G. Zumbach

Available identifiers

Publication	Date of Publication	Type
Stochastic regularization for the mean-variance allocation scheme	2019-09-26	Paper
Volatility processes and volatility forecast with long memory	2019-01-15	Paper
How trading activity scales with company size in the FTSE 100	2019-01-15	Paper
Market heterogeneities and the causal structure of volatility	2019-01-14	Paper
Option pricing with realistic ARCH processes	2014-09-05	Paper
Using relative returns to accommodate fat-tailed innovations in processes and option pricing	2014-02-20	Paper
A mean/variance approach to long-term fixed-income portfolio allocation	2014-02-20	Paper
The statistical properties of the innovations in multivariate ARCH processes in high dimensions	2014-02-08	Paper
Characterizing heteroskedasticity	2013-12-13	Paper
Discrete time series, processes, and applications in finance.	2012-08-14	Paper
Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models	2011-04-29	Paper
Volatility conditional on price trends	2010-05-26	Paper
Time reversal invariance in finance	2009-11-16	Paper
OPERATORS ON INHOMOGENEOUS TIME SERIES	2008-09-03	Paper
https://portal.mardi4nfdi.de/entity/Q4459833	2004-05-18	Paper
Heterogeneous volatility cascade in financial markets	2001-08-29	Paper
MEASURING SHOCK IN FINANCIAL MARKETS	2000-12-19	Paper

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