Selected Publications of Research Area H

[H:AD] S. Ankirchner and A. Dermourne. Multiperiod mean variance portfolio optimization via market cloning. Applied Mathematics and Optimization. DOI:10.1007/s00245-011-9134-0, to appear.

[H:AH] S. Ankirchner and G. Heyne. Cross hedging with stochastic correlation. Finance and Stochastics. DOI:10.1007/s00780-010-0148-2, to appear.

[H:BT] J. Breitung and J. Tenhofen. GLS estimation of dynamic factor models. Journal of the American Statistical Association. to appear.

[H:CPV] A. Chen, A. Pelsser, and M. Vellekoop. Modeling non-monotone risk aversion using SAHARA utility functions (previously titled “Optimal investment and indifference pricing when risk aversion is not monotone: SAHARA utility functions”). Journal of Economic Theory. to appear.

[H:CS] A. Chen and M. Suchanecki. Parisian exchange option. Quantitative Finance. DOI:10.1080/14697680903194577, to appear.

[H:KSS] A. Kneip, R. Sickles, and W. Song. A new panel data treatment for heterogeneity in time trends. Econometric Theory. to appear.

[H:PKH] M. Paluch, A. Kneip, and W. Hildenbrand. Individual versus aggregate income elasticities for heterogeneous populations. Journal of Applied Econometrics. DOI:10.1002/jae.1237, to appear.

[H:BE11] J. Breitung and S. Eickmeier. Testing for structural breaks in dynamic factor models. Journal of Econometrics, 163:71–84, 2011.

[H:AIR10] S. Ankirchner, P. Imkeller, and G. Reis. Pricing and hedging of derivatives based on non-tradable underlyings. Mathematical Finance, 20:289–312, 2010.

[H:DGS10] S. Desmettre, J. Gould, and A. Szimayer. Own-company stockholding and work effort preferences of an unconstrained executive. Math. Methods Oper. Res., 72(3):347–378, 2010.

[H:SW10] K. Sandmann and M. Wittke. It’s your choice: A unified approach to chooser options. Int. J. Theor. Appl. Finance, 13(1):139–161, 2010.

[H:ASW09] S. Albeverio, V. Steblovskaya, and K. Wallbaum. Valuation of equity-linked life insurance contracts using a model with interacting assets. Stochastic Analysis and Applications, 27:1077–1095, 2009.

[H:BHK09] M. Benko, W. Härdle, and A. Kneip. Common functional principal components. Annals of Statistics, 37:1–34, 2009.

[H:BC09] C. Bernard and A. Chen. On the regulator-insurer-interaction in a structural model. Journal of Computational and Applied Mathematics, 233:3–15, 2009.

[H:BTPP09] T. Bollerslev, G. Tauchen, C. Pigorsch, and U. Pigorsch. A discrete-time model for daily s&p500 returns and realized variations: Jumps and leverage effects. Journal of Econometrics, 150(2):151–166, 2009.

[H:CKS09] C. Crambes, A. Kneip, and P. Sarda. Smoothing splines estimators for functional linear regression. Annals of Statistics, 37:35–72, 2009.

[H:PS09] C. Pigorsch and R. Stelzer. On the definition, stationary distribution and second order structure of positive semi-definite Ornstein-Uhlenbeck type processes. Bernoulli, 15(3):754–773, 2009.

[H:BD08] J. Breitung and S. Das. Testing for unit roots in panels with a factor structure. Econometric Theory, 24:88–108, 2008.

[H:KR08] A. Kneip and J. Ramsay. Combining registration and fitting for functional models. Journal of the American Statistical Association, 103:1155–1165, 2008.