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Estimating trends in weather series : consequences for pricing derivatives

Jewson, Stephen (contributor); Penzer, Jeremy (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 3, pp. 1-15

Persistent link: https://www.econbiz.de/10003559115

Estimating sensitivities of temperature-based weather derivatives

Yuan, Wei; Göncu, Ahmet; Ökten, Giray - In: Applied economics 47 (2015) 19/21, pp. 1942-1955

Persistent link: https://www.econbiz.de/10010513460

Unobserved components in ARCH models : an application to seasonal adjustment

Fiorentini, Gabriele; Maravall Herrero, Agustín - 1994

Persistent link: https://www.econbiz.de/10000147942

Dynamic interaction between historical and implied volatility in the Indian option market

Viswanathan, T.; Sriram, R.; Mukherjee, Prathana - In: International journal of public sector performance … 8 (2021) 1/2, pp. 128-144

Persistent link: https://www.econbiz.de/10012696739

Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Comparing some alternative Lévy base correlation models for pricing and hedging CDO tranches

Masol, Viktoriya; Schoutens, Wim - 2008

Persistent link: https://www.econbiz.de/10003709746

Periodic seasonal Reg-ARFIMA-GARCH models for daily electricity spot prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10011346471

A GARCH approach for the assessment of weak-form-efficiency and seasonality effect

Fauzel, Sheereen - In: International journal of economics and financial issues … 6 (2016) 2, pp. 745-755

Persistent link: https://www.econbiz.de/10011697358

Analytic derivatives and the computation of GARCH estimates

Fiorentini, Gabriele; Calzolari, Giorgio; Panattoni, Lorenzo - 1995

Persistent link: https://www.econbiz.de/10000924232

Affine multivariate GARCH models

Escobar, Marcos; Rastegari, Javad; Stentoft, Lars - In: Journal of banking & finance 118 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521059

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