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type_genre:"Working Paper"
~isPartOf:"Boston College working papers in economics"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Volatility"
~subject:"Volatilität"
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Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
-
2018
Persistent link: https://www.econbiz.de/10011891048
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2
A penny saved is a penny earned : less expensive zero coupon bonds
Gnoatto, Alessandro
;
Grasselli, Martino
;
Platen, Eckhard
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2016
Persistent link: https://www.econbiz.de/10011778099
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3
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.
;
Zerilli, Paola
-
2014
Persistent link: https://www.econbiz.de/10011293875
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4
Heterogeneous expectations in asset pricing : empirical evidence from the S&P500
Chiarella, Carl
;
He, Xue-zhong
;
Zwinkels, Remco C. J.
-
2014
Persistent link: https://www.econbiz.de/10010349280
Saved in:
5
Humps in the volatility structure of the crude oil futures market
Chiarella, Carl
;
Kang, Boda
;
Nikitopoulos, Christina …
-
2012
Persistent link: https://www.econbiz.de/10009564452
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6
Consistent modeling of VIX and equity derivatives using a 3, 2 plus jumps model
Baldeaux, Jan
;
Badran, Alexander
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2012
Persistent link: https://www.econbiz.de/10009564457
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7
Financialization, crisis and commodity correlation dynamics
Silvennoinen, Annastiina
;
Thorp, Susan
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2010
Persistent link: https://www.econbiz.de/10008662204
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8
Modelling and estimating the forward price curve in the energy market
Chiarella, Carl
;
Chewlow, Les
;
King, Boda
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2009
Persistent link: https://www.econbiz.de/10008662359
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9
Volatility forecast comparison using imperfect volatility proxies
Patton, Andrew J.
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2006
Persistent link: https://www.econbiz.de/10003329784
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10
The multifactor nature of the volatility of the eurodollar futures market
Chiarella, Carl
;
Tô, Thuy-duong
-
2005
Persistent link: https://www.econbiz.de/10002721727
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