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Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...

Persistent link: https://www.econbiz.de/10010318781

Modelling general dependence between commodity forward curves

Zolotko, Mikhail; Okhrin, Ostap - 2012

This study proposes a novel framework for the joint modelling of commodity forward curves. Its key contribution is twofold. First, dynamic correlation models are applied in this context as part of the modelling scheme. Second, we introduce a family of dynamic conditional correlation models based...

Persistent link: https://www.econbiz.de/10009631566

What threatens stock markets more : the coronavirus or the hype around it?

Nepp, Alexander; Okhrin, Ostap; Egorova, Julia; … - In: International review of economics & finance : IREF 78 (2022), pp. 519-539

Persistent link: https://www.econbiz.de/10013334598

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - In: Journal of applied econometrics 30 (2015) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10011332871

Distillation of news flow into analysis of stock reactions

Zhang, Junni L.; Härdle, Wolfgang; Chen, Cathy Y.; … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 547-563

Persistent link: https://www.econbiz.de/10011692403

Textual sentiment, option characteristics, and stock return predictability

Chen, Cathy Yi-Hsuan; Fengler, Matthias; Härdle, Wolfgang - 2018

Persistent link: https://www.econbiz.de/10011912921

Flexible stochastic volatility structures for high frequency financial data

Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998

Persistent link: https://www.econbiz.de/10000992362

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - In: Applied quantitative finance : theory and computational …, (pp. 145-170). 2002

Persistent link: https://www.econbiz.de/10001749985

How precise are price distributions predicted by implied binomial trees?

Härdle, Wolfgang; Zheng, Jun - 2002

Persistent link: https://www.econbiz.de/10001653655

Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient

Hall, Peter (contributor); Härdle, Wolfgang (contributor); … - 1999

Persistent link: https://www.econbiz.de/10001413436

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