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A bivariate high-frequency-based volatility model for optimal futures hedging
Lai, Yu-Sheng; Lien, Da-hsiang Donald - In: The journal of futures markets 37 (2017) 9, pp. 913-929
Persistent link: https://www.econbiz.de/10011950909
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : Neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016 - 1. Aufl. 2016
Semiparametrische Volatilitätsmodelle -- Hochfrequente und Ultra-Hochfrequente Finanzdaten -- Berechnung des Value-at-Risk auf Grundlage parametrischer und semiparametrischer Modelle -- Analyse von Handelswartezeiten -- Glättung der Volatilität von hochfrequenten Finanzdaten in einem...
Persistent link: https://www.econbiz.de/10014018518
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Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten
Peitz, Christian - 2016
Persistent link: https://www.econbiz.de/10011432076
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers …
Persistent link: https://www.econbiz.de/10011520514
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Realising the future : forecasting with high-frequency-based volatility (heavy) models
Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 25 (2010) 2, pp. 197-231
Persistent link: https://www.econbiz.de/10008667609
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Multivariate high-frequency-based volatility (HEAVY) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - 2011
Persistent link: https://www.econbiz.de/10008842201
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Multivariate high-frequency-based volatility (heavy) models
Noureldin, Diaa; Shephard, Neil G.; Sheppard, Kevin - In: Journal of applied econometrics 27 (2012) 6, pp. 907-933
Persistent link: https://www.econbiz.de/10010219743
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Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China
Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541151
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Relationships among US S&P500 stock index, its futures and NASDAQ index futures with volatility spillover and jump diffusion : modeling and hedging performance
Liu, Hsiang-Hsi; Lin, Yu-Cheng - In: Bulletin of applied economics 8 (2022) 1, pp. 121-148
Persistent link: https://www.econbiz.de/10013271045
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Estimation and hedging effectiveness of time-varying hedge ratio : nonparametric approaches
Fan, Rui; Li, Haiqi; Park, Sung Y. - In: The journal of futures markets 36 (2016) 10, pp. 968-991
Persistent link: https://www.econbiz.de/10011568846