7 June 2016

Geman, Hélyette and Chang, L. and Liu, B. (2016) Intraday pair trading strategies on high frequency data: the case of oil companies. Quantitative Finance 17 (1), pp. 87-100. ISSN 1469-7688.

2017

Burzoni, M. and Peri, Ilaria and Ruffo, C.M. (2017) On the properties of the Lambda value at risk: robustness, elicitability and consistency. Quantitative Finance 17 (11), pp. 1735-1743. ISSN 1469-7688.