Items where Division is "Faculty of Science and Health > Computer Science and Electronic Engineering, School of > Centre for Computational Finance and Economic Agents" and Year is 2015
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Castellanos, Jenny and Constantinou, Nick and Ng, Wing Lon (2015) The signalling properties of the shape of the credit default swap term structure. Journal of Risk, 17 (4). pp. 71-99.
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Gatkowski, Mateusz (2015) Financial Network Stability and Structure: Econometric and Network Analysis. PhD thesis, University of Essex.
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Kleinknecht, Manuel and Ng, Wing Lon (2015) Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint. Intelligent Systems in Accounting, Finance and Management, 22 (4). pp. 263-281. DOI https://doi.org/10.1002/isaf.1370
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Nguyen, Minh Khoa and Phelps, Steve and Ng, Wing Lon (2015) Simulation based calibration using extended balanced augmented empirical likelihood. Statistics and Computing, 25 (6). pp. 1093-1112. DOI https://doi.org/10.1007/s11222-014-9506-9
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Petrucionis, Liutauras (2015) Public News in The Exchange Rate Market. PhD thesis, University of Essex.
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Salazar, Yuri and Ng, Wing Lon (2015) Nonparametric estimation of general multivariate tail dependence and applications to financial time series. Statistical Methods & Applications, 24 (1). pp. 121-158. DOI https://doi.org/10.1007/s10260-014-0274-7
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Turkoglu, Ata (2015) Natural Time and Crash Risk. PhD thesis, University of Essex.
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Vella, Vince and Ng, Wing Lon (2015) A Dynamic Fuzzy Money Management Approach for Controlling the Intraday Risk‐Adjusted Performance of AI Trading Algorithms. Intelligent Systems in Accounting, Finance and Management, 22 (2). pp. 153-178. DOI https://doi.org/10.1002/isaf.1359
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Yi Cao and Yuhua Li and Coleman, Sonya and Belatreche, Ammar and McGinnity, Thomas Martin (2015) Adaptive Hidden Markov Model With Anomaly States for Price Manipulation Detection. IEEE Transactions on Neural Networks and Learning Systems, 26 (2). pp. 318-330. DOI https://doi.org/10.1109/tnnls.2014.2315042