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Minimal variance hedging of natural gas derivatives in exponential Lévy models : theory and empirical performance
Ewald, Christian-Olivier; Nawar, Roy; Siu, Tak Kuen - In: Energy economics 36 (2013), pp. 97-107
Persistent link: https://www.econbiz.de/10009724764
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Humps in the volatility structure of the crude oil futures market : new evidence
Chiarella, Carl; Kang, Boda; Nikitopoulos, Christina … - In: Energy economics 40 (2013), pp. 989-1000
Persistent link: https://www.econbiz.de/10010355994
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Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012939406
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On the use of the moment-matching technique for pricing and hedging multi-asset spread options
Pellegrino, Tommaso; Sabino, Piergiacomo - In: Energy economics 45 (2014), pp. 172-185
Persistent link: https://www.econbiz.de/10010504771
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On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility
Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98
Persistent link: https://www.econbiz.de/10010504792
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Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models
Nguyen, Hoang; Virbickaitė, Audronė - In: Energy economics 124 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014480067
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Model based Monte Carlo pricing of energy and temperature Quanto options
Caporin, Massimiliano; Preś, Juliusz; Torro, Hipolit - In: Energy economics 34 (2012) 5, pp. 1700-1712
Persistent link: https://www.econbiz.de/10009687956
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Real option valuation of power transmission investments by stochastic simulation
Pringles, Rolando; Olsina, Fernando; Garcés, Francisco - In: Energy economics 47 (2015), pp. 215-226
Persistent link: https://www.econbiz.de/10011527490
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Futures pricing in electricity markets based on stable CARMA spot models
Benth, Fred Espen; Klüppelberg, Claudia; Müller, Gernot; … - In: Energy economics 44 (2014), pp. 392-406
Persistent link: https://www.econbiz.de/10010457150
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Dynamic modeling of uncertainty in the planned values of investments in petrochemical and refining projects
Vianello, Juliano Melquiades; Costa, Letícia de Almeida; … - In: Energy economics 45 (2014), pp. 10-18
Persistent link: https://www.econbiz.de/10010504801