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Fundamental and financial influences on the co-movement of oil and gas prices

Bunn, Derek W.; Chevallier, Julien; LePen, Yannick; … - In: The energy journal 38 (2017) 2, pp. 201-228

Persistent link: https://www.econbiz.de/10011661711

Detecting instability in the volatility of carbon prices

Chevallier, Julien - In: Energy economics 33 (2011) 1, pp. 99-110

Persistent link: https://www.econbiz.de/10009262002

Geographical diversification with a World Volatility Index

Aboura, Sofiane; Chevallier, Julien - In: Journal of multinational financial management 30 (2015), pp. 62-82

Persistent link: https://www.econbiz.de/10011539534

Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 187 (2015) 2, pp. 436-446

Persistent link: https://www.econbiz.de/10011499703

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - In: Journal of econometrics 189 (2015) 2, pp. 251-262

Persistent link: https://www.econbiz.de/10011504522

Tail risk and the return-volatility relation

Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29

Persistent link: https://www.econbiz.de/10011983542

Generalized fractional processes with long memory and time dependent volatility revisited

Peiris, M. Shelton; Asai, Manabu - In: Econometrics : open access journal 4 (2016) 3, pp. 1-21

In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated by Gegenbauer polynomials and the ARMA...

Persistent link: https://www.econbiz.de/10011568296

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

Stochastic multivariate mixture covariance model

So, Mike Ka-pui; Li, Raymond W. M.; Asai, Manabu; Jiang, Yue - In: Journal of forecasting 36 (2017) 2, pp. 139-155

Persistent link: https://www.econbiz.de/10011729126

A fractionally integrated Wishart stochastic volatility model

Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 1/3, pp. 42-59

Persistent link: https://www.econbiz.de/10011794625