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Volatility spillovers and causality of carbon emissions, oil and coal spot and futures for the EU and USA

Chang, Chia-Lin; McAleer, Michael; Zuo, Guangdong - 2017 - Revised: May 2017

. For the USA, daily spot and futures prices are available for crude oil and coal, but there are no daily spot or futures …

Persistent link: https://www.econbiz.de/10011658757

An empirical comparison of default swap pricing models

Houweling, Patrick; Vorst, Ton - 2001

Persistent link: https://www.econbiz.de/10001639524

Black scholes for portfolios of options in discrete time : the price is right, the hedge is wrong

Peeters, Bas; Dert, Cees; Lucas, André - 2003

Persistent link: https://www.econbiz.de/10001884326

A pricing model for American options with stochastic interest rates

Menkveld, Albert J.; Vorst, Ton - 1998

Persistent link: https://www.econbiz.de/10000985330

Pricing stock options under stochastic volatility and stochastic interest rates with efficient method of moments estimation

Jiang, George J.; Sluis, Pieter J. van der - 1998

Persistent link: https://www.econbiz.de/10000986291

Option pricing and foreign investment under political risk

Cherian, Joseph A.; Perotti, Enrico - 1999

Persistent link: https://www.econbiz.de/10001374827

Is power production flexibility a substitute for storability? : evidence from electricity futures prices

Kilic, Mehtap; Huisman, Ronald - 2010

in line with the theory of storage. We find the opposite; futures prices from markets with flexible power supply behave … according to the expectations theory. The implicit view from futures prices is that flexibility is not a substitute for …

Persistent link: https://www.econbiz.de/10011381018

Success and failure of technical trading strategies in the cocoa futures market

Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2001

A large set of 5350 trend following technica! trading rules is applied to LIFFEand CSCE cocoa futures prices, and tothe Pound-Dollar exchange rate, in the period 1983:1-1997:6. We find that 72% ofthe trading rules generatespositive profits, even when correcting for transaction and borrowing...

Persistent link: https://www.econbiz.de/10011313922

Herding, information cascades and volatility spillovers in futures markets

McAleer, Michael; Radalj, Kim - 2013

Persistent link: https://www.econbiz.de/10009784945

Success and failure of technical trading strategies in the cocoa futures market

Boswijk, Herman Peter; Griffioen, Gerwin; Hommes, Cars H. - 2000

Persistent link: https://www.econbiz.de/10001554489

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