BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

140 ACTA WASAENSIABaillie, R. T. (1996). Long memory processes and fractional integration in econometrics.Journal of Econometrics 73, 5—59.Baillie, R. T., T. Bollerslev & H. O. Mikkelsen (1996). Fractionally integrated generalizedautoregressive conditional heteroskedasticiy. Journal of Econometrics 74,3—30.Ball, C. A. & W. N. Torous (1983). A simplified jump process for common stockreturns. Journal of Financial and Quantitative Analysis 18:1, 53—65.Ball, R., B. Lev & R. L. Watts (1976). Income variations and balance sheet compositions.Journal of Accounting Research 14:1, 1—9.Banz, R. W. (1981). The relationship between return and market value of commonstocks. Journal of Financial Economics 9:1, 3—18.Barabási, A.-L. & T. Vicsek (1991). Multifractality of self-affine fractals. PhysicalReview A 44:4, 2730—2733.Barber, B., R. Lehavy, M. McNichols & B. Trueman (2001). Can investors profitfrom the prophets? Security analyst recommendations and stock returns. Journalof Finance 56:2, 531—563.Barndorff-Nielsen,O.E.(1977). Exponentiallydecreasing distributions for the logarithmof particle size. Proceedings of the Royal Society of London Series A 353,401—419.Barndorff-Nielsen, O. E. (1978). Hyperbolic distributions and distributions on a hyperbolae.Scandinavian Journal of Statistics 5, 151—157.Barndorff-Nielsen, O. E. (1997). Normal inverse Gaussian distributions and stochasticvolatility modelling. Scandinavian Journal of Statistics 24, 1—13.Barndorff-Nielsen, O. E. (1998). Processes of normal inverse Gaussian type. Financeand Stochastics 2, 41—68.Barndorff-Nielsen, O. E., E. Nicolato & N. Shepard (2002). Some recent developmentsin stochastic volatility modelling. Quantitative Finance 2:1, 11—23.