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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

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

conditional variance is modelled by a stochastic volatility process. We develop a Monte Carlo maximum likelihood method to obtain … variance, in the order of integration, in the short memory characteristics and in the volatility of volatility. …

Persistent link: https://www.econbiz.de/10011373822

Periodic heteroskedastic RegARFIMA models for daily electricity spot prices

Carnero, M. Angeles; Koopman, Siem Jan; Ooms, Marius - 2003

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

Persistent link: https://www.econbiz.de/10011334362

Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10011346471