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On the role of financial derivatives for the genesis and analysis of volatility in commodity markets
Schlüßler, Kristina - 2016
Food price volatility has re-emerged as an important topic of political discussion since the food price crisis of 2007 …/08. Not only the observation of increasing price levels but also their apparent increased volatility on key markets (most …
Persistent link: https://www.econbiz.de/10011487745
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Nonparametric modelling of financial time series
Heid, Frank - 1998
Persistent link: https://www.econbiz.de/10000668367
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Interest rate models - theory and practice : with smile, inflation and credit ; with 131 tables
Brigo, Damiano; Mercurio, Fabio - 2006 - 2. ed.
Persistent link: https://www.econbiz.de/10002116360
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Nonparametric modeling in financial time series
Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009
Persistent link: https://www.econbiz.de/10003834268
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Modeling high dimensional time series for factors driving volatility strings
Mungo, Julius - 2009
Persistent link: https://www.econbiz.de/10003835521
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Optionsbewertung unter Lévy-Prozessen : eine Analyse für den deutschen Aktienindex
Rathgeber, Andreas - In: Kredit und Kapital 40 (2007) 3, pp. 451-484
Persistent link: https://www.econbiz.de/10003564452
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Dynamic models of exchange rate dependence using option prices and historical returns
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008651727
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Modelling financial time series with SEMIFAR-GARCH model
Feng, Yuanhua; Beran, Jan; Yu, Keming - 2007
A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...
Persistent link: https://www.econbiz.de/10003876744
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The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Liu, Peng; Tang, Ke - In: Journal of empirical finance 18 (2011) 2, pp. 211-224
Persistent link: https://www.econbiz.de/10009301130