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Seasonal Stochastic Volatility : implications for the pricing of commodity options

Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65

Persistent link: https://www.econbiz.de/10011634553

Variance risk in commodity markets

Prokopczuk, Marcel; Symeonidis, Lazaros; Wese Simen, Chardin - In: Journal of banking & finance 81 (2017), pp. 136-149

Persistent link: https://www.econbiz.de/10011816431

Commodity derivatives valuation with autoregressive and moving average components in the price dynamics

Paschke, Raphael; Prokopczuk, Marcel - In: Journal of banking & finance 34 (2010) 11, pp. 2742-2752

Persistent link: https://www.econbiz.de/10008858840

Seasonality and the valuation of commodity options

Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290

Persistent link: https://www.econbiz.de/10009705701

Curve momentum

Paschke, Raphael; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 113 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012226133

Introduction: special issue on commodity and energy markets in the Journal of Banking and Finance

Roncoroni, Andrea; Prokopczuk, Marcel; Ronn, Ehud I. - In: Journal of banking & finance 95 (2018), pp. 1-4

Persistent link: https://www.econbiz.de/10011966673

Measuring commodity market quality

Lauter, Tobias; Prokopczuk, Marcel - In: Journal of banking & finance 145 (2022), pp. 1-24

Persistent link: https://www.econbiz.de/10013538965

Multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …

Persistent link: https://www.econbiz.de/10011301206

Risk modelling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009767001

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724823