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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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The stochastic seasonal behavior of energy commodity convenience yields
García Mirantes, Andrés; Población, Javier; Serna, … - In: Energy economics 40 (2013), pp. 155-166
Persistent link: https://www.econbiz.de/10010349595
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Daily seasonality in crude oil returns and volatilities
Auer, Benjamin R. - In: Energy economics 43 (2014), pp. 82-88
Persistent link: https://www.econbiz.de/10010504173
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Stochastic volatility and seasonality in commodity futures and options : the case of soybeans
Richter, Martin (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001673520
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Calibration and Filtering for Multi Factor Commodity Models with Seasonality : Incorporating Panel Data from Futures Contracts
Peters, Gareth - 2014
factors and secondly we develop an additive structural seasonality model. In developing this non-linear continuous time … futures curve calibration in different commodities market conditions such as backwardation and contango. A Milstein scheme is …
Persistent link: https://www.econbiz.de/10013043331
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Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv; Rajib, Prabina - In: IIMB management review 30 (2018) 4, pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
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Seasonality and the valuation of commodity options
Back, Janis; Prokopczuk, Marcel; Rudolf, Markus - In: Journal of banking & finance 37 (2013) 2, pp. 273-290
Persistent link: https://www.econbiz.de/10009705701
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Seasonal Stochastic Volatility : implications for the pricing of commodity options
Arismendi Zambrano, Juan Carlos; Back, Janis; … - In: Journal of banking & finance 66 (2016), pp. 53-65
Persistent link: https://www.econbiz.de/10011634553
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An analysis of the fish pool market in the context of seasonality and stochastic convenience yield
Ewald, Christian-Oliver; Ouyang, Ruolan - In: Marine resource economics 32 (2017) 4, pp. 431-449
Persistent link: https://www.econbiz.de/10011761821
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Seasonality, forecast extensions and business cycle uncertainty
Proietti, Tommaso - In: Journal of economic surveys 26 (2012) 4, pp. 555-569
Persistent link: https://www.econbiz.de/10009711928