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subject:"Derivat"
~isPartOf:"Applied financial economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Erdöl"
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Derivat
ARCH model
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Erdöl
Commodity derivative
47
Rohstoffderivat
47
Volatility
17
Volatilität
17
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13
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Chatrath, Arjun
2
Ma, Feng
2
McAleer, Michael
2
Adrangi, Bahram
1
Back, Janis
1
Benth, Fred Espen
1
Bernard, Jean-Thomas
1
Chevallier, Julien
1
Chiu, Tien-yu
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1
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Applied financial economics
International journal of theoretical and applied finance
Journal of forecasting
Energy economics
184
The journal of futures markets
45
Finance research letters
36
International review of financial analysis
35
Economic modelling
30
The energy journal
30
International review of economics & finance : IREF
29
Applied economics
23
International Journal of Energy Economics and Policy : IJEEP
23
Working paper
19
Research in international business and finance
18
Journal of commodity markets
17
Journal of banking & finance
16
Applied economics letters
14
American journal of agricultural economics
11
Econometric Institute research papers
11
The North American journal of economics and finance : a journal of financial economics studies
10
Journal of empirical finance
9
The European journal of finance
9
International journal of finance & economics : IJFE
8
International journal of forecasting
8
Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association
7
Journal of international financial markets, institutions & money
7
The empirical economics letters : a monthly international journal of economics
7
The review of financial studies
7
Applied economic perspectives and policy
6
Cogent economics & finance
6
European journal of operational research : EJOR
6
Journal of international money and finance
6
Journal of risk and financial management : JRFM
6
NBER working paper series
6
Review of quantitative finance and accounting
6
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
5
Finance India : the quarterly journal of Indian Institute of Finance
5
Financial modeling and risk management of energy and environmental instruments and derivates
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OPEC energy review
5
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ECONIS (ZBW)
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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
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:
3
Modelling time-vaying conditionl correlations in the volatility of Tapus oil spot and forward returns
Manera, Matteo
;
McAleer, Michael
;
Grasso, Margherita
- In:
Applied financial economics
16
(
2006
)
7
,
pp. 525-533
Persistent link: https://www.econbiz.de/10003320406
Saved in:
4
Hedging effectiveness and futures contract maturity : the case of NYMEX crude oil futures
Ripple, Ronald D.
;
Moosa, Imad A.
- In:
Applied financial economics
17
(
2007
)
7/9
,
pp. 683-689
Persistent link: https://www.econbiz.de/10003491216
Saved in:
5
Trading futures spreads : an application of correlation and threshold filters
Dunis, C. L.
;
Laws, Jason
;
Evans, Ben
- In:
Applied financial economics
16
(
2006
)
12
,
pp. 903-914
Persistent link: https://www.econbiz.de/10003377844
Saved in:
6
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:
7
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:
8
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:
9
The forecasting efficacy of risk-neutral mopments for crude oil volatility
Chatrath, Arjun
;
Miao, Hong
;
Ramchander, Sanjay
;
Wang, …
- In:
Journal of forecasting
34
(
2015
)
3
,
pp. 177-190
Persistent link: https://www.econbiz.de/10011305272
Saved in:
10
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
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