Similar Search Results

Determinants of the crude oil futures curve : inventory, consumption and volatility

Nikitopoulos, Christina Sklibosios; Squires, Matthew; … - In: Journal of banking & finance 84 (2017), pp. 53-67

Persistent link: https://www.econbiz.de/10011816836

Long-run reversal in commodity returns : insights from seven centuries of evidence

Zaremba, Adam; Bianchi, Robert; Mikutowski, Mateusz - In: Journal of banking & finance 133 (2021), pp. 1-25

Persistent link: https://www.econbiz.de/10013256444

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

A space-time random field model for electricity forward prices

Benth, Fred Espen; Paraschiv, Florentina - In: Journal of banking & finance 95 (2018), pp. 203-216

Persistent link: https://www.econbiz.de/10011966749

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

Sector spillovers in credit markets

Collet, Jerome; Ielpo, Florian - In: Journal of banking & finance 94 (2018), pp. 267-278

Persistent link: https://www.econbiz.de/10011966651

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

The asymmetric moving average model (asMA) is extended to allow forasymmetric quadratic conditional heteroskedasticity (asQGARCH). Theasymmetric parametrization of the conditional variance encompassesthe quadratic GARCH model of Sentana (1995). We introduce a framework fortesting asymmetries in...

Persistent link: https://www.econbiz.de/10011303289

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

The skewness of commodity futures returns

Fernandez-Perez, Adrian; Frijns, Bart; Fuertes, Ana María - In: Journal of banking & finance 86 (2018), pp. 127-142

Persistent link: https://www.econbiz.de/10011962440

Do oil futures prices predict stock returns?

Chiang, I-Hsuan Ethan; Hughen, W. Keener - In: Journal of banking & finance 79 (2017), pp. 129-141

Persistent link: https://www.econbiz.de/10011815141

1
2
3
4
5
6
7
8
9
10
Next
Last