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subject:"Derivat"
~isPartOf:"Applied financial economics"
~isPartOf:"International journal of theoretical and applied finance"
~subject:"ARCH model"
~subject:"ARCH-Modell"
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Derivat
ARCH model
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Commodity derivative
37
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USA
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12
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Adrangi, Bahram
1
Ai͏̈d, René
1
Back, Janis
1
Benth, Fred Espen
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Campi, Luciano
1
Chang, Chiao-yi
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Chatrath, Arjun
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Applied financial economics
International journal of theoretical and applied finance
Energy economics
161
The journal of futures markets
55
Economic modelling
39
International review of financial analysis
33
Journal of environmental economics and management : JEEM ; the official journal of the Association of Environmental and Resource Economists
32
Working paper
32
American journal of agricultural economics
31
International review of economics & finance : IREF
31
Applied economics
30
Finance research letters
29
Journal of banking & finance
26
Journal of commodity markets
25
Environmental & resource economics : the official journal of the European Association of Environmental and Resource Economists
22
The energy journal
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Journal of economic dynamics & control
21
NBER working paper series
20
Working paper / National Bureau of Economic Research, Inc.
19
Applied economics letters
17
International Journal of Energy Economics and Policy : IJEEP
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NBER Working Paper
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Research in international business and finance
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Ecological economics : the transdisciplinary journal of the International Society for Ecological Economics
16
CESifo working papers
15
Journal of empirical finance
15
Journal of international money and finance
14
Discussion paper / Tinbergen Institute
13
Natural resource modeling : the official journal of the Resource Modeling Association
13
Volkswirtschaftliche Diskussionsbeiträge
13
Resource and energy economics
12
Econometric Institute research papers
11
Marine resource economics
11
The North American journal of economics and finance : a journal of financial economics studies
11
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
European journal of operational research : EJOR
10
European review of agricultural economics : ERAE
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IMF working papers
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Journal of urban economics
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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
Simple and extended Kalman filters : an application to term structures of commodity prices
Lautier, Delphine
;
Galli, Alain
- In:
Applied financial economics
14
(
2004
)
13
,
pp. 963-973
Persistent link: https://www.econbiz.de/10002195491
Saved in:
3
A structural risk-neutral model of electricity prices
Ai͏̈d, René
;
Campi, Luciano
;
Huu, Adrien Nguyen
; …
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 925-947
Persistent link: https://www.econbiz.de/10003928763
Saved in:
4
Forward and futures prices with bubbles
Jarrow, Robert A.
;
Protter, Philipp
- In:
International journal of theoretical and applied finance
12
(
2009
)
7
,
pp. 901-924
Persistent link: https://www.econbiz.de/10003928307
Saved in:
5
Energy spot price models and spread options pricing
Hikspoors, Samuel
;
Jaimungal, Sebastian
- In:
International journal of theoretical and applied finance
10
(
2007
)
7
,
pp. 1111-1135
Persistent link: https://www.econbiz.de/10003632058
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
Are commodity markets characterized by herd behaviour?
Steen, Marie
;
Gjolberg, Ole
- In:
Applied financial economics
23
(
2013
)
1/3
,
pp. 79-90
Persistent link: https://www.econbiz.de/10009719030
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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