Roman Frey

University of St. Gallen - Swiss Institute of Banking and Finance

M.A. HSG / Research Fellow

Rosenbergstrasse 52

St. Gallen, CH-9000

Switzerland

  • University of St. Gallen - Swiss Institute of Banking and Finance

SCHOLARLY PAPERS

2

DOWNLOADS

941

TOTAL CITATIONS

5

Scholarly Papers (2)

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1.

Do Newspaper Articles Predict Aggregate Stock Returns?

University of St.Gallen, School of Finance Research Paper No. 2012/4, Journal of Behavioral Finance, 15(3), 2014, pp. 195-213.
Number of pages: 40 Posted: 16 Nov 2011 Last Revised: 25 Jan 2016
Manuel Ammann, Roman Frey and Michael Verhofen
University of St. Gallen - School of Finance, University of St. Gallen - Swiss Institute of Banking and Finance and University of St. Gallen - Swiss Institute of Banking and Finance
Downloads 649 (83,640)
Citation 2

Abstract:

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Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

2.

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For

Downloads 292 (212,425)
Citation 3

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good For

Number of pages: 47 Posted: 16 Mar 2012 Last Revised: 13 Feb 2015
Roman Frey, Paulo Rodrigues and Norman Seeger
University of St. Gallen - Swiss Institute of Banking and Finance, Maastricht University - Department of Finance and VU Amsterdam - School of Business and Economics
Downloads 214 (287,777)

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stochastic volatility, out-of-sample, density forecasts, particle filter

Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 09 Feb 2013
Roman Frey, Paulo Rodrigues and Norman Seeger
University of St. Gallen - Swiss Institute of Banking and Finance, Maastricht University and VU Amsterdam - School of Business and Economics
Downloads 78 (636,724)
Citation 3

Abstract:

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Stochastic volatility, Out-of-sample, Density forecasts, Particle filter