Search Results - subject:"jump"

Impact of raw material price volatility on returns in electric vehicles supply chain

Alekseev, Oleg; Janda, Karel; Petit, Mathieu; … - 2023

and the newly proposed EGARCH-EARJI model to capture the jump component of volatility in the EV battery raw materials … market. The effect on individual stock returns of EV producers is studied via the adjusted Fama-French model with the jump …

Persistent link: https://www.econbiz.de/10014494952

Impact of raw material price volatility on returns in electric vehicles supply chain

Alekseev, Oleg; Janda, Karel; Petit, Mathieu; … - 2023

Persistent link: https://www.econbiz.de/10014333568

Discretely distributed scheduled jumps and interest rate derivatives : pricing in the context of central bank actions

Silva, Allan Jonathan da; Baczynski, Jack - In: Economies : open access journal 12 (2024) 3, pp. 1-29

affine jump-diffusions (AJDs) in order to realistically represent interest rates. We name this class the AJD-Skellam models …

Persistent link: https://www.econbiz.de/10014501143

Jump-diffusion volatility models for variance swaps : an empirical performance analysis

Jin, Xing; Hong, Yi - In: International review of financial analysis 87 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014457699

Forecasting realized volatility : new evidence from time-varying jumps in VIX

Dutta, Anupam; Das, Debojyoti - In: The journal of futures markets 42 (2022) 12, pp. 2165-2189

Persistent link: https://www.econbiz.de/10013465875

Cointegrated portfolios and volatility modeling in the cryptocurrency market

Gabriel, Stefan; Kunst, Robert M. - 2024

We examine two major topics in the field of cryptocurrencies. On the one hand, we investigate possible long-run equilibrium relationships among ten major cryptocurrencies by applying two different cointegration tests. This analysis aims at constructing cointegrated portfolios that enable...

Persistent link: https://www.econbiz.de/10014496157