Publications resulting from WWTF project

Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci:
“Local Adaptive Multiplicative Error Models for High-Frequency
Forecasts“,
Journal of Applied Econometrics, Vol. 30 (2015), No. 4, 529-550.
DOI: 10.1002/jae.2376

Nikolaus Hautsch, Julia Schaumburg and Melanie Schienle:
“Financial Network Systemic Risk Contributions”,
Review of Finance, Vol. 19 (2015), No. 2, 685-738.
DOI: 10.1093/rof/rfu010

Nikolaus Hautsch, Lada M. Kyj and Peter Malec:
“Do High-Frequency Data Improve High-Dimensional Portfolio Allocation?",
Journal of Applied Econometrics, Vol. 30 (2015), Nr. 2, 263-290.
DOI: 10.1002/jae.2361

M. Pohl, A. Ristig, W. Schachermayer, L. Tangpi:
“The amazing power of dimensional analysis: Quantifying market impact.
Published online in Market Microstructure and Liquidity (2018).
arXiv:1702.05434
DOI:10.1142/S2382626618500041

G. Ch. Pflug, M. Pohl:
“Ambiguity in stochastic optimization: The case of portfolio selection".
Set-Valued and Variational Analysis/ (2017): 1-25.
DOI: 10.1007/s11228-017-0458-z

M. Pohl, A. Ristig, W. Schachermayer, L. Tangpi:
“Theoretical and empirical analysis of trading activity".
Published online in Mathematical Programming (2018).
arXiv:1803.04892
DOI:10.1007/s10107-018-1341-x

D. Bartl, M. Kupper, D.J. Prömel, L. Tangpi:
Duality for pathwise superhedging in continuous time (2017).
Preprint
arXiv:1705.02933

J. Backhoff, L. Tangpi:
On the dynamic representation of some time-inconsistent risk measures in a Brownian Filtration (2016).
Preprint
arXiv:1608.07498

D. Bartl, S. Drapeau, L. Tangpi:
Computational aspects of robust optimized certainty equivalent and option pricing. Forthcoming in Mathematical Finance.
Preprint
arXiv:1706.10186

P. Luo, L. Tangpi: BSDEs on finite and infinite horizon with time delayed Generators (2018), Communications on Stochastic Analysis 12(1) 59-72.
DOI:10.31390/cosa.12.1.05
arXiv:1509.01991

L. Tangpi:
Concentration of dynamic risk measures in a Brownian Filtration (2018). Forthcoming in Stochastic Processes and their Applications.
arXiv:1805.09014
DOI:10.1016/j.spa.2018.05.008

M. Kupper, P. Luo, L. Tangpi:
Multidimensional Markovian FBSDEs with superquadratic growth. Forthcoming in Stochastic Processes and their Applications.
arXiv:1505.01796
DOI:10.1016/j.spa.2018.03.024

P. Cheridito. M. Kupper, L. Tangpi:
Duality formulas for robust pricing and hedging in discrete time (2017), SIAM Journal on Financial Mathematics 8(1), 738-765.
arXiv:1602.06177
DOI:10.1137/16M1064088

P. Luo, L. Tangpi:
Solvability of coupled FBSDEs with diagonally quadratic Generators (2017), Stochastics and Dynamcis 17 (6), 1750043.
DOI:10.1142/S0219493717500435

D. Bartl, P. Cheridito, M. Kupper, L. Tangpi:
Duality for increasing convex functionals with countably many marginal constraints (2017), Banach Journal of Mathematical Analysis 11 (1) 72-89.
DOI:10.1215/17358787-3750133
arxiv:1509.08988