-
2“...The local power of many popular non‐cointegration tests has recently been shown to depend on a certain nuisance parameter. Depending on the value of that...”
-
3“...From an analysis of the time series of realized variance using recent high-frequency data, Gatheral et al. [Volatility is rough, 2014] previously showed that...”
-
4“...Are shocks to firms' profitability risk, propagated by physical capital adjustment costs, a major source of business cycle fluctuations? This paper studies...”
-
5Ki67, chemotherapy response, and prognosis in breast cancer patients receiving neoadjuvant treatmentby Fasching, Peter A Heusinger, Katharina Haeberle, Lothar Niklos, Melitta Hein, Alexander Bayer, Christian M Rauh, Claudia Schulz-Wendtland, Ruediger Bani, Mayada R Schrauder, Michael Kahmann, Laura Lux, Michael P Strehl, Johanna D Hartmann, Arndt Dimmler, Arno Beckmann, Matthias W Wachter, David L Published in BMC cancer (14.11.2011)“...The pathological complete response (pCR) after neoadjuvant chemotherapy is a surrogate marker for a favorable prognosis in breast cancer patients. Factors...”
-
6“...The cross-sectional dispersion of firm-level investment rates is procyclical. This makes investment rates different from productivity, output, and employment...”
-
7A Comment on the Economics of Labor Adjustment: Mind the Gap: Evidence from a Monte Carlo Experimentby Bayer, Christian Published in The American economic review (01.12.2009)“...This comment addresses a point raised in Russell Cooper and Jonathan Willis (2003, 2004), which discusses whether the “gap approach” is appropriate to describe...”
-
8by Bayer, Christian Laurence, Peter Published in Communications on pure and applied mathematics (01.10.2014)“...We consider a basket of options with both positive and negative weights in the case where each asset has a smile, i.e., evolves according to its own local...”
-
9by Bayer, Christian Luetticke, Ralph Pham‐Dao, Lien Tjaden, Volker Published in Econometrica (01.01.2019)“...Households face large income uncertainty that varies substantially over the business cycle. We examine the macroeconomic consequences of these variations in a...”
-
10by Bayer, Christian Redmann, Martin Schoenmakers, John Published in Quantitative finance (02.01.2021)“...We introduce new variants of classical regression-based algorithms for optimal stopping problems based on computation of regression coefficients by Monte Carlo...”
-
11“...A new method for the numerical pricing of American options...”
-
12“...COVID-19 is spreading and has reached the state of a worldwide pandemic and health systems are or will be tested in how they can deal with it. So far, during...”
-
13by Christian Bayer Ulrich Horst Jinniao Qiu Published in The Annals of applied probability (01.10.2017)“...We consider a stochastic model for the dynamics of the two-sided limit order book (LOB). Our model is flexible enough to allow for a dependence of the price...”
-
14“...Capital reallocation creates excess volatility in investment in many two-country open economy models. Convex adjustment costs to capital have become a standard...”
-
15“...This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and Black-Scholes...”
-
16by Bayer, Christian Ben Hammouda, Chiheb Tempone, Raúl Published in Quantitative finance (01.09.2020)“...The rough Bergomi (rBergomi) model, introduced recently in Bayer et al. [Pricing under rough volatility. Quant. Finance, 2016, 16(6), 887-904], is a promising...”
-
17by Bayer, Christian Published in Journal of monetary economics (2006)“...This paper examines the implications of financing frictions on capital stocks and on capital accumulation in the presence of non-convex costs of adjusting the...”
-
18“...In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval,...”
-
19“...Wages grow and become more unequal as workers age. Economic theory focuses on worker investment in human capital, search for employers, and residual wage...”
-
20by Bayer, Christian Friz, Peter K Gassiat, Paul Martin, Jorg Stemper, Benjamin Published in Mathematical finance (01.07.2020)“...A new paradigm has emerged recently in financial modeling: rough (stochastic) volatility. First observed by Gatheral et al. in high‐frequency data,...”