann
Academic Publications
1. Jan. 2015
The Dynamics of Squared Returns Under Contemporaneous Aggregation of GARCH Models
E. Jondeau
Academic Publications
1. Jan. 2015
The Demand for Liquid Assets, Corporate Saving, and International Capital Flows
P. Bacchetta, K. Benhima
Academic Publications
1. Jan. 2015