Roman Frey

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

M.A. HSG / Research Fellow

Rosenbergstrasse 52

St. Gallen, CH-9000

Switzerland

SCHOLARLY PAPERS

2

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CITATIONS

2

Scholarly Papers (2)

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
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 390 (46,814)
Citation 1

Abstract:

Wordcount, Text Mining, Market Efficiency, Tactical Asset Allocation

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 University Amsterdam
Downloads 163 (152,385)
Citation 1

Abstract:

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 University Amsterdam
Downloads 28 (417,503)
Citation 1

Abstract:

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