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subject:"Derivat"
~person:"Chatrath, Arjun"
~person:"Nikitopoulos, Christina Sklibosios"
~subject:"ARCH model"
~subject:"ARCH-Modell"
~subject:"Effizienzmarkthypothese"
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Chatrath, Arjun
Nikitopoulos, Christina Sklibosios
McAleer, Michael
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1
Pricing of long-dated commodity derivatives with stochastic volatility and stochastic interest rates
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2015
Persistent link: https://www.econbiz.de/10011777512
Saved in:
2
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
3
Empirical hedging performance on long-dated crude oil derivatives
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011778112
Saved in:
4
Pricing of long-dated commodity derivatives : do stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
- In:
Journal of banking & finance
95
(
2018
),
pp. 148-166
Persistent link: https://www.econbiz.de/10011966734
Saved in:
5
Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
- In:
Energy economics
40
(
2013
),
pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
Saved in:
6
Non-linear dynamics in futures prices : evidence from the coffee, sugar and cocoa exchange
Adrangi, Bahram
;
Chatrath, Arjun
- In:
Applied financial economics
13
(
2003
)
4
,
pp. 245-256
Persistent link: https://www.econbiz.de/10001748447
Saved in:
7
Forecasting volatility in commodity markets with long-memory models
Alfeus, Mesias
;
Nikitopoulos, Christina Sklibosios
- In:
Journal of commodity markets
28
(
2022
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014335250
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