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The contingency value of the partner firm's customer assets in a business-to-business relationship

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Persistent link: https://www.econbiz.de/10011904664

Volatility modeling in equity and energy markets with applications to derivative pricing, hedging and risk management

Ignatieva, Ekaterina - 2012

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Interdependenzen am Finanzmarkt : eine modellgestützte Untersuchung der Preisbeziehung korrespondierender Finanztitel

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Modelling energy spot prices : empirical evidence from NYMEX

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Price discovery in spot and futures markets : a reconsideration

Theissen, Erik - 2011 - This version: April 2011

We reconsider the issue of price discovery in spot and futures markets. We use a threshold error correction model to allow for arbitrage opportunities to have an impact on the return dynamics. We estimate the model using quote midpoints, and we modify the model to account for time-varying...

Persistent link: https://www.econbiz.de/10009705494