Marcel Kremer

University of Duisburg-Essen

PhD Student

Universitaetsstrasse 12

Essen, 45141

Germany

http://www.lef.wiwi.uni-due.de/en/team/marcel-kremer

SCHOLARLY PAPERS

3

DOWNLOADS

280

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Economic and Political Effects on Currency Clustering Dynamics

Quantitative Finance, 19(5):705-716, 2019
Number of pages: 17 Posted: 20 Sep 2017 Last Revised: 12 Aug 2019
University of Duisburg-Essen, Boston University - Department of Physics, Boston University Metropolitan College, Boston University - Center for Polymer Studies and University of Duisburg-Essen
Downloads 160 (185,256)

Abstract:

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Symbolic performance; Currency clustering; Currency dynamics; Central bank intervention

2.

Volatility and Liquidity on High-Frequency Electricity Futures Markets: Empirical Analysis and Stochastic Modeling

Number of pages: 34 Posted: 17 Jun 2019
University of Duisburg-Essen, University of Oslo, University of Duisburg-Essen and University of Duisburg-Essen - Faculty of Economic Science
Downloads 120 (234,645)

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Volatility, Liquidity, Electricity Futures, High-Frequency Prices, Stochastic Modeling, Monte Carlo Simulation, Time-Weighted Realized Variance

3.

Impact of Nonstationarity on Estimating and Modeling Empirical Copulas of Daily Stock Returns

Journal of Risk, Vol. 19, No. 1, 2016
Number of pages: 24 Posted: 08 Oct 2016
Marcel Kremer and Rudi Schäfer
University of Duisburg-Essen and University of Duisburg-Essen
Downloads 0 (670,354)
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Abstract:

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copulas, financial time series, nonstationarity, asymmetry, multivariate mixture, K-copula