G. Zumbach

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Random processes for long-term market simulations Quantitative Finance	2026-03-16	Paper
Stochastic regularization for the mean-variance allocation scheme Quantitative Finance	2019-09-26	Paper
Volatility processes and volatility forecast with long memory Quantitative Finance	2019-01-15	Paper
How trading activity scales with company size in the FTSE 100 Quantitative Finance	2019-01-15	Paper
Market heterogeneities and the causal structure of volatility Quantitative Finance	2019-01-14	Paper
Option pricing with realistic ARCH processes Quantitative Finance	2014-09-05	Paper
Using relative returns to accommodate fat-tailed innovations in processes and option pricing Quantitative Finance	2014-02-20	Paper
A mean/variance approach to long-term fixed-income portfolio allocation Quantitative Finance	2014-02-20	Paper
The statistical properties of the innovations in multivariate ARCH processes in high dimensions Quantitative Finance	2014-02-08	Paper
Characterizing heteroskedasticity Quantitative Finance	2013-12-13	Paper
Discrete time series, processes, and applications in finance. Springer Finance	2012-08-14	Paper
Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models Quantitative Finance	2011-04-29	Paper
Volatility conditional on price trends Quantitative Finance	2010-05-26	Paper
Time reversal invariance in finance Quantitative Finance	2009-11-16	Paper
OPERATORS ON INHOMOGENEOUS TIME SERIES International Journal of Theoretical and Applied Finance	2008-09-03	Paper
scientific article; zbMATH DE number 2065159 (Why is no real title available?)	2004-05-18	Paper
Heterogeneous volatility cascade in financial markets Physica A	2001-08-29	Paper
MEASURING SHOCK IN FINANCIAL MARKETS International Journal of Theoretical and Applied Finance	2000-12-19	Paper

Research outcomes over time

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