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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
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Cross-asset time-series momentum : crude oil volatility and global stock markets
Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014492117
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A two-factor cointegrated commodity price model with an application to spread option pricing
Farkas, Walter; Gourier, Elise; Huitema, Robert; … - In: Journal of banking & finance 77 (2017), pp. 249-268
Persistent link: https://www.econbiz.de/10011814773
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From the Samuelson volatility effect to a Samuelson correlation effect : an analysis of crude oil calendar spread options
Schneider, Lorenz; Tavin, Bertrand - In: Journal of banking & finance 95 (2018), pp. 185-202
Persistent link: https://www.econbiz.de/10011966746
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Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Dark, Jonathan - In: Journal of banking & finance 61 (2015) 2, pp. 269-285
Persistent link: https://www.econbiz.de/10011586925
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Market interactions in returns and volatilities between spot and forward shipping freight markets
Kavussanos, Manolis G.; Visvikis, Ilias D. - In: Journal of banking & finance 28 (2004) 8, pp. 2015-2049
Persistent link: https://www.econbiz.de/10002118377
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Affine multivariate GARCH models
Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012521059
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GARCH option pricing with volatility derivatives
Oh, Dong Hwan; Park, Yang-Ho - In: Journal of banking & finance 146 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248216
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Supply, demand, and risk premiums in electricity markets
Jacobs, Kris; Li, Yu; Pirrong, Craig - In: Journal of banking & finance 135 (2022), pp. 1-23
Persistent link: https://www.econbiz.de/10013401940
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Cojumping : evidence from the US Treasury bond and futures markets
Dungey, Mardi H.; Hvozdyk, Lyudmyla - In: Journal of banking & finance 36 (2012) 5, pp. 1563-1575
Persistent link: https://www.econbiz.de/10009615791