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Annals Of Finance, Tập 8, Số 1, 2012
Mục lục:
DòngNội dung
1Signing trades and an evaluation of the Lee--Ready algorithm / Marcel Blais, Philip Protter
2Conditions for rational investment short-termism / George A. Christodoulakis
3Testing the local volatility assumption: a statistical approach / Mark Podolskij, Mathieu Rosenbaum
4Analysing financial contagion and asymmetric market dependence with volatility indices via copulas / Yue Peng, Wing Lon Ng
5Strategic asset allocation with switching dependence / Donatien Hainaut, Renaud MacGilchrist
6Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios / Ba Chu
7VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors / Jules Sadefo Kamdem