Preface: application of operations research to financial markets.
- Published in:
- 2019
- By:
- Publication type:
- Editorial
Works matching IS 02545330 AND DT 2019 AND VI 282 AND IP 1/2
Results: 18
1
2
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 407, doi. 10.1007/s10479-019-03326-8
- By:
- Publication type:
- Article
3
Intraday forecasts of a volatility index: functional time series methods with dynamic updating.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 331, doi. 10.1007/s10479-018-3108-4
- By:
- Publication type:
- Article
4
Quantization meets Fourier: a new technology for pricing options.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 59, doi. 10.1007/s10479-018-3048-z
- By:
- Publication type:
- Article
5
High frequency trading strategies, market fragility and price spikes: an agent based model perspective.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 217, doi. 10.1007/s10479-018-3019-4
- By:
- Publication type:
- Article
6
Can commodities dominate stock and bond portfolios?
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 155, doi. 10.1007/s10479-018-2996-7
- By:
- Publication type:
- Article
7
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 379, doi. 10.1007/s10479-018-2991-z
- By:
- Publication type:
- Article
8
Multi-period portfolio selection with drawdown control.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 245, doi. 10.1007/s10479-018-2947-3
- By:
- Publication type:
- Article
9
Closed-form variance swap prices under general affine GARCH models and their continuous-time limits.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 27, doi. 10.1007/s10479-018-2941-9
- By:
- Publication type:
- Article
10
A composition between risk and deviation measures.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 299, doi. 10.1007/s10479-018-2913-0
- By:
- Publication type:
- Article
11
Managing portfolio diversity within the mean variance theory.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 315, doi. 10.1007/s10479-018-2896-x
- By:
- Publication type:
- Article
12
The financial crisis and the shadow price of bank capital.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 131, doi. 10.1007/s10479-018-2886-z
- By:
- Publication type:
- Article
13
Hilbert transform, spectral filters and option pricing.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 273, doi. 10.1007/s10479-018-2881-4
- By:
- Publication type:
- Article
14
Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 179, doi. 10.1007/s10479-018-2870-7
- By:
- Publication type:
- Article
15
Did long-memory of liquidity signal the European sovereign debt crisis?
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 355, doi. 10.1007/s10479-018-2850-y
- By:
- Publication type:
- Article
16
Understanding time-inconsistent heterogeneous preferences in economics and finance: a practice theory approach.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 3, doi. 10.1007/s10479-018-2836-9
- By:
- Publication type:
- Article
17
Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 87, doi. 10.1007/s10479-018-2808-0
- By:
- Publication type:
- Article
18
On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter.
- Published in:
- Annals of Operations Research, 2019, v. 282, n. 1/2, p. 119, doi. 10.1007/s10479-018-2770-x
- By:
- Publication type:
- Article