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2
Journal Article
Combining non-cointegration tests“...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...”
First version received May 2008
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3
Journal Article
“...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...”
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Journal Article
“...Are shocks to firms' profitability risk, propagated by physical capital adjustment costs, a major source of business cycle fluctuations? This paper studies...”
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5
Journal Article
Ki67, 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...”
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6
Journal Article
“...The cross-sectional dispersion of firm-level investment rates is procyclical. This makes investment rates different from productivity, output, and employment...”
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Journal Article
by Schrauder, Michael G Strick, Reiner Schulz-Wendtland, Rüdiger Strissel, Pamela L Kahmann, Laura Loehberg, Christian R Lux, Michael P Jud, Sebastian M Hartmann, Arndt Hein, Alexander Bayer, Christian M Bani, Mayada R Richter, Swetlana Adamietz, Boris R Wenkel, Evelyn Rauh, Claudia Beckmann, Matthias W Fasching, Peter A“...MicroRNAs (miRNAs, miRs) are a class of small, non-coding RNA molecules with relevance as regulators of gene expression thereby affecting crucial processes in...”
edited by Hoheisel, Jörg D
Published in PloS one (2012-00-00)
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Journal Article
A 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...”
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Journal Article
“...This paper describes a method for solving heterogeneous agent models with aggregate risk and many idiosyncratic states formulated in discrete time. It extends...”
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Journal Article
“...A new method for the numerical pricing of American options...”
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Journal Article
by 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...”
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Journal Article
by Bayer, Christian Horst, Ulrich Qiu, Jinniao 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...”
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Journal Article
by 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...”
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14
Journal Article
by 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...”
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Journal Article
by 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,...”
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16
eBook
“...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...”
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17
Journal Article
by 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...”
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Journal Article
“...Capital reallocation creates excess volatility in investment in many two-country open economy models. Convex adjustment costs to capital have become a standard...”
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19
Journal Article
“...This work addresses the problem of pricing American basket options in a multivariate setting, which includes among others, the Bachelier and Black-Scholes...”
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Journal Article
by 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...”
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