The real option theory provides a useful tool to evaluate an R&D investment under uncertainty because, unlike the NPV …. -- American Exchange options ; game theory ; Montecarlo simulation ; R&D ; information revelation …

volatility, namely, seasonality and maturity effects for the pre-financialisation (1993-2003) and post-financialisation (2004 … futures' volatility before the financialisation period, open interest as a measure of liquidity has a negative effect after ….e. volatility of the contract increases as it nears to expiration since financialisation. This confirms the importance of accounting …

in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … and turbulent oil price volatility episodes with a non-hierarchical k-means clustering algorithm on volatility measures …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …