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~person:"Benth, Fred Espen"
~person:"Chevallier, Julien"
~person:"Hammoudeh, Shawkat"
~subject:"ARCH-Modell"
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Search: subject_exact:"Rohstoffterminhandel"
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ARCH-Modell
Commodity derivative
54
Rohstoffderivat
54
Volatility
28
Volatilität
28
Oil price
17
Ölpreis
17
Commodity market
14
Rohstoffmarkt
14
Erdöl
12
Petroleum
12
Welt
12
World
12
ARCH model
11
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10
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Derivat
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Derivative
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Rohstoffpreis
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USA
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United States
8
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7
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7
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7
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6
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6
Optionspreistheorie
6
Schätzung
6
Time series analysis
6
Zeitreihenanalyse
6
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5
Börsenkurs
5
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Commodity markets
5
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5
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Benth, Fred Espen
Chevallier, Julien
Hammoudeh, Shawkat
McAleer, Michael
30
Ma, Feng
28
Chang, Chia-Lin
24
Manera, Matteo
12
Tansuchat, Roengchai
10
Zhang, Yaojie
10
Nicolini, Marcella
9
Roengchai Tansuchat
9
Wei, Yu
9
Liu, Jing
6
Lu, Xinjie
6
Nguyen, Duc Khuong
6
Wang, Yudong
6
Bouri, Elie
5
Huang, Dengshi
5
Luo, Jiawen
5
Vignati, Ilaria
5
Chen, Wang
4
Gong, Xu
4
Ji, Qiang
4
Liang, Chao
4
Liao, Yin
4
Niu, Zibo
4
Todorova, Neda
4
Wang, Lu
4
Zagaglia, Paolo
4
Zhang, Hongwei
4
Zhang, Yue-jun
4
Billio, Monica
3
Casarin, Roberto
3
Gao, Wang
3
Go, You-How
3
Jumah, Adusei
3
Karali, Berna
3
Kunst, Robert M.
3
Lahiani, Amine
3
Lanza, Alessandro
3
Lau, Wee-Yeap
3
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University of Canterbury / Dept. of Economics and Finance
1
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Energy economics
5
Applied economics letters
1
International review of economics & finance : IREF
1
Journal of commodity markets
1
Journal of forecasting
1
Research in international business and finance
1
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ECONIS (ZBW)
11
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1
A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng
;
Wahab, M. I. M.
;
Chevallier, Julien
;
Li, Ziyang
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
Saved in:
2
The connectedness in the world petroleum futures markets using a Quantile VAR approach
Jena, Sangram Keshari
;
Tiwari, Aviral Kumar
;
Abakah, …
- In:
Journal of commodity markets
27
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014276628
Saved in:
3
A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian
;
Chevallier, Julien
;
Zhu, Bangzhu
- In:
Energy economics
85
(
2020
),
pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
Saved in:
4
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
5
Volatility returns with vengeance : financial markets vs. commodities
Aboura, Sofiane
;
Chevallier, Julien
- In:
Research in international business and finance
33
(
2015
),
pp. 334-354
Persistent link: https://www.econbiz.de/10011325853
Saved in:
6
The time-varying causality between spot and futures crude oil prices : a regime switching approach
Balcilar, Mehmet
;
Gungor, Hasan
;
Hammoudeh, Shawkat
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 51-71
Persistent link: https://www.econbiz.de/10011571896
Saved in:
7
Dynamic spillovers among major energy and cereal commodity prices
Mensi, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
; …
- In:
Energy economics
43
(
2014
),
pp. 225-243
Persistent link: https://www.econbiz.de/10010504821
Saved in:
8
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
- In:
Energy economics
41
(
2014
),
pp. 1-18
Persistent link: https://www.econbiz.de/10010374635
Saved in:
9
Volatility spillovers in commodity markets
Chevallier, Julien
;
Ielpo, Florian
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1211-1227
Persistent link: https://www.econbiz.de/10010198563
Saved in:
10
On the volatility-volume relationship in energy futures markets using intraday data
Chevallier, Julien
;
Sévi, Benoît
- In:
Energy economics
34
(
2012
)
6
,
pp. 1896-1909
Persistent link: https://www.econbiz.de/10009688936
Saved in:
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