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subject:"Derivat"
~isPartOf:"Applied financial economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of forecasting"
~isPartOf:"The European journal of finance"
~subject:"ARCH model"
~subject:"ARCH-Modell"
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Derivat
ARCH model
ARCH-Modell
Commodity derivative
62
Rohstoffderivat
62
Volatility
23
Volatilität
23
Theorie
17
Theory
17
Estimation
16
Schätzung
16
Commodity price
15
Rohstoffpreis
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Erdöl
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Derivative
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Welt
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Efficient market hypothesis
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Effizienzmarkthypothese
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22
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Ma, Feng
2
Prokopczuk, Marcel
2
Adrangi, Bahram
1
Back, Janis
1
Benth, Fred Espen
1
Bernard, Jean-Thomas
1
Chatrath, Arjun
1
Chen, Fei
1
Chevallier, Julien
1
Chiu, Tien-yu
1
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1
Conlon, Thomas
1
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1
Felten, Björn
1
Fong, Wai-mun
1
Fouque, Jean-Pierre
1
Gençay, Ramazan
1
Goard, Joanna
1
Herwartz, Helmut
1
Ji, Qiang
1
Khalaf, Lynda
1
Kichian, Maral
1
Kiesel, Rüdiger
1
Kremer, Marcel
1
Lee, Hsiang-tai
1
Li, Ziyang
1
Lien, Da-hsiang Donald
1
Liu, Jing
1
Lu, Xinjie
1
Luo, Jiawen
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Marfatia, Hardik A.
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1
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Oud, Mohammed A. Aba
1
Paschke, Raphael
1
Pederzoli, C.
1
Saporito, Yuri F.
1
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1
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Applied financial economics
International journal of theoretical and applied finance
Journal of forecasting
The European journal of finance
Energy economics
125
The journal of futures markets
29
Economic modelling
28
International review of financial analysis
27
Finance research letters
25
International review of economics & finance : IREF
21
Applied economics
17
Journal of commodity markets
16
International Journal of Energy Economics and Policy : IJEEP
15
Research in international business and finance
15
Working paper
15
Journal of banking & finance
14
The energy journal
14
American journal of agricultural economics
11
Applied economics letters
11
Econometric Institute research papers
11
Journal of empirical finance
9
The North American journal of economics and finance : a journal of financial economics studies
8
International journal of finance & economics : IJFE
7
Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association
7
Applied economic perspectives and policy
6
Cogent economics & finance
6
European journal of operational research : EJOR
6
International journal of forecasting
6
Journal of international financial markets, institutions & money
6
The empirical economics letters : a monthly international journal of economics
6
Journal of risk and financial management : JRFM
5
Quantitative finance
5
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
5
Review of quantitative finance and accounting
5
Annals of finance
4
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
European review of agricultural economics : ERAE
4
IIMB management review
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1
Commodity price dynamics and derivative valuation : a review
Back, Janis
;
Prokopczuk, Marcel
- In:
International journal of theoretical and applied finance
16
(
2013
)
6
,
pp. 1-30
Persistent link: https://www.econbiz.de/10010197182
Saved in:
2
Investing in commodity futures markets : can pricing models help?
Paschke, Raphael
;
Prokopczuk, Marcel
- In:
The European journal of finance
18
(
2012
)
1/2
,
pp. 59-87
Persistent link: https://www.econbiz.de/10009565253
Saved in:
3
Forecasting commodity prices : GARCH, jumps, and mean reversion
Bernard, Jean-Thomas
;
Khalaf, Lynda
;
Kichian, Maral
; …
- In:
Journal of forecasting
27
(
2008
)
4
,
pp. 279-291
Persistent link: https://www.econbiz.de/10003826728
Saved in:
4
Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu
;
Shieh, Shwu-Jane
- In:
International journal of theoretical and applied finance
12
(
2009
)
2
,
pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
Saved in:
5
Estimating optimal hedge ratio : a multivariate skew-normal distribution approach
Lien, Da-hsiang Donald
;
Shrestha, Keshab
- In:
Applied financial economics
20
(
2010
)
7/9
,
pp. 627-636
Persistent link: https://www.econbiz.de/10009009324
Saved in:
6
Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba
;
Goard, Joanna
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
Saved in:
7
Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets
Zhang, Yuanyuan
;
Choudhry, Taufiq
- In:
The European journal of finance
21
(
2015
)
4/6
,
pp. 376-399
Persistent link: https://www.econbiz.de/10010528976
Saved in:
8
Price discovery in spot and futures markets : a reconsideration
Theissen, Erik
- In:
The European journal of finance
18
(
2012
)
9/10
,
pp. 969-987
Persistent link: https://www.econbiz.de/10009691772
Saved in:
9
Efficiency and unbiasedness of corn futures markets : new evidence across the financial crisis
Pederzoli, C.
;
Torricelli, Costanza
- In:
Applied financial economics
23
(
2013
)
22/24
,
pp. 1853-1863
Persistent link: https://www.econbiz.de/10010337258
Saved in:
10
Multiscale stochastic volatility model for derivatives on futures
Fouque, Jean-Pierre
;
Saporito, Yuri F.
;
Zubelli, Jorge P.
- In:
International journal of theoretical and applied finance
17
(
2014
)
7
,
pp. 1-31
Persistent link: https://www.econbiz.de/10010498865
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