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Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence
Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10012822266
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Dynamic risk spillovers and portfolio risk management between precious metals and global foreign exchange markets
Mensi, Walid; Hammoudeh, Shawkat; Ur Rehman, Mobeen; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012659807
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Higher moment exchange rate exposure of S&P500 firms
Bianconi, Marcelo; Cai, Zhe - In: The North American journal of economics and finance : a … 42 (2017), pp. 513-530
Persistent link: https://www.econbiz.de/10011938192
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An empirical model comparison for valuing crack spread options
Mahringer, Steffen; Prokopczuk, Marcel - In: Energy economics 51 (2015), pp. 177-187
Persistent link: https://www.econbiz.de/10011564825
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Optimal static-dynamic hedges for barrier options
Ilhan, Aytaç; Sircar, Kaushik Ronnie - In: Mathematical finance : an international journal of … 16 (2006) 2, pp. 359-385
Persistent link: https://www.econbiz.de/10003326016
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Hedging with energy
Corielli, Francesco - In: Mathematical finance : an international journal of … 16 (2006) 3, pp. 495-517
Persistent link: https://www.econbiz.de/10003338687
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Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
Chen, Nan; Kou, Steven - In: Mathematical finance : an international journal of … 19 (2009) 3, pp. 343-378
Persistent link: https://www.econbiz.de/10003882482
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Asymptotic behavior of distribution densities in models with stochastic volatility
Gulisashvili, Archil; Stein, Elias M. - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 447-477
Persistent link: https://www.econbiz.de/10008667060
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Minimum guaranteed payments and costly cancellation rights : a stopping game perspective
Alvarez, Luis H. R. - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 733-751
Persistent link: https://www.econbiz.de/10008667600
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Complex logarithms in Heston-like models
Lord, Roger; Kahl, Christian - In: Mathematical finance : an international journal of … 20 (2010) 4, pp. 671-694
Persistent link: https://www.econbiz.de/10008667627