Ausgabe 1/2012
Inhalt (7 Artikel)
Research Article
Signing trades and an evaluation of the Lee–Ready algorithm
Marcel Blais, Philip Protter
Research Article
Testing the local volatility assumption: a statistical approach
Mark Podolskij, Mathieu Rosenbaum
Research Article
Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
Yue Peng, Wing Lon Ng
Research Article
Strategic asset allocation with switching dependence
Donatien Hainaut, Renaud MacGilchrist
Research Article
VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
Jules Sadefo Kamdem