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~isPartOf:"CREATES research paper"
~subject:"Commodity price"
~subject:"Forecasting model"
~subject:"USA"
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Commodity price
Forecasting model
USA
Option pricing theory
9
Optionspreistheorie
9
Volatility
7
Volatilität
7
Risikoprämie
5
Risk premium
5
ARCH model
4
ARCH-Modell
4
CAPM
4
Prognoseverfahren
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Theorie
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Theory
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Aktienoption
3
Börsenkurs
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Capital income
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Kapitaleinkommen
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Option trading
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Optionsgeschäft
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Share price
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Stock option
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Time series analysis
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Zeitreihenanalyse
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Beta risk
2
Betafaktor
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Correlation
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Index derivative
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Indexderivat
2
Korrelation
2
Portfolio selection
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Portfolio-Management
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Statistical distribution
2
Statistische Verteilung
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Yield curve
2
Zinsstruktur
2
1988-1993
1
2004 - 2013
1
Aktienmarkt
1
Capital market returns
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English
6
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Christoffersen, Peter F.
6
Jacobs, Kris
2
Amaya, Diego
1
Berkowitz, Jeremy
1
Chang, Bo Young
1
Langlois, Hugues
1
Lunde, Asger
1
Olesen, Kasper V.
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Pan, Xuhui
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Pelletier, Denis
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CREATES research paper
The review of financial studies
5
Working paper / National Bureau of Economic Research, Inc.
5
Working papers / Financial Institutions Center
4
CFS working paper series
3
NBER working paper series
3
IMF working paper
2
IMF working papers
2
Journal of financial and quantitative analysis : JFQA
2
Journal of financial econometrics
2
Journal of financial economics
2
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2
Working papers / Federal Reserve Bank of Philadelphia, Economic Research Division
2
CFS Working Paper
1
Econometric theory
1
Economic policy review
1
Financial markets and asset pricing
1
Financial services at the crossroads: capital regulation in the twenty-first century
1
Handbook of economic forecasting ; 1
1
Handbook of economic forecasting ; Vol. 1
1
Handbook of economic forecasting ; Volume 2A
1
International economic review
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Symposium on forecasting and empirical methods in macroeconomics and finance
1
The review of economics and statistics
1
The risks of financial institutions : [...papers and comments presented at a conference held in Woodstock, Vermont, 22-23 October 2004]
1
Working paper series / European Central Bank ; Eurosystem
1
Working paper series / New York University, Salomon Center, Leonard N. Stern School of Business
1
Working papers / Penn Institute for Economic Research
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Working papers / Rodney L. White Center for Financial Research
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ECONIS (ZBW)
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Oil volatility risk and expected stock returns
Christoffersen, Peter F.
;
Pan, Xuhui
-
2015
Persistent link: https://www.econbiz.de/10010499508
Saved in:
2
Factor structure in commodity futures return and volatility
Christoffersen, Peter F.
;
Lunde, Asger
;
Olesen, Kasper V.
-
2014
Persistent link: https://www.econbiz.de/10010406918
Saved in:
3
Does realized skewness predict the cross-section of equity returns?
Amaya, Diego
;
Christoffersen, Peter F.
;
Jacobs, Kris
; …
-
2013
Persistent link: https://www.econbiz.de/10010226861
Saved in:
4
Forecasting with option implied information
Christoffersen, Peter F.
;
Jacobs, Kris
;
Chang, Bo Young
-
2011
Persistent link: https://www.econbiz.de/10009385092
Saved in:
5
The joint dynamics of equity market factors
Christoffersen, Peter F.
;
Langlois, Hugues
-
2011
Persistent link: https://www.econbiz.de/10009385098
Saved in:
6
Evaluating value-at-risk models with desk-level data
Christoffersen, Peter F.
;
Berkowitz, Jeremy
;
Pelletier, …
-
2009
Persistent link: https://www.econbiz.de/10003865687
Saved in:
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