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Hedging langfristiger Lieferverpflichtungen mit kurzfristigen Futures : möglich oder unmöglich?
Bühler, Wolfgang; Korn, Olaf - 1998
Im Laufe des Jahres 1993 war die Metallgesellschaft Refining & Marketing (MGRM), eine US-amerikanische Tochtergesellschaft der Metallgesellschaft AG, in großem Umfang die Verpflichtung eingegangen, langfristig Öl zu Festpreisen zu liefern. Das dadurch entstehende Preisrisiko sollte über...
Persistent link: https://www.econbiz.de/10013428156
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Managing the oil market under misinformation : a reasonable quest?
Almutairi, Hossa; Pierru, Axel; Smith, James L. - 2024
Persistent link: https://www.econbiz.de/10014563071
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838
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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999
Persistent link: https://www.econbiz.de/10001399859
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011903709
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Delta-neutral volatility trading with intra-day prices : an application to options on the DAX
Schmitt, Christian; Kaehler, Jürgen - 1996
This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …
Persistent link: https://www.econbiz.de/10011622744
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Delta-neutral volatility trading with intra-day prices : an application to options on the DAX
Schmitt, Christian; Kähler, Jürgen - 1996
Persistent link: https://www.econbiz.de/10013428096
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An economic analysis of enhanced oil recovery in conventional light oil pools in Alberta
Eglington, Peter; Nugent, James A. - 1984
Persistent link: https://www.econbiz.de/10003528239
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Global oil prices and the macroeconomy : the role of tradeable manufacturing versus nontradeable services
Khalil, Makram - 2020
This paper studies the ability of manufacturing-specific shocks to explain global oil prices. In an estimated three-region DSGE model (UnitedStates, OPEC, rest-of-world) in corporating two sectors (manufacturing and services) in the oil-importing economies and featuring cross-border...
Persistent link: https://www.econbiz.de/10012322376