Variance risk in commodity markets
Year of publication: |
August 2017
|
---|---|
Authors: | Prokopczuk, Marcel ; Symeonidis, Lazaros ; Wese Simen, Chardin |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 81.2017, p. 136-149
|
Subject: | Commodities | Variance risk premia | Variance swaps | Risikoprämie | Risk premium | Varianzanalyse | Analysis of variance | Swap | Rohstoffmarkt | Commodity market | Volatilität | Volatility | Warenbörse | Commodity exchange | Theorie | Theory | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Welt | World |
-
Volatility forecasting and time-varying variance risk premiums in grains commodity markets
Triantafyllou, Athanasios, (2015)
-
Variance Risk in Commodity Markets
Prokopczuk, Marcel, (2019)
-
How do bond, equity and commodity cycles interact?
Narayan, Paresh Kumar, (2017)
- More ...
-
Do jumps matter for volatility forecasting? : evidence from energy markets
Prokopczuk, Marcel, (2016)
-
Do Jumps Matter for Volatility Forecasting? Evidence from Energy Markets
Prokopczuk, Marcel, (2019)
-
Variance Risk in Commodity Markets
Prokopczuk, Marcel, (2019)
- More ...