| Market impact with multi-timescale liquidity
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2018 |
Benzaquen, M. |
| The micro-price : a high-frequency estimator of future prices
|
2018 |
Stoikov, Sasha |
| Beyond risk-based portfolios: balancing performance and risk contributions in asset allocation
|
2018 |
Ardia, David |
| Option augmented density forecasts of market returns with monotone pricing kernel
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2018 |
Beare, Brendan K. |
| Monetary policy and stock valuation : structural VAR identification and size effects
|
2018 |
Kontonikas, Alexandros |
| Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
|
2018 |
Bergen, V. |
| Generalized Pareto processes and fund liquidity risk
|
2018 |
Desmettre, Sascha |
| Instantaneous portfolio theory
|
2018 |
Madan, Dilip B. |
| Including commodity futures in asset allocation in China
|
2018 |
Liu, Qingfu |
| Chinese write-down bonds and bank capital structure
|
2018 |
Li, Ping |
| Modelling the shape of the limit order book
|
2018 |
Platania, Federico |
| Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
|
2018 |
Varneskov, Rasmus Tangsgaard |
| Empirical comparison of hazard models in predicting SMEs failure
|
2018 |
Gupta, Jairaj |
| Bond and option pricing for interest rate model with clustering effects
|
2018 |
Zhang, Xin |
| Risk-managed industry momentum and momentum crashes
|
2018 |
Grobys, Klaus |
| Decision trees unearth return sign predictability in the S&P 500
|
2018 |
Fiévet, Lucas |
| Heterogeneous beliefs and optimal ownership in entrepreneurial financing decisions
|
2018 |
Tavares-Gärtner, Miguel |
| Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
|
2018 |
Ji, Jingru |
| Canonical sectors and evolution of firms in the US stock markets
|
2018 |
Hayden, Lorien X. |
| Election predictions as martingales : an arbitrage approach
|
2018 |
Taleb, Nassim Nicholas |
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