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Paseka, Alex - 2018

In this paper, using estimating function approach, a new optimal volatility estimator is introduced, and, based on the recursive form of the estimator, a data-driven generalized EWMA model for VaR forecast is proposed. An appropriate data-driven model for volatility is identified by the...

Persistent link: https://www.econbiz.de/10012913936

Recent developments in option pricing

Hui Gong; Thavaneswaran, Aerambamoorthy; Liang, You - In: Journal of mathematical finance 1 (2011) 3, pp. 63-71

Persistent link: https://www.econbiz.de/10009668522

Does administrative monopoly regulation affect corporate financialization? : from the perspective of vertical industrial chain competition in China

Xu, Nuo; Gao, Yubin; Du, Lizhen; You, Liang - In: Finance research letters 53 (2023), pp. 1-9

Persistent link: https://www.econbiz.de/10014472474

To what surprises do hog futures markets respond?

Frank, Julieta; García, Philip; Irwin, Scott H. - In: Journal of agricultural and applied economics 40 (2008) 1, pp. 73-87

Persistent link: https://www.econbiz.de/10003763044

Bid-ask spreads, volume, and volatility : evidence from livestock markets

Frank, Julieta; García, Philip - In: American journal of agricultural economics 93 (2011) 1, pp. 209-225

Persistent link: https://www.econbiz.de/10009239483

Measuring the cost of liquidity in agricultural futures markets : conventional and Bayesian approaches

Frank, Julieta; García, Philip - In: Agricultural economics : the journal of the … 42 (2011), pp. 131-139

Persistent link: https://www.econbiz.de/10009389148

Implied transaction costs in agricultural futures markets

Frank, Julieta - 2008

Persistent link: https://www.econbiz.de/10011389519

Price discovery in agricultural futures markets : should we look beyond the best bid-ask spread?

Arzandeh, Mehdi; Frank, Julieta - In: American journal of agricultural economics 101 (2019) 5, pp. 1482-1498

Persistent link: https://www.econbiz.de/10012115735

On some properties of Autoregressive Conditional Poisson (ACP) models

Ghahramani, M.; Thavaneswaran, A. - In: Economics letters 105 (2009) 3, pp. 273-275

Persistent link: https://www.econbiz.de/10003931072

Option pricing for jump diffussion model with random volatility

Thavaneswaran, A.; Singh, Jagbir - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 496-507

Persistent link: https://www.econbiz.de/10008778699