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Stochastic Volatility Models for the European Electricity Markets : Forecasting and Extracting Conditional Moments for Option Pricing and Implied Market Risk Premiums
Bjarte Solibakke, Per - 2014
This paper builds and implements a multifactor stochastic volatility model for the latent (and observable) volatility from the quarter and year forward contracts at the NASDAQ OMX Commodity Exchanges, applying Bayesian Markov chain Monte Carlo simulation methodologies for estimation, inference,...
Persistent link: https://www.econbiz.de/10013050714
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Multifractional processes in finance
Bianchi, Sergio; Pianese, Augusto - In: Risk and decision analysis 5 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010492606
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A test of efficiency for the currency option market using stochastic volatility forecasts
Guo, Dajiang - 1999
Persistent link: https://www.econbiz.de/10001491265
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Thünen-Vorlesung: 6 1/2-Wechselkurse
Streissler, Erich - In: Die Zukunft des Sozialstaats : Jahrestagung des Vereins …, (pp. 79-111). 2000
Persistent link: https://www.econbiz.de/10001456108
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Fractal dynamics and wavelet analysis : deep volatility and return properties of Bitcoin, Ethereum and Ripple
Celeste, Valerio; Corbet, Shaen; Gurdgiev, Constantin - In: The quarterly review of economics and finance : journal … 76 (2020), pp. 310-324
Persistent link: https://www.econbiz.de/10012417711
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Jumps, cojumps, and efficiency in the spot foreign exchange market
Piccotti, Louis R. - In: Journal of banking & finance 87 (2018), pp. 49-67
Persistent link: https://www.econbiz.de/10011962493
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Mutual information and persistence in the stochastic volatility of market returns : an emergent market example
Dima, Bogdan; Dima, Ştefana Maria - In: International review of economics & finance : IREF 51 (2017), pp. 36-59
Persistent link: https://www.econbiz.de/10011754136
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - 2018
Persistent link: https://www.econbiz.de/10011977460
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Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72
Persistent link: https://www.econbiz.de/10013383142
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Management von Marktrisiken auf der Basis des Value-at-Risk (VaR)-Ansatzes
Albrecht, Peter - 2001
Vorliegendes Arbeitspapier beschäftigt sich mit der mathematischen Modellierung von Marktrisiken.
Persistent link: https://www.econbiz.de/10005842339