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Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

The stochastic volatility model usually incorporates asymmetric effects by introducing the negative correlation between the innovations in returns and volatility. In this paper, we propose a new asymmetric stochastic volatility model, based on the leverage and size effects. The model is a...

Persistent link: https://www.econbiz.de/10008839880

Options introduction and volatility in the EU ETS

Chevallier, Julien; Le Penn, Yannick; Sévi, Benoît - In: Resource and energy economics 33 (2011) 4, pp. 855-880

Persistent link: https://www.econbiz.de/10009525598

Volatility returns with vengeance : financial markets vs. commodities

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354

Persistent link: https://www.econbiz.de/10011325853

Variance risk-premia in CO 2 markets

Chevallier, Julien - In: Economic modelling 31 (2013), pp. 598-605

Persistent link: https://www.econbiz.de/10009731478

On the volatility-volume relationship in energy futures markets using intraday data

Chevallier, Julien; Sévi, Benoît - In: Energy economics 34 (2012) 6, pp. 1896-1909

Persistent link: https://www.econbiz.de/10009688936

Volatility spillovers in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1211-1227

Persistent link: https://www.econbiz.de/10010198563

The cross-market indes for volatility surprise

Aboura, Sofiane; Chevallier, Julien - In: The journal of asset management 15 (2014) 1, pp. 7-23

Persistent link: https://www.econbiz.de/10010370072

Alternative asymmetric stochastic volatility models

Asai, Manabu; McAleer, Michael - 2010

Persistent link: https://www.econbiz.de/10008760507

Volatility equicorrelation : a cross-market perspective

Aboura, Sofiane; Chevallier, Julien - In: Economics letters 122 (2014) 2, pp. 289-295

Persistent link: https://www.econbiz.de/10010395117

Cross-market spillovers with "volatility surprise"

Aboura, Sofiane; Chevallier, Julien - In: Review of financial economics : RFE 23 (2014) 4, pp. 194-207

Persistent link: https://www.econbiz.de/10010442564