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~isPartOf:"Working paper"
~person:"Baker, Scott"
~person:"Clements, Adam"
~person:"Engle, Robert F."
~person:"McAleer, Michael"
~subject:"Commodity derivative"
~subject:"Risk measure"
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Search: subject_exact:"Volatility"
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Commodity derivative
Risk measure
Volatility
43
Volatilität
43
ARCH model
16
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16
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14
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14
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11
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Spillover-Effekt
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15
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Baker, Scott
Clements, Adam
Engle, Robert F.
McAleer, Michael
Chang, Chia-Lin
7
Manera, Matteo
6
Roengchai Tansuchat
5
Behmiri, Niaz Bashiri
3
Hammoudeh, Shawkat
3
Nicolini, Marcella
3
Allen, David E.
2
Caporin, Massimiliano
2
Mumtaz, Haroon
2
Pérez Amaral, Teodosio
2
Valenti, Daniele
2
Vignati, Ilaria
2
Ahmadi, Maryam
1
Asai, Manabu
1
Asai, Manuabu
1
Baillie, Richard
1
Baldi, Lucia
1
Cassese, Gianluca
1
Chiu, Ching Wai Jeremy
1
Erdemlioglu, Deniz
1
Guidolin, Massimo
1
Han, Young Wook
1
Jiménez-Martín, Juan-Ángel
1
Joe͏̈ts, Marc
1
Khamkaew, Thanchanok
1
Liu, Tengdong
1
Malik, Farooq
1
Malik, Neha
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Medeiros, Marcelo C.
1
Myers, Robert J.
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Neely, Christopher J.
1
Peri, Massimo
1
Pinter, Gabor
1
Rai, Durgesh K.
1
Ray, Saon
1
Sbuelz, Alessandro
1
Scharth, Marcel
1
Song, Jeongseok
1
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University of Canterbury / Dept. of Economics and Finance
5
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Working paper
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20
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6
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5
International review of economics & finance : IREF
3
The North American journal of economics and finance : a journal of financial economics studies
3
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2
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1
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1
NCER working paper series
1
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
1
Tinbergen Institute Discussion Paper 2018-052/III
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ECONIS (ZBW)
15
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1
Herding, information cascades and volatility spillovers in futures markets
McAleer, Michael
-
2013
Persistent link: https://www.econbiz.de/10009787937
Saved in:
2
Risk spillovers in oil-related CDS, stock and credit markets
Hammoudeh, Shawkat
;
Liu, Tengdong
;
Chang, Chia-Lin
; …
-
2011
Persistent link: https://www.econbiz.de/10009012018
Saved in:
3
Modelling and forecasting noisy realized volatility
Asai, Manuabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008669930
Saved in:
4
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2010
Persistent link: https://www.econbiz.de/10008689075
Saved in:
5
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695591
Saved in:
6
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
7
Risk modeling and management : an overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
2013
Persistent link: https://www.econbiz.de/10009771092
Saved in:
8
Modelling long memory volatility in agricultural commodity futures returns
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
-
2012
Persistent link: https://www.econbiz.de/10009562958
Saved in:
9
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
10
Conditional correlations and volatility spillovers between crude oil and stock index returns
Roengchai Tansuchat
;
Chang, Chia-Lin
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008669344
Saved in:
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