Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide Computing the survival probability in the Madan-Unal credit risk model: application to the CDS market. (English) Zbl 1402.91838 Quant. Finance 17, No. 2, 299-313 (2017). MSC: 91G40 PDF BibTeX XML Cite \textit{L. V. Ballestra} et al., Quant. Finance 17, No. 2, 299--313 (2017; Zbl 1402.91838) Full Text: DOI
Raddant, Matthias; Wagner, Friedrich Transitions in the stock markets of the US, UK and Germany. (English) Zbl 1402.91990 Quant. Finance 17, No. 2, 289-297 (2017). MSC: 91G99 PDF BibTeX XML Cite \textit{M. Raddant} and \textit{F. Wagner}, Quant. Finance 17, No. 2, 289--297 (2017; Zbl 1402.91990) Full Text: DOI
Bernis, Guillaume; Scotti, Simone Alternative to beta coefficients in the context of diffusions. (English) Zbl 1402.91976 Quant. Finance 17, No. 2, 275-288 (2017). MSC: 91G99 PDF BibTeX XML Cite \textit{G. Bernis} and \textit{S. Scotti}, Quant. Finance 17, No. 2, 275--288 (2017; Zbl 1402.91976) Full Text: DOI
Desmettre, Sascha; Grün, Sarah; Seifried, Frank Thomas Estimating discrete dividends by no-arbitrage. (English) Zbl 1402.91770 Quant. Finance 17, No. 2, 261-274 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Desmettre} et al., Quant. Finance 17, No. 2, 261--274 (2017; Zbl 1402.91770) Full Text: DOI
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey Optimal investment under multi-factor stochastic volatility. (English) Zbl 1402.91688 Quant. Finance 17, No. 2, 241-260 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{M. Escobar} et al., Quant. Finance 17, No. 2, 241--260 (2017; Zbl 1402.91688) Full Text: DOI
Zang, Xin; Ni, Jun; Huang, Jing-Zhi; Wu, Lan Double-jump diffusion model for VIX: evidence from VVIX. (English) Zbl 1402.91824 Quant. Finance 17, No. 2, 227-240 (2017). MSC: 91G20 60J75 PDF BibTeX XML Cite \textit{X. Zang} et al., Quant. Finance 17, No. 2, 227--240 (2017; Zbl 1402.91824) Full Text: DOI
Tsang, Edward P. K.; Tao, Ran; Serguieva, Antoaneta; Ma, Shuai Profiling high-frequency equity price movements in directional changes. (English) Zbl 1402.91738 Quant. Finance 17, No. 2, 217-225 (2017). MSC: 91G10 PDF BibTeX XML Cite \textit{E. P. K. Tsang} et al., Quant. Finance 17, No. 2, 217--225 (2017; Zbl 1402.91738) Full Text: DOI
Gerlach, Richard; Walpole, Declan; Wang, Chao Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility. (English) Zbl 1402.91913 Quant. Finance 17, No. 2, 199-215 (2017). MSC: 91G70 62M20 PDF BibTeX XML Cite \textit{R. Gerlach} et al., Quant. Finance 17, No. 2, 199--215 (2017; Zbl 1402.91913) Full Text: DOI
Fukasawa, Masaaki Short-time at-the-money skew and rough fractional volatility. (English) Zbl 1402.91777 Quant. Finance 17, No. 2, 189-198 (2017). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{M. Fukasawa}, Quant. Finance 17, No. 2, 189--198 (2017; Zbl 1402.91777) Full Text: DOI
Blanc, P.; Donier, J.; Bouchaud, J.-P. Quadratic Hawkes processes for financial prices. (English) Zbl 1402.91905 Quant. Finance 17, No. 2, 171-188 (2017). MSC: 91G70 62M10 PDF BibTeX XML Cite \textit{P. Blanc} et al., Quant. Finance 17, No. 2, 171--188 (2017; Zbl 1402.91905) Full Text: DOI