Quantitative Finance
Journal Abbreviation: QUANT FINANC
ISSN: 1469-7688
Publisher: Taylor & Francis (Routledge)
Publications (9)
Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations (2020)
dos Reis G, Pfeuffer M, Smith G
Journal article
Statistical arbitrage with optimal causal paths on high-frequency data of the S&P 500 (2019)
Stübinger J
Journal article
Exploiting social media with higher-order Factorization Machines: statistical arbitrage on high-frequency data of the S&P 500 (2019)
Knoll J, Stübinger J, Grottke M
Journal article
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns (2019)
Endres S, Stübinger J
Journal article
Statistical arbitrage with vine copulas (2018)
Stübinger J, Mangold B, Krauss C
Journal article, Original article
Pairs trading with a mean-reverting jump-diffusion model on high-frequency data. (2018)
Stübinger J, Endres S
Journal article, Original article
Pairs trading with partial cointegration (2018)
Clegg M, Krauß C
Journal article
An Extended Likelihood Framework for Modeling Discretely Observed Credit Rating Transitions (2018)
Pfeuffer M, Möstel L, Fischer M
Journal article, Original article
An empirical analysis of multivariate copula models (2009)
Fischer M, Köck C, Weigert F, Schlüter S
Journal article, Original article