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Parametric heat wave insurance

Larsson, Karl - In: Journal of commodity markets 31 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014477784

Modelling multiple-input vector-valued time series processes by a multi-layer neural net topology

Östermark, Ralf - 1992

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Modelling financial time series

Taylor, Stephen J. - 1986

Persistent link: https://www.econbiz.de/10000692464

Nonneutral short-run effects of derivates on gold prices

Kearney, Adrienne A.; Lombra, Raymond E. - In: Applied financial economics 18 (2008) 10/12, pp. 985-994

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The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003286582

The comovements along the term structure of oil forwards in periods of high and low volatility : how tight are they?

Marzo, Massimiliano; Zagaglia, Paolo - 2009

Persistent link: https://www.econbiz.de/10003793443

The information content of treasury bond options concerning future volatility and price jumps

Busch, Thomas (contributor); … - 2006

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of associated bond options. Recent nonparametric statistical...

Persistent link: https://www.econbiz.de/10003795294

Volatility indices and their derivatives

Süss, Stephan - 2009

Persistent link: https://www.econbiz.de/10003889154

The dynamics in the spot, futures, and call options with basis asymmetries : an intraday analysis in a generalized multivariate GARCH-M MSKST framework

Wang, Kai-li; Chen, Mei-ling - In: Review of quantitative finance and accounting 29 (2007) 4, pp. 371-394

Persistent link: https://www.econbiz.de/10003600297

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