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Regime-switched volatility of brent crude oil futures with Markov-switching ARCH model
Chiu, Tien-yu; Shieh, Shwu-Jane - In: International journal of theoretical and applied finance 12 (2009) 2, pp. 113-124
Persistent link: https://www.econbiz.de/10003855754
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Valuation of options on oil futures under the 3/4 oil price model
Oud, Mohammed A. Aba; Goard, Joanna - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-12
Persistent link: https://www.econbiz.de/10011418854
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The normal inverse gaussian distribution and spot price modelling in energy markets
Benth, Fred Espen; Šaltytė-Benth, Jūratė - In: International journal of theoretical and applied finance 7 (2004) 2, pp. 177-192
Persistent link: https://www.econbiz.de/10002021511
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Accurate of VaR calculated using empirical models of the term structure
Abad, Pilar; Benito, Sonia - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 811-832
Persistent link: https://www.econbiz.de/10003911243
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The term structure of currency hedge ratios
Korn, Olaf; Koziol, Philipp - In: International journal of theoretical and applied finance 14 (2011) 4, pp. 525-557
Persistent link: https://www.econbiz.de/10009269361
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Testing PPP by means of ZNZ patterned VECM
Brailsford, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 345-362
Persistent link: https://www.econbiz.de/10003746667
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The sequential estimation of subset var with forgetting factor and intercept variable
O'Neill, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: International journal of theoretical and applied finance 7 (2004) 8, pp. 979-995
Persistent link: https://www.econbiz.de/10002476523
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Value-at-risk estimation for dynamic hedging
Yamada, Yuji; Primbs, James A. - In: International journal of theoretical and applied finance 5 (2002) 4, pp. 333-354
Persistent link: https://www.econbiz.de/10001682217
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773