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subject:"Zeitreihenanalyse"
~accessRights:"restricted"
~person:"Nielsen, Morten Ørregaard"
~person:"Serna, Gregorio"
~subject:"ARMA-Modell"
~subject:"Stochastic process"
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Zeitreihenanalyse
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Stochastic process
Commodity price
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Rohstoffpreis
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Kalman filter
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Market price of risk
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Option pricing theory
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Optionspreistheorie
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Refining margin
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Risikoprämie
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Nielsen, Morten Ørregaard
Serna, Gregorio
De Pace, Pierangelo
3
Hernandez, Manuel A.
3
Winkelried, Diego
3
De Nicola, Francesca
2
Población, Javier
2
Abrell, Jan
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Adalı, Zafer
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Adekoya, Oluwasegun B.
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Aiube, Fernando Antônio Lucena
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International review of economics & finance : IREF
1
Journal of econometrics
1
Review of derivatives research
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Is the refining margin stationary?
Población, Javier
;
Serna, Gregorio
- In:
International review of economics & finance : IREF
44
(
2016
),
pp. 169-186
Persistent link: https://www.econbiz.de/10011626045
Saved in:
2
Commodity derivative valuation under a factor model with time-varying market prices of risk
García Mirantes, Andrés
;
Población, Javier
;
Serna, …
- In:
Review of derivatives research
18
(
2015
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10011414114
Saved in:
3
Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets
Cavaliere, Giuseppe
;
Nielsen, Morten Ørregaard
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 557-579
Persistent link: https://www.econbiz.de/10011499761
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