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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
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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
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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
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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
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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
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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
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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
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Dynamic correlations and optimal hedge rations
Bos, Charles S.; Gould, Phillip - 2007
Persistent link: https://www.econbiz.de/10003482688
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Pawel, Janus; Koopman, Siem Jan - 2009
Persistent link: https://www.econbiz.de/10003913191