Optimal approximations of power laws with exponentials: application to volatility models with long memory - Thierry Bochud; Damien Challet
Forecasting volatility in GARCH models with additive outliers - Beatriz Catalán; F. Javier Trívez
Conditional tail behaviour and Value at Risk - Fabio Bellini; Gianna Figà-talamanca
Value-at-risk in a market subject to regime switching - Ryohei Kawata; Masaaki Kijima
Value-at-risk forecasts under scrutiny - the German experience - Stefan Jaschke; Gerhard Stahl; Richard Stehle
The momentum effect: omitted risk factors or investor behaviour? Evidence from the Spanish stock market - Luis Muga; Rafael Santamaría
Empirical analysis of dynamic correlations of stock returns: evidence from Chinese A-share and B-share markets - Thomas C. Chiang; Lin Tan; Huimin Li
Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period - Chaker Aloui
Testing asymmetry in financial time series - Francesco Lisi
Comments on 'A theory of non-Gaussian option pricing' - Gil Adams; Yuhua Yuan; Michael Kelly
A theory of non-Gaussian option pricing - Lisa Borland
A non-Gaussian option pricing model with skew - Lisa Borland; Jean-Philippe Bouchaud
Source: Quantitative Finance