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Seasonal Volatility in Agricultural Markets : Modelling and Empirical Investigations
Schneider, Lorenz - 2020
This paper deals with the problem of modelling the volatility of futures prices in agricultural markets. We develop a multi-factor model in which the stochastic volatility dynamics incorporate a seasonal component. In addition, a maturity dependent damping term accounts for the Samuelson effect....
Persistent link: https://www.econbiz.de/10012856169
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ADRENALIN : a distributed realtime environment for the intraday analysis of financial markets
Schnidrig, Remo - 1998 - 1. Aufl
Persistent link: https://www.econbiz.de/10000675153
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Beyond the random walk : a guide to stock market anomalies and low risk investing
Singal, Vijay - 2006 - 1. issued as an Oxford pbk.
Persistent link: https://www.econbiz.de/10003982793
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Seasonal stochastic volatility : implications for the pricing of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - 2011
Persistent link: https://www.econbiz.de/10009375485
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Cyclical Mackey-Glass model for oil bull seasonals
Melhem, Sadek; Terraza, Michel; Chikhi, Mohamed - In: The Journal of energy and development 36 (2010/11) 1/2, pp. 165-178
Persistent link: https://www.econbiz.de/10009666079
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Masking of volatility by seasonal adjustment methods
Hayat, Aziz; Bhatti, Muhammad Ishaq - In: Economic modelling 33 (2013), pp. 676-688
Persistent link: https://www.econbiz.de/10010194430
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Time-variations in commodity price jumps
Diewald, Laszlo; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of empirical finance 31 (2015), pp. 72-84
Persistent link: https://www.econbiz.de/10011489343
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Reservoirs with seasonally varying Markovian inflows, and their first passage times
Lloyd, E. H. - 1977
Persistent link: https://www.econbiz.de/10002389989
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Assessing the impact of political unrest on currency returns : a look at Latin America
Chien, Chin-chen; Lee, Cheng F.; Wang, Andrew M. L. - In: The quarterly review of economics and finance : journal … 42 (2002) 1, pp. 155-162
Persistent link: https://www.econbiz.de/10001648626