Quantitative Finance, Volume 18, Issue 3 (2018)

Browse this journal
Sample our Economics, Finance,Business & Industry journals, sign in here to start your access, latest two full volumes FREE to you for 14 days

Quantitative Finance, Volume 18, Issue 3 (2018)

See all volumes and issues
Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Volume 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Vol 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001
Download citations Download PDFs Download issue

Features

Article
Optimal portfolios under a correlation constraint
C. Bernard, D. Cornilly & S. Vanduffel
Pages: 333-345
Published online: 07 Dec 2017
AbstractforOptimal portfolios under a correlation constraint | Full Text | References | PDF (1 MB)
  • 439 Views
  • 1 CrossRef citations
  • 0Altmetric

Book review

Book Review
The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction
Nikolaos Tessaromatis
Pages: 347-349
Published online: 12 Feb 2018
First Page PreviewforThe End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction | Full Text | PDF (204.1 KB)
  • 362 Views
  • 0 CrossRef citations
  • 0Altmetric
Free Access

Calendar

Calendar
Calendar
Page: 351
Published online: 12 Feb 2018
CitationforCalendar | Full Text | PDF (38.1 KB)
  • 20 Views
  • 0 CrossRef citations
  • 0Altmetric

Research Papers

Article
Short term prediction of extreme returns based on the recurrence interval analysis
Zhi-Qiang Jiang, Gang-Jin Wang, Askery Canabarro, Boris Podobnik, Chi Xie, H. Eugene Stanley & Wei-Xing Zhou
Pages: 353-370
Published online: 05 Oct 2017
AbstractforShort term prediction of extreme returns based on the recurrence interval analysis | Full Text | References | PDF (1.1 MB)
  • 463 Views
  • 2 CrossRef citations
  • 0Altmetric
Article
Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
Rasmus T. Varneskov & Pierre Perron
Pages: 371-393
Published online: 12 Jul 2017
AbstractforCombining long memory and level shifts in modelling and forecasting the volatility of asset returns | Full Text | References | PDF (1.3 MB) | Supplemental
  • 506 Views
  • 16 CrossRef citations
  • 0Altmetric
Article
A Bayesian encompassing test using combined value-at-risk estimates
Georgios Tsiotas
Pages: 395-417
Published online: 12 Jul 2017
AbstractforA Bayesian encompassing test using combined value-at-risk estimates | Full Text | References | PDF (1.1 MB)
  • 190 Views
  • 0 CrossRef citations
  • 0Altmetric
Article
A logistic regression point of view toward loss given default distribution estimation
Ruey-Ching Hwang & Chih-Kang Chu
Pages: 419-435
Published online: 18 Jul 2017
AbstractforA logistic regression point of view toward loss given default distribution estimation | Full Text | References | PDF (632.3 KB)
  • 426 Views
  • 0 CrossRef citations
  • 0Altmetric
Article
Empirical comparison of hazard models in predicting SMEs failure
Jairaj Gupta, Andros Gregoriou & Tahera Ebrahimi
Pages: 437-466
Published online: 16 Jun 2017
AbstractforEmpirical comparison of hazard models in predicting SMEs failure | Full Text | References | PDF (1.1 MB)
  • 1169 Views
  • 8 CrossRef citations
  • 0Altmetric
Article
Liquidity risk in derivatives valuation: an improved credit proxy method
Sumit Sourabh, Markus Hofer & Drona Kandhai
Pages: 467-481
Published online: 23 Jun 2017
AbstractforLiquidity risk in derivatives valuation: an improved credit proxy method | Full Text | References | PDF (946.7 KB)
  • 3938 Views
  • 0 CrossRef citations
  • 0Altmetric
Open Access
Article
A new integral equation formulation for American put options
Song-Ping Zhu, Xin-Jiang He & XiaoPing Lu
Pages: 483-490
Published online: 24 Aug 2017
AbstractforA new integral equation formulation for American put options | Full Text | References | PDF (258.7 KB)
  • 564 Views
  • 0 CrossRef citations
  • 0Altmetric
Article
Smoothing the payoff for efficient computation of Basket option prices
Christian Bayer, Markus Siebenmorgen & Raul Tempone
Pages: 491-505
Published online: 20 Jul 2017
AbstractforSmoothing the payoff for efficient computation of Basket option prices | Full Text | References | PDF (950 KB)
  • 265 Views
  • 15 CrossRef citations
  • 0Altmetric
Article
Sequential Monte Carlo for fractional stochastic volatility models
Alexandra Chronopoulou & Konstantinos Spiliopoulos
Pages: 507-517
Published online: 20 Jul 2017
AbstractforSequential Monte Carlo for fractional stochastic volatility models | Full Text | References | PDF (1.1 MB)
  • 337 Views
  • 3 CrossRef citations
  • 0Altmetric

Explore articles

Explore the most recently published articles

Regulating stochastic clocks§
Zhe Fei et al.
Article | Published online: 25 Jul 2024
Risk factor aggregation and stress testing
Natalie Packham
Article | Published online: 25 Jul 2024
Pricing airbag option via first passage time approach
Zheng Liu et al.
Article | Published online: 25 Jul 2024
Assessing network risk with FRM: links with pricing kernel volatility and application to cryptocurrencies
Ruting Wang et al.
Article | Published online: 18 Jul 2024
Open Access
View all latest articles