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Price dynamics in corn cash and futures markets : cointegration, causality, and forecasting through a rolling window approach

Xu, Xiaojie - In: Financial markets and portfolio management 33 (2019) 2, pp. 155-181

Persistent link: https://www.econbiz.de/10012113792

Volatility forecasting in the Chinese commodity futures market with intraday data

Jiang, Ying; Ahmed, Shamim; Liu, Xiaoquan - In: Review of quantitative finance and accounting 48 (2017) 4, pp. 1123-1173

Persistent link: https://www.econbiz.de/10011797006

Cointegrated commodity markets and pricing of derivatives in a non-Gaussian framework

Benth, Fred Espen - In: Advanced modelling in mathematical finance : in honour …, (pp. 477-496). 2016

Persistent link: https://www.econbiz.de/10011800392

Deriving correlation matrices for missing financial time-series data

Burger, Schalk; Silverman, Searle; Van Vuuren, Gary - In: International journal of economics and finance 10 (2018) 10, pp. 105-120

Persistent link: https://www.econbiz.de/10011944933

VIX derivatives valuation and estimation based on closed-form series expansions

Zhao, Zhe; Cui, Zhenyu; Florescu, Ionuţ - In: International journal of financial engineering 5 (2018) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10011923012

Forecasting fed cattle, feeder cattle, and corn cash price volatility : the accuracy of time series, implied volatility, and composite approaches

Manfredo, Mark R.; Leuthold, Raymond M.; Irwin, Scott H. - In: Journal of agricultural and applied economics 33 (2001) 3, pp. 523-538

Persistent link: https://www.econbiz.de/10001651333

Memory in returns and volatilities of futures' contracts

Crato, Nuno; Ray, Bonnie K. - In: The journal of futures markets 20 (2000) 6, pp. 525-543

Persistent link: https://www.econbiz.de/10001509972

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