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subject:"ARCH-Modell"
~type_genre:"Aufsatz im Buch"
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ARCH-Modell
Commodity derivative
163
Rohstoffderivat
163
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Contemporary issues in business economics and finance
1
Financial mathematics, volatility and covariance modelling
1
Financial modeling and risk management of energy and environmental instruments and derivates
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Management von Rohstoffrisiken : Strategien, Märkte und Produkte
1
Methods and applications in natural resources management
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OPEC, oil prices and LNG
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Proceedings of 2013 world agricultural outlook conference
1
Uncertainty analysis in econometrics with applications : [This volume contains papers presented at TES 2013 - The Sixth International Conference of the Thailand Econometric Society, which is held in Chiang Mai, Thailand, during January 10th - 11th, 2013 ...]
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Volatility spillover analysis in commodity markets : volatility spillover from oil prices to precious metals under different regimes
Kirkpinar, Aysegul
- In:
Contemporary issues in business economics and finance
,
(pp. 45-56)
.
2020
Persistent link: https://www.econbiz.de/10012313140
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2
Study on extreme risk measurement of Chinese soybean futures market : VaR based on GARCH model
Li, Ganqiong
;
Xu, Shiwei
;
Wang, Shengwei
;
Yu, Haipeng
- In:
Proceedings of 2013 world agricultural outlook conference
,
(pp. 161-171)
.
2014
Persistent link: https://www.econbiz.de/10010416299
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3
Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model
Lu, Xun Fa
;
Lai, Kin Keung
;
Liang, Liang
- In:
Methods and applications in natural resources management
,
(pp. 333-357)
.
2014
Persistent link: https://www.econbiz.de/10010391496
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4
Univariate und Multivariate Modellierung täglicher Volatilitäten von Rohstoff-Futures
Füss, Roland
;
Glück, Thorsten
;
Tilmes, Rolf
- In:
Management von Rohstoffrisiken : Strategien, Märkte …
,
(pp. 425-441)
.
2010
Persistent link: https://www.econbiz.de/10003902619
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5
Modeling dependency of crude oil price and agricultural commodity prices : a pairwise copulas approach
Boonyanuphong, Phattanan
;
Songsak Sriboonchitta
; …
- In:
Uncertainty analysis in econometrics with applications …
,
(pp. 255-267)
.
2013
Persistent link: https://www.econbiz.de/10009711143
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The joint dynamics of oil futures prices in the NYMEX and ICE : evidence from a structural GARCH model
Spargoli, Fabrizio
;
Zagalia, Paolo
- In:
OPEC, oil prices and LNG
,
(pp. 169-183)
.
2009
Persistent link: https://www.econbiz.de/10003862326
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7
The quantile-heterogeneous autoregressive model of realized volatility : new evidence from commodity markets
Kick, Konstantin
;
Maderitsch, Robert
- In:
Financial mathematics, volatility and covariance modelling
,
(pp. 39-58)
.
2019
Persistent link: https://www.econbiz.de/10012249098
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8
Oil price risk exposure of BRIC stock markets and hedging effectiveness
Shahzad, Syed Jawad Hussain
;
Bouri, Elie
;
Ur Rehman, Mobeen
- In:
Financial modeling and risk management of energy and …
,
(pp. 145-170)
.
2022
Persistent link: https://www.econbiz.de/10013349933
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