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Publications for 2009

  • R. Baragona, F. Battaglia (2009), “Evolutionary Computing in Statistical Data Analysis”, in: Abraham, A., Hassanien, A.-E, Siarry, P. and Engelbrecht, A. (Eds.), Foundations of Computational Intelligence Vol 3 - Global Optimization (Studies in Computational Intelligence vol. 203). Springer Berlin/Heidelberg, pp. 347- 386.
  • R. Baragona, D. Cucina (2009), “Genetic search for threshold parameters in time series threshold models: algorithms and computer programs”, TECHNICAL REPORT 10/2009, Department of Statistics, Probability and Applied Statistics, Sapienza University of Rome, Italy.
  • C. Barna, C.Gatu, E.J. Kontoghiorghes (2009), “A graph approach to find the best grouping for each possible number of clusters”, Working Paper.
  • F. Battaglia, M. Protopapas (2009), “Time-varying Muti-Regime Models Fitting by Genetic Algorithms”, COMISEF Working Paper Series, WPS-009, 20/02/2009.
  • L. Beghin, E. Orsingher (2009), “Fractional Poisson processes and related random motions”, Electronic Journal of Probability Vol. 14, n.61, p. 1790-1826.
  • L. Beghin, E. Orsingher (2009), “Iterated elastic Brownian motions and fractional diffusion equations”, Stochastic Processes and their Applications Vol.119, n.6, p.1975-2003.
  • D.A. Behrens, B. Bednar-Friedl, M. Getzner (2009), “Sustainable Mangement of an Alpine National Park: Handling the Two-edged Effect of Tourism”, Central European Journal of Operations Research 17(3), 233-253.
  • D.A. Belsley, R. Davidson, E.J. Kontoghiorghes, J. MacKinnon, H.K. Van Dijk (2009), The 4th Special Issue of the journal Computational Statistics & Data, Analysis on Computational econometrics, 53(6).
  • D.A. Belsley, E.J. Kontoghiorghes (2009), “Handbook of Computational Econometrics”, Wiley, (ISBN: 978-0-470-74385-0).
  • M. Benko, W. Härdle, A. Kneip (2009), “Common Functional Principal Components”, Ann. Statist., 37, 1-34.
  • F. Benth, W. Härdle, B. López Cabrera (2009), “Pricing of Asian Temperature Risk”, Discussion Paper, 2009-046, CRC 649, Berlin.
  • W. Bessler, C. Becker, D. Wagner (2009), “The Design and Success of Stock Option Plans for New Economy Firms”, Journal of Entrepreneurial Finance & Business Ventures 12, 1-34.
  • W. Bessler, D. Blake, I. Tonks, P. Lückoff (2009), “Why is Persistent Mutual Fund Perfomance so difficult to achieve? The Impact of Fund Flows and Management Turnover”, Working Paper.
  • W. Bessler, W. Drobetz (2009), “Editorial Special Issue: Asset Management in International Financial Markets”, European Journal Of Finance 15, 447-449.
  • W. Bessler, W. Drobetz, T. Erdmann, H. Zimmermann (2009), “Predictability in the Cross-section of European Bank Stock Returns”, Working Paper.
  • W. Bessler, W. Drobetz, M. Grüninger (2009), “International Tests of the Pecking Order Theory”, Working Paper.
  • W. Bessler, W. Drobetz, J. Holler (2009), „The Returns to Hedge Funds Activism in Germany “, Working Paper.
  • W. Bessler, W. Drobetz, J. Holler (2009), „Capital Markets and Corporate Control in Good and Bad Times: Empirical Evidence from Hedge Fund Activism in Germany “, Working Paper.
  • W. Bessler, W. Drobetz, M. Seim (2009), “Motives and Valuation Effects of Share Repurchase Announcements in Germany: A Comparison of Established Firms and Initial Public”, Working Paper.
  • W. Bessler, W. Drobetz, M. Seim (2009), “Why Do Start-Up Firms Repurchase Shares after They have just issued Equity? Financing Activities and Payout Policies of Entrepreneurial Firms: Empirical Evidence form German Initial Public Offerings”, Working Paper.
  • W. Bessler, W. Drobetz, H. Zimmermann (2008), “Conditional Performance Evaluation for German Equity Mutual Funds”, European Journal of Finance 15, 287-316.
  • W. Bessler, J. Holler (2009), “Hedge Funds and Asset Allocation: Investor Confidence, Diversification Benefits, and a Change in Investment Style Composition”, in: A. Fink, B. Lausen, W. Seidel, A. Ultsch (Eds.), Advances in Data Analysis, Data Handling and Business Intelligence Conference Proceedings, Classification Society, Springer, Heidelberg, 2010, 441-450.
  • W. Bessler, J. Holler, M. Seim (2009), “Venture Capital and Private Equity in Germany”, in: D. Cumming, R. Kolb (Eds.), Companion to Private Equity, Wiley, Hoboken, 2010 (forthcoming).
  • W. Bessler, J. Holler, M. Seim (2009), “From Ideas to Product: Financing Innovation with Venture Capital and Innovative Financial Instruments”, in: D. Cumming (Ed.), Handbook of Entrepreneurial Finance, Oxford University Press, Oxford, 2010 (forthcoming).
  • W. Bessler, J-P. Kallunki, T. Laamanen, P. Karjalainen (2009), “Firm`s Patenting Activity as an Indicator of Future Performance”, Working Paper.
  • W. Bessler, M. Stanzel (2009), “Conflicts of Interest and Research Quality of Affiliated Analysts: Evidence from IPO Underwriting”, European Financial Management 15, 757-786.
  • D. Blüschke, V. Blüschke-Nikolaeva, R. Neck (2009), “Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application to Slovenia”, Working Paper, Klagenfurt University.
  • S. Borak, M. Fengler, W. Härdle (2009), “Can factor hedging improve the hedging efficiency?”, The Journal of Risk Model Validation, (forthcoming).
  • S. Broda, M. Paolella (2009), “A Fast and Accurate Method for Portfolio Risk Calculation”, Journal of Financial Econometrics 7(4), 412-436.
  • J. Cao, W. Härdle, J. Mungo (2009), “A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics”, Discussion Paper, 2009-019, CRC 649, Berlin.
  • S. Chen, K. Jeong, W. Härdle (2009), “Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns”, J. Forecasting, (forthcoming).
  • S. Chen, W. Härdle, R. Moro (2009), “Estimation of Default Probabilities with Support Vector Machines”, Quantitative Finance, (forthcoming).
  • Y. Chen, W. Härdle, V. Spokoiny (2009), “GHICA- Risk Analysis with GH Distributions and Independent Components”, Journal of Empirical Finance, (forthcoming).
  • Y. Chen, W. Härdle, U. Pigorsch (2009), “Localized Realized Volatility Modelling”, Discussion Paper, 2009-003, CRC 649, Berlin.
  • B. Choros, W. Härdle, O. Okhrin (2009), “CDO Pricing with Copulae”, in: Bulletin of the International Statistical Institute, 57th Session Durban Vol. 57. Bulletin of the International Statistical Institute.
  • B. Choros, W. Härdle, O. Okhrin (2009), “CDO Pricing with Copulae”, Discussion Paper, 2009-013, CRC 649, Berlin.
  • B. Choros, W. Härdle, O. Okhrin (2009), “CDO and HAC”, Discussion Paper, 2009-038, CRC 649, Berlin.
  • P. Cizek, W. Härdle, V. Spokoiny (2009), “Statistical Inference for Timeinhomogeneous volatility models”, Econometrics Journal, (forthcoming).
  • M. d’Acremont, M. Gilli, P. Bossaerts (2009), “Predicting Risk in a Multiple Stimulus–Reward Environment”, in: J.-C. Dreher, L. Tremblay (Eds.), Handbook of Reward and Decision Making, Elsevier.
  • K. Detlefsen, W. Härdle, R. Moro (2009), “Empirical Pricing Kernels and Investor Preference”, Mathematical Methods in Economics and Finance (ISSN print edition, 1971-6419).
  • N. P. Faisca, V. D. Kosmidis, B. Rustem, E. N. Pistikopoulos (2009), “Global Optimization of multi-parametric MILP problems”, Journal of Global Optimization, (forthcoming).
  • • R. J. Fonseca, S. Zymler, W. Wiesemann, B. Rustem (2009), „Robust Optimization of Currency Portfolios“, COMISEF Working Paper Series, WPS-012, 26/08/2009.
  • P.Foschi, E.J. Kontoghiorghes (2009), “Krylov methods for the estimation of the General Linear Models”, Working Paper.
  • W. Gaertner, R. Neck, L. Schwettmann (2009), “Perceptions of Equity across Cultures and over Time: A Questionnaire-Experimental Approach”, Working Paper, Klagenfurt University.
  • C. Gatu, E. J. Kontoghiorghes (2010), “A fast algorithm for non-negativity model selection”, Working Paper.
  • H. Geman (2009), “Modeling Commodity Prices under the CEV model”, Journal of Alternative Investments, 11.3, 65-84.
  • H. Geman (2009), “Modelling Electricity with Forward Looking Capacity Constraints”, Applied Mathematical Finance, 16, 103-122.
  • H. Geman (2009), “Forward Curves, Scarcity and Price Volatility in Oil and Natural Gas Markets”, Energy Economics.
  • H. Geman (2009), “On Pricing Risky Loans and Collateralized Fund Obligations”, Journal of Credit Risk, 5.3, 37-54.
  • H. Geman (2009), “Commodities And Numeraire”, Encyclopedia of Quantitative Finance, (forthcoming).
  • H. Geman (2009), “Realized Variance Options and Convex Order”, Working Paper.
  • E. Giacomini, W. Härdle, V. Spokoiny (2009), “Inhomogeneous Dependency Modelling with Time Varying Copulae”, J. Business and Economic Statistics, (forthcoming).
  • M. Gilli, E. Schumann (2009), „Distributed Optimisation of a Portfolio's Omega”, Parallel Computing, (doi: 10.1016/j.parco.2009.10.001).
  • M. Gilli, E. Schumann (2009), “Portfolio Optimization with “Threshold Accepting”: a Practical Guide”, in: S. Satchell (Ed.), Optimizing Optimization: The Next Generation of Optimization Applications and Theory, Elsevier, 2010.
  • M .Gilli, E. Schumann (2009), “Robust Regression with Optimisation Heuristics”, in: A. Brabazon, M. O’Neill, D. Maringer (Eds.), Natural Computing in Computational Finance, Volume 3, Springer, 2010, (forthcoming).
  • M. Gilli, E. Schumann (2009), “Heuristic Optimisation in Financial Modelling”, COMISEF Working Paper Series, WPS-007, 09/02/2009.
  • M. Gilli, E. Schumann (2009), “Implementing Binomial Trees”, COMISEF Working Paper Series, WPS-008, 15/02/2009.
  • M. Gilli, E. Schumann (2009), “Optimal Enough?”, COMISEF Working Paper Series, WPS-010, 15/06/2009.
  • M. Gilli, E. Schumann (2009), “Robust regression with optimisation heuristics”, COMISEF Working Paper Series, WPS-011, 13/07/2009.
  • M. Gilli, E. Schumann (2009), “Risk–Reward Optimisation for Long-Run Investors: an Empirical Analysis”, paper presented at the afir / life Colloquium 2009, Munich, http://www.actuaries.org/Munich2009/papers/AFIR/Fri_11.30_AFIR_Schumann_Portfolio_risk_Paper.pdf
  • M. Gilli, E. Schumann (2009), “‘An Empirical Analysis of Alternative Portfolio Selection Criteria”, Swiss Finance Institute Research Paper No. 09-06, http://ssrn.com/abstract=1365167.
  • M. Gilli, E. Schumann, G. di Tollo, G. Cabej (2009), “Constructing 130/30-Portfolios with the Omega Ratio”, Journal of Asset Management, (forthcoming).
  • M. Gilli, P. Winker (2009), “Heuristic optimization methods in econometrics”, in D.A. Belsley, E.J. Kontoghiorghes (Eds): “Handbook of Computational Econometrics”, Wiley, Chichester, 81-119.
  • W. Grabowski (2009), “Qual-VECM Approach to Modelling Cointegrated Systems with I(1) Binary Variables”, in: W. Welfe, A. Welfe (Eds.): Proceedings of the 35th International Conference Macromodels 2008, Lodz, 141-154.
  • W. Grabowski (2009), “Are Unit Export Values Correct Measures of the Exports’ Quality?”, CASE Network Studies and Analyses, No. 393.
  • M. Grith, W. Härdle, J. Park (2009), “Shape invariant modelling pricing kernels and risk aversion”, Discussion Paper, 2009-041, CRC 649, Berlin.
  • W. Härdle, Z. Hlavka (2009), “Dynamics of State Price Densities”, J. Econometrics, (forthcoming).
  • W. Härdle, N. Hautsch, A. Mihoci (2009), “Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics”, Discussion Paper, 2009-044, CRC 649, Berlin.
  • W. Härdle, N. Hautsch, L. Overbeck (2009), “Applied Quantitative Finance”, 2nd extended Ed., Springer Verlag, Heidelberg. ISBN 978-3-540-69177-8 (448 p).
  • W. Härdle, C:W:F. Kirchner (2009), „Quantifizierbarkeit von Risiken auf Finanzmärkten“, Discussion Paper, 2009-045, CRC 649, Berlin.
  • W. Härdle, V. Krätschmer, R. Moro (2009), “A Microeconomic Explanation of the EPK Paradox”, Discussion Paper, 2009-010, CRC 649, Berlin.
  • W. Härdle, Y.J. Lee, D. Schäfer, Y.-R. Yeh (2009), “Variable Selection and Oversampling in the Use of Smooth Support Vector Machines for Predicting the Default Risk of Companies. J. Forecasting, (forthcoming).
  • W. Härdle, B. López Cabrera (2009), “Calibrating CAT bonds for Mexican earthquakes”, J. Risk and Insurance, (tent. accepted).
  • W. Härdle, B. López Cabrera (2009), “Implied Market Price of Weather Risk”, Discussion Paper, 2009-001, CRC 649, Berlin.
  • W. Härdle, A. Mysickova (2009), “Numerics of Implied Binomial Trees”, in: Applied Quantitative Finance (2nd Edition) W. Härdle, N. Hautsch, L. Overbeck (Eds), Springer Verlag.
  • W. Härdle, A. Mysickova (2009), “Stochastic Population Forecast for Germany and its Consequence for the German Pension System”, Discussion Paper, 2009-009, CRC 649, Berlin.
  • W. Härdle, O. Okhrin (2009), “De copulis non est disputandum - Copulae: An Overview”, Discussion Paper, 2009-031, CRC 649, Berlin.
  • W. Härdle, O. Okhrin (2009), “De Copulis non est disputandum, Copulae: An Overview”, AStA - Advances in Statistical Analysis, (forthcoming).
  • W. Härdle, O. Okhrin, Y. Okhrin (2009), “Modeling Dependencies in Finance using Copulae”, in: Applied Quantitative Finance (2nd. Edition) W. Härdle, N. Hautsch, L. Overbeck (Eds), Springer Verlag.
  • W. Härdle, R. Song (2009), “Stochastic Fluctuation of the Quantile Regression Curve, Econometric Theory, (forthcoming).
  • M. Hofmann, C. Gatu, E.J. Kontoghiorghes (2010), “An efficient adding row algorithm for large-scale least trimmed squares regression”, Computational and Graphical Statistics, (forthcoming)
  • M. Hofmann, E.J. Kontoghiorghes (2010), “Matrix strategies for computing the least trimmed squares estimation of the general linear and SUR models”, Computational Statistics & Data Analysis, (forthcoming).
  • M. Hofmann, C. Gatu, A. Zeileis, E.J. Kontoghiorghes (2010), „The mcsxsubset software for Statistical model selection”, Journal of Statistical Software (to be submitted 2010).
  • Ph. Hungerländer, R. Neck (2009), “An Algorithmic Equilibrium Solution for n-Person Stackelberg Difference Games with Open-Loop Information Pattern", Working Paper, Klagenfurt University.
  • J. Jaenicke, R. Neck (2009), “Empirical Evidence on “Wagner’s Law of Increasing Government Activity” for the Austrian Monarchy”, Working Paper, Klagenfurt University.
  • M. Kalkbrener, A. Onwunta (2009), “Validating Structural Credit Portfolio Models”, COMISEF Working Paper Series, WPS-014, 13/10/2009.
  • P. M. Kleniati, P. Parpas, B. Rustem (2009), “Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems”, COMISEF Working Paper Series, WPS-022, 10/11/2009.
  • P. M. Kleniati, P. Parpas, B. Rustem (2009), “Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems”, Journal of Optimization Theory & Applications, (forthcoming).
  • P. M. Kleniati, P. Parpas, B. Rustem (2009), “Partitioning Procedure for Polynomial Optimization: Application to Portfolio Decisions with Higher Order Moments”, COMISEF Working Paper Series, WPS-023, 10/11/2009.
  • P. M. Kleniati, B. Rustem (2009), “Portfolio Decisions with Higher Order Moments”, COMISEF Working Paper Series, WPS-021, 10/11/2009.
  • E.J. Kontoghiorghes (2009), “Computing the QR decomposition of a long dense matrix having a minimum fill-in sparse orthogonal matrix”, Working Paper.
  • E.J. Kontoghiorghes, (2009), “Solving augmented systems using a block-updating generalized QR decomposition algorithm”, Working Paper.
  • D. Kuhn, P. Parpas, B. Rustem, R. Fonseca (2009), “Dynamic Mean-Variance Portfolio Analysis under Model Risk”, Journal of Computational Finance 12(4), 91-115.
  • D. Kuhn, W. Wiesemann, A. Georghiou (2009), “Primal and Dual Linear Decision Rules in Stochastic and Robust Optimization”, Mathematical Programming, (accepted).
  • D.K.J. Lin, C. Sharpe, P. Winker (2009), “Optimized U-type Designs on Flexible Regions”, COMISEF Working Paper Series, WPS-013, 22/09/2009.
  • M. Lyra, J. Paha, S. Paterlini, P. Winker (2009), “Optimization Heuristics for Determining Internal Rating Grading Scales”, Computational Statistics and Data Analysis, (forthcoming).
  • D. Maringer, P. Winker (2009), “The Convergence of Estimators based on Heuristics: Theory and Application to a GARCH model”, Computational Statistics 24, 533-550.
  • S. M. Markose (2009), “Financial Crimes Arising from: Shadow Banking and Sub-prime Crisis”, in European Developments in Criminal Corporate Liability, J. Gobert (Ed.), (forthcoming).
  • S. M. Markose et al (2009), ”Too Interconnected To Fail: Financial Contagion and Systemic Risk”, in Network Models of CDS and Other Credit Enhancement Obligations of US Banks, European Central Bank Technical Report Recent Advances in Modeling Systemic Risk Using Network Analysis.
  • S. M. Markose, Y. Dong (2009), “Multi-period Model of Securitization and Credit Risk Transfer in Banks: Implications of the Subprime Crisis”, Journal of Financial Intermediation, (submitted).
  • S. M. Markose, S. Giansante, M. Gatkowski, A. Rais Shaghaghi (2009), “Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks”, University of Essex, Economics Dept. Working Paper.
  • S. M. Markose, S. Giansante, M. Gatkowski, A. Rais Shaghaghi (2009), “Multi-Agent Modelling of RMBS and Credit Risk Transfer in Banks”, COMISEF Mimeo.
  • S. M. Markose, Yue Peng (2009), “V-FTSE, Model Free and GEV Volatility Indexes: Volatility Forecasting and Market Risk Premia”, Journal of Empirical Finance, (submitted).
  • S. M. Markose, J. Yang (2009), “Optimal Portfolio Selection With Dynamic Regime Switching Weights”, Review of Economic Studies, (submitted).
  • R. Neck (2009), “A System-Theoretic Formulation of the Theory of Economic Policy”, in: N. Mastorakis et al. (Eds.), Recent Advances in Mathematics and Computers in Business and Economics, Proceedings of the 10th WSEAS International Conference on Mathematics and Computers in Business and Economics, Prague 2009, 204–209.
  • R. Neck (2009), “Control Theory and Economic Policy: Balance and Perspectives”, Annual Reviews in Control 33, 79–88.
  • R. Neck (2009), “System-Theoretic Foundations of the Theory of Economic Policy”, WSEAS Transactions on Business and Economics 6, 157–166.
  • R. Neck, D.A. Behrens (2009), “A macroeconomic policy game for a monetary union with adaptive expectations”, Atlantic Economic Journal 37(4), 335-349.
  • R. Neck, G. Haber (2009), “Is the Austrian Public Debt Sustainable?” Working Paper, Klagenfurt University.
  • E. Obasanjo, E. Tzallas-Regas, B. Rustem (2009), “An Interior-Point Algorithm for Nonlinear Minimax Problems”, Journal of Optimization Theory & Applications, (online first).
  • E. Obasanjo, E. Tzallas-Regas, B. Rustem (2009), “An Interior-Point Algorithm for Nonlinear Minimax Problems”, COMISEF Working Paper Series, WPS-019, 06/11/2009.
  • E. Orsingher, L. Beghin (2009), “Fractional diffusion equations and processes with randomly-varying time”, The Annals of Probability, Vol. 37, n1, p. 206-249.
  • B. Park, E. Mammen, W. Härdle, S. Borak (2009), “Dynamic Semiparametric Factor Models”, Journal of the American Statistical Association, (forthcoming).
  • P. Parpas, B. Rustem (2009), “Covergence Analysis of a Global Optimization Algorithm using Stochastic Differential Equations, Journal of Global Optimization, 45, N1, 95-110.
  • E. Pistikopoulos, B. Rustem (2009), Edited Journal Special Issue, Journal of Global Optimization: Special Issue – Workshop on Global Optimization, V. 45, N1, 2009.
  • Y. Ritov, W. Härdle (2009), “From animal baits to investors preference: Estimating and demixing of the weight function in semiparametric models for biased samples”, Statistica Sinica, (forthcoming).
  • O. Stark, D.A. Behrens (2009), “An Evolutionary Edge of Knowing Less (or: On the “Curse” of Global Information)”, Journal of Evolutionary Economics, DOI 10.1007/s00191-009-0137-9.
  • O. Stark, D.A. Behrens, Y. Wang (2009), “On the Evolutionary Edge of Migration as an Assortative Mating Device”, Journal of Evolutionary Economics 19(1), 95-109.
  • O. Stark, W. Hyll, D.A. Behrens (2009), “Gauging the Potential for Social Unrest”, Public Choice, DOI 10.1007/s11127-009-9499-7.
  • A. Staszewska-Bystrova (2009), “Bootstrap Confidence Bands for Forecast Paths”, COMISEF Working Paper Series, WPS-024, 07/12/2009.
  • A. Staszewska-Bystrova (2009), “Bootstrap Confidence Bands for VAR Forecast Paths”, in: W. Welfe, A. Welfe (Eds.): Proceedings of the 35th International Conference Macromodels 2008, Lodz, 155-173.
  • S. Trück, S. Borak, W. Härdle, R. Weron (2009), “Convenience Yields for CO2 Emission Allowance Futures Contracts”, Energy Economics, (tentatively accepted).
  • W. J. Tsay, W. Härdle (2009), “A Generalized ARFIMA Process with Markov- Switching Fractional Differencing Parameter”, J. Statistical Computation and Simulation, (forthcoming).
  • A. Tsoukalas, B. Rustem (2009), “A smoothing Algorithm for finite min-max-min Problems”, Optimization Letters, (forthcoming).
  • W. Wiesemann, D. Kuhn, B. Rustem (2009), “Mulit-Resource Allocation in Stochastic Project Scheduling”, Annals of Operations Research, (accepted).
  • W. Wiesemann, D. Kuhn, B. Rustem (2010), “Maximizing the Net Present Value of a Project under Uncertainty”, European Journal of Operational Research 202(2), 356-367.
  • W. Wiesemann, D. Kuhn, B. Rustem (2009), “Robust Resource Allocations in Temporal Networks”, COMISEF Working Paper Series, WPS-020, 06/11/2009.
  • P. Winker, M. Lyra, C. Sharpe (2009), “Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models”, Computational Management Science, (forthcoming).
  • P. Winker (2009): “Von Hamburgern, Ameisen und dem Dollar-Wechselkurs”, Gießener Universitätsblätter 42, 63-70.
  • V. Winschel, M. Krätzig (2009), “Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality”, Econometrica, (forthcoming).
  • Y. Xia, W. Härdle, O. Linton (2009), “Optimal Smoothing for a Computationally and Statistically Efficient Single Index Estimator”, Discussion Paper, 2009-028, CRC 649, Berlin.
  • P. Yanev, P. Foschi, E.J. Kontoghiorghes (2009), “Efficient algorithms for estimating the error-components seemingly unrelated regression model with serially correlated disturbances”, Working Paper.
  • P. I. Yanev, E. J. Kontoghiorghes (2009), „Computational Strategies for the k-fold cross validation problem using a graph approach”, Journal of Computational and Graphical Statistics, 18(4), 894-914.
  • K. Ye, P. Parpas, B. Rustem (2009), “Robust Portfolio Optimization: A Conic Programming Approach”, COMISEF Working Paper Series, WPS-015, 03/11/2009.
  • K. Ye, B. Rustem, P. Parpas (2009), “Bounding Option Prices Using SDP With Change Of Numeraire”, COMISEF Working Paper Series, WPS-016, 03/11/2009.
  • J. Zhang, D. Maringer (2009), “Index Mutual Fund Replication”, in A. Brabazon, M.C. O'Neill (Eds.) Natural Computing in Computational Finance, Studies in Computational Intelligence series, Springer, (accepted).
  • J. Zhang, D. Maringer (2009), “An application of Differential Evolution in Index Mutual Fund Replication”, Proceedings of the 15th International Conference on Soft Computing Mendel 2009, 303-308, ISBN978-80-214-3884-2, Brno University of Technology.
  • J. Zhang, D. Maringer (2009), “Improving Sharpe Ratios and Stability of Portfolios by Using a Clustering Technique”, Proceedings of the 2009 International Conference of Computational Intelligence and Intelligent Systems, Lecture Notes in Engineering and Computer Science, 1-6, ISBN 978-988-17012-5-1, WCE 2009.
  • J. Zhang, S.P. Zhu (2009), “A Hybrid Finite Difference Method for Valuing American Put Options”, Proceedings of the 2009 International Conference of Financial Engineering, Lecture Notes in Engineering and Computer Science, 1331-1336, ISBN 978-988-18210-1-0, WCE 2009.
  • S. Zymler, D. Kuhn, B. Rustem (2009), “Worst-Case Value-at-Risk Of Non-Linear Portfolios”, COMISEF Working Paper Series, WPS-017, 04/11/2009.
  • S. Zymler, B. Rustem, D. Kuhn (2009), “Robust Portfolio Optimization with Derivative Insurance Guarantees”, COMISEF Working Paper Series, WPS-018, 04/11/2009.
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