Taylor and Francis Journals
Quantitative Finance
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2013, Volume 13, Issue 1
- 1-11 Empirical performance of models for barrier option valuation
by Cathrine Jessen & Rolf Poulsen - 13-23 Optimizing a basket against the efficient market hypothesis
by Frédéric Abergel & Mauro Politi - 25-26 Dark Markets, by Darrell Duffie
by Viral V. Acharya - 29-44 The statistical properties of the innovations in multivariate ARCH processes in high dimensions
by Gilles Zumbach - 45-63 Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
by Dolores Furi� & Francisco J. Climent - 65-77 Modelling microstructure noise with mutually exciting point processes
by E. Bacry & S. Delattre & M. Hoffmann & J. F. Muzy - 79-94 Optimal high-frequency trading with limit and market orders
by Fabien Guilbaud & Huy�n Pham - 95-109 The British call option
by Goran Peskir & Farman Samee - 111-123 Derivatives pricing with marked point processes using tick-by-tick data
by �lvaro Cartea - 125-136 The valuation of structured products using Markov chain models
by Dilip B. Madan & Martijn Pistorius & Wim Schoutens - 137-157 American step-up and step-down default swaps under Lévy models
by Tim Leung & Kazutoshi Yamazaki
2012, Volume 12, Issue 12
- 1773-1777 Inconvenience yield, or the theory of normal contango
by Ilia Bouchouev - 1779-1785 Long--short versus long-only commodity funds
by John M. Mulvey - 1787-1789 The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin
by Lloyd Kurtz - 1795-1809 Determinants of oil futures prices and convenience yields
by M. A. H. Dempster & Elena Medova & Ke Tang - 1811-1826 Pricing and hedging of long-term futures and forward contracts by a three-factor model
by Kenichiro Shiraya & Akihiko Takahashi - 1827-1837 An empirical study of the impact of skewness and kurtosis on hedging decisions
by Jing-Yi Lai - 1839-1855 Analyzing the dynamics of the refining margin: implications for valuation and hedging
by Andrés García Mirantes & Javier Poblaci�n & Gregorio Serna - 1857-1875 Quantitative spread trading on crude oil and refined products markets
by Mark Cummins & Andrea Bucca - 1877-1891 Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market
by Yijun Du & Chen Wang & Yibing Du - 1893-1908 Time-frequency analysis of crude oil and S&P500 futures contracts
by Joseph McCarthy & Alexei G. Orlov - 1909-1934 Short-horizon return predictability and oil prices
by Jaime Casassus & Freddy Higuera - 1935-1949 Modeling the distribution of day-ahead electricity returns: a comparison
by Sandro Sapio - 1951-1965 The valuation of clean spread options: linking electricity, emissions and fuels
by René Carmona & Michael Coulon & Daniel Schwarz
2012, Volume 12, Issue 11
- 1629-1636 The end of diversification
by Jessica James & Kristjan Kasikov & Kerry-Ann Edwards - 1637-1645 A look at side-by-side management: evidence from ETFs and mutual funds
by Herminio Romero-Pérez & Javier Rodríguez - 1647-1648 Finance and the Good Society, by Robert J. Shiller
by Con Keating - 1651-1662 Robust and adaptive algorithms for online portfolio selection
by Theodoros Tsagaris & Ajay Jasra & Niall Adams - 1663-1678 Pricing the Chicago Board of Trade T-Bond futures
by Ramzi Ben-Abdallah & Hatem Ben-Ameur & Mich�le Breton - 1679-1694 Options on realized variance by transform methods: a non-affine stochastic volatility model
by Gabriel G. Drimus - 1695-1708 Truncation and acceleration of the Tian tree for the pricing of American put options
by Ting Chen & Mark Joshi - 1709-1721 The macroeconomic content of international equity market factors
by Sarantis Tsiaplias - 1723-1732 Testing for a rational bubble under long memory
by Michael Fr�mmel & Robinson Kruse - 1733-1751 The effect of neglecting the slope parameters’ heterogeneity on dynamic models of corporate capital structure
by Maria Elena Bontempi & Roberto Golinelli - 1753-1772 An experimental study on real-options strategies
by Mei Wang & Abraham Bernstein & Marc Chesney
2012, Volume 12, Issue 10
- 1467-1475 Capital regulation and auditing
by Ensar Yilmaz & Burak �nveren - 1477-1486 On the role of risk in the Morningstar rating for mutual funds
by Francesco Lisi & Massimiliano Caporin - 1487-1489 Financial Economics: A Concise Introduction to Classical and Behavioral Finance, by T. Hens and M. O. Rieger
by Alec N. Kercheval - 1493-1520 Dynamical clustering of exchange rates
by Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones - 1521-1532 Do jumps mislead the FX market?
by Jean-Yves Gnabo & Jér�me Lahaye & Sébastien Laurent & Christelle Lecourt - 1533-1546 Trending time-varying coefficient market models
by Chongshan Zhang & Xiangrong Yin - 1547-1556 Market risks in asset management companies
by Bernd Scherer - 1557-1569 Fast simulations in credit risk
by Halis Sak & Wolfgang H�rmann - 1571-1583 A new method for generating approximation algorithms for financial mathematics applications
by Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru - 1585-1597 Consumer confidence and stock returns over market fluctuations
by Shiu-Sheng Chen - 1599-1614 Firm size, information acquisition and price efficiency
by Tian Zhao - 1615-1628 Optimal insurance contract and coverage levels under loss aversion utility preference
by Ching-Ping Wang & Hung-Hsi Huang
2012, Volume 12, Issue 9
- 1315-1324 VaR limits for pension funds: an evaluation
by Solange M. Berstein & R�mulo A. Chumacero - 1325-1333 Two stock options at the races: Black--Scholes forecasts
by G. Oshanin & G. Schehr - 1335-1336 Boomerang, by Michael Lewis
by Nicholas Dunbar - 1339-1349 A liquidity-based model for asset price bubbles
by Robert A. Jarrow & Philip Protter & Alexandre F. Roch - 1351-1365 Financial crisis dynamics: attempt to define a market instability indicator
by Youngna Choi & Raphael Douady - 1367-1379 Statistical signatures in times of panic: markets as a self-organizing system
by Lisa Borland - 1381-1394 Z -Transform and preconditioning techniques for option pricing
by Gianluca Fusai & Daniele Marazzina & Marina Marena & Michael Ng - 1395-1419 The price impact of order book events: market orders, limit orders and cancellations
by Zolt�n Eisler & Jean-Philippe Bouchaud & Julien Kockelkoren - 1421-1437 Volatility behavior, information efficiency and risk in the S&P 500 index markets
by Shu-Mei Chiang & Huimin Chung & Chien-Ming Huang - 1439-1451 IPO pricing: a case of short-sale restrictions and divergent expectations
by Richard J. Kish & Nandkumar Nayar & Wenlong Weng - 1453-1466 A paradigm shift from production function to production copula: statistical description of production activity of firms
by Hiroshi Iyetomi & Hideaki Aoyama & Yoshi Fujiwara & Yuichi Ikeda & Wataru Souma
2012, Volume 12, Issue 8
- 1161-1187 Stock market crashes in 2007--2009: were we able to predict them?
by Sébastien Lleo & William T. Ziemba - 1189-1192 Methodological comment on Econophysics review I and II: statistical econophysics and agent-based econophysics
by C. Schinckus - 1193-1195 Red-Blooded Risk: The Secret History of Wall Street, by Aaron Brown
by Roger Stein - 1199-1218 Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis
by Rama Cont & Cathrine Jessen - 1219-1240 Pricing CDOs with state-dependent stochastic recovery rates
by Salah Amraoui & Laurent Cousot & Sebastien Hitier & Jean-Paul Laurent - 1241-1252 Forward-neutral valuation relationships for options on zero coupon bonds
by António Câmara & Ana Câmara - 1253-1263 Universal price impact functions of individual trades in an order-driven market
by Wei-Xing Zhou - 1265-1281 Path-dependent scenario trees for multistage stochastic programmes in finance
by Giorgio Consigli & Gaetano Iaquinta & Vittorio Moriggia - 1283-1298 The holiday and Yom Kippur War sentiment effects: the Tel Aviv Stock Exchange (TASE)
by Guy Kaplanski & Haim Levy - 1299-1314 Financial factors and firm growth: evidence from financial data on Taiwanese firms
by Khurshid M. Kiani & Ellen Huiru Chen & Zagros Madjd-Sadjadi
2012, Volume 12, Issue 7
- 993-1001 Mortgage valuation: a quasi-closed-form solution
by Cristina Viegas & José Azevedo-Pereira - 1003-1010 New analytical option pricing models with Weyl--Titchmarsh theory
by Jin E. Zhang & Yishen Li - 1011-1012 An Introduction to Austrian Economics, by Thomas C. Taylor
by Barry Schachter - 1015-1024 How does the market react to your order flow?
by B. T�th & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer - 1025-1036 Reduced form modeling of limit order markets
by Pekka Malo & Teemu Pennanen - 1037-1049 Measuring large comovements in financial markets
by Jeremy Penzer & Friedrich Schmid & Rafael Schmidt - 1051-1064 Cycles, determinism and persistence in agent-based games and financial time-series: part I
by J. B. Satinover & D. Sornette - 1065-1078 Cycles, determinism and persistence in agent-based games and financial time-series: part II
by J. B. Satinover & D. Sornette - 1079-1094 Option pricing for GARCH-type models with generalized hyperbolic innovations
by Christophe Chorro & Dominique Guégan & Florian Ielpo - 1095-1110 GARCH options via local risk minimization
by Juan-Pablo Ortega - 1111-1117 A class of stochastic volatility models and the q -optimal martingale measure
by Sotirios Sabanis - 1119-1141 An approximate distribution of delta-hedging errors in a jump-diffusion model with discrete trading and transaction costs
by Artur Sepp - 1143-1159 Choosing the optimal annuitization time post-retirement
by Russell Gerrard & Bjarne H�jgaard & Elena Vigna
2012, Volume 12, Issue 6
- 831-837 Entrepreneurship and innovation in financial institutions
by Chander Velu - 839-845 From credit valuation adjustments to credit capital commitments
by Dilip B. Madan - 847-848 Realism in quantitative finance: a note
by Andreas Andrikopoulos - 849-851 The Darwin Economy: Liberty, Competition, and the Common Good, by Robert H. Frank
by Terry Burnham - 855-863 Hedging derivatives with model error
by Robert A. Jarrow - 865-871 Optimal stopping under model uncertainty and the regularity of lower Snell envelopes
by Trevi�o-Aguilar Erick - 873-891 General approximation schemes for option prices in stochastic volatility models
by Karl Larsson - 893-905 Random walk or a run. Market microstructure analysis of foreign exchange rate movements based on conditional probability
by Yuko Hashimoto & Takatoshi Ito & Takaaki Ohnishi & Misako Takayasu & Hideki Takayasu & Tsutomu Watanabe - 907-931 Exchange rate and inflation risk premia in the EMU
by Bego�a Font & Alfredo Juan Grau - 933-941 Pricing guaranteed minimum withdrawal benefits under stochastic interest rates
by Jingjiang Peng & Kwai Sun Leung & Yue Kuen Kwok - 943-950 Monitoring the board: should shareholders have direct proxy access?
by Gilberto Loureiro - 951-967 Time varying betas and the unconditional distribution of asset returns
by C. J. Adcock & M. Ceu Cortez & M. J. Rocha Armada & F. Silva - 969-991 Do industries contain predictive information for the Fama--French factors?
by Chikashi Tsuji
2012, Volume 12, Issue 5
- 671-683 A strategy-proof test of portfolio returns
by Dean P. Foster & H. Peyton Young - 685-689 Statistical finance at the �cole Polytechnique, Paris: the informal FIESTA research group
by Emmanuel Bacry & Marc Hoffmann & Mathieu Rosenbaum - 691-692 Stochastic Analysis with Financial Applications, by Arturo Kohatsu-Higa, Nicolas Privault and Shuenn-Jyi Sheu (Eds.)
by Greg M. Gupton - 695-707 Leverage causes fat tails and clustered volatility
by Stefan Thurner & J. Doyne Farmer & John Geanakoplos - 709-724 Unbounded liabilities, capital reserve requirements and the taxpayer put option
by Ernst Eberlein & Dilip B. Madan - 725-737 A closed-form solution to American options under general diffusion processes
by Jing Zhao & Hoi Ying Wong - 739-754 Estimation of multiple period expected shortfall and median shortfall for risk management
by Mike K. P. So & Chi-Ming Wong - 755-768 Probability-unbiased Value-at-Risk estimators
by Ivo Francioni & Florian Herzog - 769-780 Bayesian Value-at-Risk with product partition models
by Giacomo Bormetti & Maria Elena De Giuli & Danilo Delpini & Claudia Tarantola - 781-790 Time-varying long-run mean of commodity prices and the modeling of futures term structures
by Ke Tang - 791-804 Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
by Joey Wenling Yang & Jerry Parwada - 805-818 Coupling index and stocks
by Benjamin Jourdain & Mohamed Sbai - 819-830 Performance evaluation of balanced pension plans
by Laura Andreu & Laurens Swinkels
2012, Volume 12, Issue 4
- 501-508 The scale of market quakes
by T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen - 509-511 Models Behaving Badly: Why Confusing Illusion with Reality Can Lead to Disaster, on Wall Street and in Life, by Emanuel Derman
by M.A.H. Dempster - 515-515 Foreword
by Ionut Florescu & Maria C. Mariani & H. Eugene Stanley & Frederi G. Viens - 517-530 Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange
by Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna - 531-545 Model calibration and automated trading agent for Euro futures
by Germ�n Creamer - 547-557 A generalized birth--death stochastic model for high-frequency order book dynamics
by He Huang & Alec N. Kercheval - 559-566 High-frequency trading model for a complex trading hierarchy
by Boris Podobnik & Duan Wang & H. Eugene Stanley - 567-572 Hidden noise structure and random matrix models of stock correlations
by Ivailo I. Dimov & Petter N. Kolm & Lee Maclin & Dan Y. C. Shiber - 573-586 Regularization for stationary multivariate time series
by Yan Sun & Xiaodong Lin - 587-605 Integer-valued Lévy processes and low latency financial econometrics
by Ole E. Barndorff-Nielsen & David G. Pollard & Neil Shephard - 607-622 Estimation of quarticity with high-frequency data
by Maria Elvira Mancino & Simona Sanfelici - 623-634 Detecting market crashes by analysing long-memory effects using high-frequency data
by E. Barany & M. P. Beccar Varela & I. Florescu & I. Sengupta - 635-649 Stochastic volatility and option pricing with long-memory in discrete and continuous time
by Alexandra Chronopoulou & Frederi G. Viens - 651-662 Systemic risk components and deposit insurance premia
by Jeremy Staum - 663-670 Nonlinear problems modeling stochastic volatility and transaction costs
by Maria C. Mariani & Indranil SenGupta
2012, Volume 12, Issue 3
- 329-339 On monitoring financial stress index with extreme value theory
by Amira Dridi & Mohamed El Ghourabi & Mohamed Limam - 341-342 Modelling, Pricing and Hedging Counterparty Credit Exposure: A Technical Guide, by G. Cesari, J. Aquilina, N. Charpillon, Z. Filipovic, G. Lee and I. Manda
by Agostino Capponi - 345-367 Positive return premia in Japan
by Chikashi Tsuji - 369-382 Firm characteristics, alternative factors, and asset-pricing anomalies: evidence from Japan
by Pin-Huang Chou & Kuan-Cheng Ko & Szu-Tsen Kuo & Shinn-Juh Lin - 383-395 The performance of enhanced-return index funds: evidence from bootstrap analysis
by An-Sing Chen & Yeh-Chung Chu & Mark T. Leung - 397-410 Nonlinear interdependence of the Chinese stock markets
by Abdol S. Soofi & Zhe Li & Xiaofeng Hui - 411-424 Models for stock returns
by Saralees Nadarajah - 425-436 Converse trading strategies, intrinsic noise and the stylized facts of financial markets
by Frank Westerhoff & Reiner Franke - 437-449 A comparison of statistical tests for the adequacy of a neural network regression model
by Nikos S. Thomaidis & Georgios D. Dounias - 451-464 Pricing dynamic binary variables and their derivatives
by David G. Luenberger - 465-475 Real options with a double continuation region
by Anna Battauz & Marzia De Donno & Alessandro Sbuelz - 477-488 Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance
by Bin Lu & Xin-Yuan Song & Xin-Dan Li - 489-500 Temperature models for pricing weather derivatives
by Frank Schiller & Gerold Seidler & Maximilian Wimmer
2012, Volume 12, Issue 2
- 169-179 The euro's impacts on the smooth transition dynamics of stock market volatilities
by Ray Yeutien Chou & Chun-Chou Wu & Yi-Nung yang - 181-182 Option Prices as Probabilities: A New Look at Generalized Black--Scholes Formulae, by C. Profeta, B. Roynette and M. Yor
by Steven Evans - 185-198 Analytical formulas for a local volatility model with stochastic rates
by E. Benhamou & E. Gobet & M. Miri - 199-212 Stochastic volatility models including open, close, high and low prices
by Enrique Ter Horst & Abel Rodriguez & Henryk Gzyl & German Molina - 213-230 Discovering stock dynamics through multidimensional volatility phases
by Hsieh Fushing & Shu-Chun Chen & Chii-Ruey Hwang - 231-247 An unbiased autoregressive conditional intraday seasonal variance filtering process
by Jang Hyung Cho & Robert T. Daigler - 249-261 Swap rate variance swaps
by Nicolas Merener - 263-279 Discrete sine transform for multi-scale realized volatility measures�
by Giuseppe Curci & Fulvio Corsi - 281-293 Fourier volatility forecasting with high-frequency data and microstructure noise
by Emilio Barucci & Davide Magno & Maria Elvira Mancino - 295-310 Contagion determination via copula and volatility threshold models
by Veni Arakelian & Petros Dellaportas - 311-327 Does herding affect volatility? Implications for the Spanish stock market
by Natividad Blasco & Pilar Corredor & Sandra Ferreruela
2012, Volume 12, Issue 1
- 1-10 The times change: multivariate subordination. Empirical facts
by Nicolas Huth & Frédéric Abergel - 11-14 Financial engineering at Columbia University
by Mark Broadie & Emanuel Derman & Paul Glasserman & Steven Kou - 15-16 Markov Decision Processes with Applications to Finance, by N. B�uerle and U. Rieder
by Jon McAuliffe - 17-20 On the analytical/numerical pricing of American put options against binomial tree prices
by Mark Joshi & Mike Staunton - 21-26 On the binomial tree method and other issues in connection with pricing Bermudan and American options
by András Prékopa & Tamás Szántai - 29-37 Equity quantile upper and lower swaps
by Dilip B. Madan & Martijn Pistorius - 39-48 Mark-to-model for cash CDOs through indifference pricing
by Guillaume Bernis - 49-60 Matching non-synchronous observations in derivative markets: choosing windows and efficient estimators
by Jimmy E. Hilliard & Jitka Hilliard - 61-73 Arbitrage-free approximation of call price surfaces and input data risk
by Judith Glaser & Pascal Heider - 75-87 A generalized variance gamma process for financial applications
by Roberto Marf� - 89-105 Extension of stochastic volatility equity models with the Hull--White interest rate process
by Lech A. Grzelak & Cornelis W. Oosterlee & Sacha Van Weeren - 107-118 Panel data approach to identify factors correlated with equity market risk premiums in developed and emerging markets
by M. Ariff & Vijaya B. Marisetty - 119-134 Term structure movements implicit in Asian option prices
by Caio Almeida & José Vicente - 135-148 A probabilistic clustering method for US interest rate analysis
by Foued Sa�daoui - 149-165 A jump-diffusion model for the euro overnight rate
by Mattia Raudaschl
2011, Volume 11, Issue 9
- 1273-1283 The weekly pattern of commercial paper across different trading-day regimes
by Jian-Hsin Chou & Mei-Chu Ke & Yi-Chein Chiang & Tung Liang Liao - 1285-1295 Inferring trading dynamics for an OTC market: the case of the euro area overnight money market
by Renaud Beaupain & Alain Durré - 1297-1298 Investments and Portfolio Performance, by Edwin J. Elton and Martin J. Gruber
by Russ Wermers - 1301-1313 Randomized structural models of credit spreads
by Chuang Yi & Alexander Tchernitser & Tom Hurd - 1315-1327 Correlations in Lévy interest rate models
by Maximilian Beinhofer & Ernst Eberlein & Arend Janssen & Manuel Polley - 1329-1356 Heterogeneous expectations and long-range correlation of the volatility of asset returns
by J. Coulon & Y. Malevergne - 1357-1369 Characterizing heteroskedasticity
by Gilles Zumbach - 1371-1378 The minimal model of financial complexity
by Philip Z. Maymin - 1379-1392 Pricing exotic options using MSL-MC
by Klaus Schmitz Abe - 1393-1405 Measuring expectations in options markets: an application to the S&P500 index
by Abel Rodríguez & Enrique ter Horst - 1407-1419 Basket trading under co-integration with the logistic mixture autoregressive model
by Xixin Cheng & Philip L.H. Yu & W.K. Li - 1421-1438 Multi-regime nonlinear capital asset pricing models
by Cathy W. S. Chen & Richard H. Gerlach & Ann M. H. Lin
2011, Volume 11, Issue 8
- 1125-1128 [image omitted] Numerical option pricing in the presence of bubbles
by Erik Ekstrom & Per Lotstedt & Lina Von Sydow & Johan Tysk - 1129-1132 Convergence of Heston to SVI
by Jim Gatheral & Antoine Jacquier - 1133-1134 Markets with Transaction Costs, by Yuri Kabanov and Mher Safarian
by James Lewis - 1137-1149 Closed-form convexity and cross-convexity adjustments for Heston prices
by Gabriel Drimus - 1151-1164 On refined volatility smile expansion in the Heston model
by Peter Friz & Stefan Gerhold & Archil Gulisashvili & Stephan Sturm - 1165-1176 Johnson binomial trees
by Jean-Guy Simonato - 1177-1191 On the acceleration of explicit finite difference methods for option pricing
by Stephen O'Sullivan & Conall O'Sullivan - 1193-1206 Non-parametric partial importance sampling for financial derivative pricing
by Jan Neddermeyer - 1207-1220 Parisian exchange options
by An Chen & Michael Suchanecki - 1221-1231 Pricing barrier options by a regime switching model
by P�l Nicolai Henriksen - 1233-1244 Pricing of a reload employee stock option under severance risk
by Jun Ma - 1245-1269 An adaptive successive over-relaxation method for computing the Black-Scholes implied volatility
by Minqiang Li & Kyuseok Lee - 1271-1271 Quantitative Finance, Vol. 11, No. 5, May 2011, 693-709 On the valuation of fader and discrete barrier options in Heston's stochastic volatility model
by Susanne Griebsch & Uwe Wystup
2011, Volume 11, Issue 7
- 967-978 The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis
by Yue-Jun Zhang & Yi-Ming Wei - 979-986 Semi-static hedging for certain Margrabe-type options with barriers
by Michael Schmutz - 987-988 How Big Banks Fail and What to Do about It, by Darrell Duffie
by Riccardo Rebonato - 991-1012 Econophysics review: I. Empirical facts
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1013-1041 Econophysics review: II. Agent-based models
by Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel - 1043-1050 A computational view of market efficiency
by Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola - 1051-1066 On derivatives with illiquid underlying and market manipulation
by Ulrich Horst & Felix Naujokat - 1067-1080 When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
by Ester Pantaleo & Michele Tumminello & Fabrizio Lillo & Rosario Mantegna - 1081-1090 Statistical rehabilitation of improper correlation matrices
by A. Frigessi & A. L�land & A. Pievatolo & F. Ruggeri - 1091-1102 Empirical properties of large covariance matrices
by Gilles Zumbach - 1103-1124 Applying free random variables to random matrix analysis of financial data. Part I: The Gaussian case
by Zdzisław Burda & Andrzej Jarosz & Maciej Nowak & Jerzy Jurkiewicz & Gabor Papp & Ismail Zahed
2011, Volume 11, Issue 6
- 805-815 Volatile earnings growth, the price of earnings and the Value premium
by Jamie Alcock & Thomas Mollee & James Wood - 817-823 Fierce stock market fluctuation disrupts scalefree distribution
by Jing Liu & Chi Tse & Keqing He - 825-826 Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, by Barry Eichengreen
by Aaron Brown