Christina Erlwein-Sayer

Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)

Gottlieb-Daimler-Str., Geb. 49

67663 Kaiserslautern, 67663

Germany

SCHOLARLY PAPERS

3

DOWNLOADS

359

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

News-Enhanced Market Risk Management

Number of pages: 16 Posted: 24 Nov 2013
OptiRisk Systems, Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), OptiRisk Systems, Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), SemLab and SemLab
Downloads 166 (214,324)
Citation 2

Abstract:

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News analytics, Risk Management, Value at Risk

2.

Filter-based Portfolio Strategies in an HMM Setting with Varying Correlation Parametrizations

Number of pages: 31 Posted: 02 Dec 2016 Last Revised: 24 Nov 2017
Christina Erlwein-Sayer, Stefanie Grimm, Peter Ruckdeschel, Jörn Sass and Tilman Sayer
Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM), Fraunhofer Gesellschaft - Department of Finance, University of Oldenburg - School of Mathematics and Science, University of Kaiserslautern - Department of Mathematics and Advanced Logic Analytics
Downloads 148 (235,829)
Citation 2

Abstract:

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Multivariate HMM, Filtering, Regime switching model, Portfolio optimization

3.

Enhanced Corporate Bond Yield Modelling Incorporating Macroeconomic News Sentiment

Number of pages: 33 Posted: 03 Jul 2019
Zhixin Cai, Gautam Mitra and Christina Erlwein-Sayer
Independent, OptiRisk Systems and Fraunhofer Gesellschaft - Institute of Industrial Mathematics (ITWM)
Downloads 45 (478,876)

Abstract:

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Macroeconomic News Sentiment, Firm-specific News Sentiment, Autoregressive–moving-average model with exogenous inputs model (ARIMAX)