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The rise and fall of S&P500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - In: The North American journal of economics and finance : a … 25 (2013), pp. 151-167
Persistent link: https://www.econbiz.de/10009779314
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The rise and fall of S&P 500 variance futures
Chang, Chia-Lin; Jimenez-Martin, Juan-Angel; McAleer, … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009413649
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Risk management of risk under the Basel Accord : a Bayesian approach to forecasting value-at-risk of VIX futures
Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - 2011 - Rev.
Persistent link: https://www.econbiz.de/10009413659
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A Cointegration Analysis of Agricultural, Energy and Bio-Fuel Spot and Futures Prices
Allen, David E. - 2016
crude oil spot and futures prices. The use of grains for the creation of bio-fuels has sparked fears that these demands are … inflating food prices. We analyse approximately 10 years of daily spot and futures prices for corn, wheat, sugar ethanol and oil …
Persistent link: https://www.econbiz.de/10012978237
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Modelling volatility spillovers for bio-ethanol, sugarcane and corn spot and futures prices
Chang, Chia-Lin; McAleer, Michael; Wang, Yu-Ann - 2016 - Revised: December 2016
Persistent link: https://www.econbiz.de/10011631784
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Econometric analysis of financial derivatives : an overview
Chang, Chia-Lin; McAleer, Michael - 2015
Persistent link: https://www.econbiz.de/10011346289
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Risk Management of Risk Under the Basel Accord : Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin - 2011
models. This paper addresses the question of risk management of risk, namely VaR of VIX futures prices. We examine how …
Persistent link: https://www.econbiz.de/10013129947