Effective Measure of Endogeneity for the Autoregressive Conditional Duration point Processes via Mapping to the Self-Excited Hawkes Process
D. Sornette, V. Filimonov and S. Wheatley
Academic Publications
1 jan. 2015
Dynamics of Innovation and Risks
J. Rochet, B. Biais and Paul Woolley
Academic Publications
1 jan. 2015
Dynamical System Ttheory of Periodically Collapsing Bubbles
D. Sornette, V.I. Yukalov, and E.P. Yukalova
Academic Publications
1 jan. 2015
Dynamical Signatures of Collective Quality Grading in a Social Activity: Attendance to Motion Pictures
D. Sornette, J. V. Escobar
Academic Publications
1 jan. 2015
Dynamic Competitive Economies with Complete Markets and Collateral Constraints
F. Kübler, P. Gottardi
Academic Publications
1 jan. 2015
Duality in Risk Aggregation, in Innovations in Quantitative Risk Management. Springer Proceedings in Mathematics & Statistics
P. Embrechts, R. Hauser and S. Shahverdyan, eds. K. Glau, M. Scherer and R. Zagst
Academic Publications
1 jan. 2015
Double Chain Ladder, Claims Development Inflation and Zero Claims
M. Wüthrich, M.D. Martinez-Miranda, J. Nielsen, R. Verrall
Academic Publications
1 jan. 2015
Do Public Real Estate Returns Really Lead Private Returns?
M. Hoesli, E. Oikarinen, and C. Serrano
Academic Publications
1 jan. 2015
Do Prices Reveal the Presence of Informed Trading?
P. Collin-Dufresne, V. Fos
Academic Publications
1 jan. 2015
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
H. Albrecher, V. Lautscham
Academic Publications
1 jan. 2015
Dividend Dynamics and the Term Structure of Dividends Strips
P. Collin-Dufresne, F. Belo and R. Goldstein
Academic Publications
1 jan. 2015
Determinants of the Homeownership Rate: An International Perspective
M. Hoesli, S.C. Bourassa, D.R. Haurin, P.H. Hendershott
Academic Publications
1 jan. 2015
Detecting Abnormal Trading Activities in Option Markets
L. Mancini, M. Chesney, R. Crameri
Academic Publications
1 jan. 2015
Dealer Intermediation Between Markets
H. Hau, P. Dunne and M. Moore
Academic Publications
1 jan. 2015
Credit Market Frictions and Capital Structure Dynamics
S. Malamud, E. Morellec, J. Hugonnier
Academic Publications
1 jan. 2015