Details
Title
SFI-LM
Formal Name (French)
Unité d'économétrie financière
Formal Name (English)
Group in financial econometrics
Lab Manager
Infoscience team
Group ID
U12110
Affiliated authors
Dieler, Tobias
Fallahgoul, Hasan
Mancini, Loriano
Fallahgoul, Hasan
Mancini, Loriano
Institute
SFI
Faculty
CDM
Note
Members of SFI-LM et CF-CDM
Linked resource
http://cdm.epfl.ch
Publications
A GARCH Option Pricing Model with Filtered Historical Simulation
Detecting abnormal trading activities in option markets
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Option Pricing with Model-Guided Nonparametric Methods
Out of Sample Forecasts of Quadratic Variation
Quadratic variance swap models
Scientific research measures
Sentiment, Asset Prices, and Systemic Risk
The Euro Interbank Repo Market
Three Essays on Asset Pricing
See complete list of publications (14)
Detecting abnormal trading activities in option markets
Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
Option Pricing with Model-Guided Nonparametric Methods
Out of Sample Forecasts of Quadratic Variation
Quadratic variance swap models
Scientific research measures
Sentiment, Asset Prices, and Systemic Risk
The Euro Interbank Repo Market
Three Essays on Asset Pricing
See complete list of publications (14)
Record appears in
Authorities > Lab