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subject:"Option pricing theory"
~subject:"ARCH model"
~isPartOf:"International review of economics & finance : IREF"
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Search: subject_exact:"Commodity derivative"
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Option pricing theory
ARCH model
Commodity derivative
46
Rohstoffderivat
46
Volatility
23
Volatilität
23
Oil price
17
Ölpreis
17
Welt
14
World
14
Estimation
12
Hedging
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Schätzung
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Commodity exchange
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Derivat
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Derivative
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Spillover-Effekt
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ARCH-Modell
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Zhang, Yue-jun
2
Balcilar, Mehmet
1
Baldi, Lucia
1
Caporin, Massimiliano
1
Chang, Chia-Lin
1
Chang, Kuang-Liang
1
Chen, Wang
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Corredor, Pilar
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Gungor, Hasan
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McAleer, Michael
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Peri, Massimo
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Ripple, Ronald D.
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Santamaría Aquilué, Rafael
1
Vandone, Daniela
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Wei, Yu
1
Wu, Yao-Bin
1
Yao, Ting
1
Öcal, Nadir
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Öztek, Mehmet Fatih
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International review of economics & finance : IREF
Energy economics
90
The journal of futures markets
23
Economic modelling
17
Finance research letters
15
Journal of banking & finance
13
Applied economics
12
International Journal of Energy Economics and Policy : IJEEP
12
International review of financial analysis
12
Working paper
10
Econometric Institute research papers
9
Journal of commodity markets
7
Research in international business and finance
7
American journal of agricultural economics
6
Applied economics letters
6
European journal of operational research : EJOR
6
Journal of international financial markets, institutions & money
6
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
6
The North American journal of economics and finance : a journal of financial economics studies
6
The energy journal
6
International journal of theoretical and applied finance
5
Review of derivatives research
5
Review of quantitative finance and accounting
5
Agricultural finance review
4
Journal of agricultural and resource economics : JARE ; the journal of the Western Agricultural Economics Association
4
Journal of empirical finance
4
Journal of financial and quantitative analysis : JFQA
4
Journal of forecasting
4
Quantitative finance
4
Cogent economics & finance
3
Discussion paper
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International journal of bonds and derivatives
3
International journal of finance & economics : IJFE
3
International journal of forecasting
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The European journal of finance
3
The empirical economics letters : a monthly international journal of economics
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The journal of finance : the journal of the American Finance Association
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1
Forecasting oil price volatility using high-frequency data : new evidence
Chen, Wang
;
Ma, Feng
;
Wei, Yu
;
Liu, Jing
- In:
International review of economics & finance : IREF
66
(
2020
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012390514
Saved in:
2
The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang
;
Lee, Chingnun
- In:
International review of economics & finance : IREF
69
(
2020
),
pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
Saved in:
3
Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
Saved in:
4
Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?
Zhang, Yue-jun
;
Yao, Ting
;
He, Ling-yun
;
Ripple, Ronald D.
- In:
International review of economics & finance : IREF
59
(
2019
),
pp. 302-317
Persistent link: https://www.econbiz.de/10012202881
Saved in:
5
The time-varying spillover effect between WTI crude oil futures returns and hedge funds
Zhang, Yue-jun
;
Wu, Yao-Bin
- In:
International review of economics & finance : IREF
61
(
2019
),
pp. 156-169
Persistent link: https://www.econbiz.de/10012205400
Saved in:
6
Financial crises and the nature of correlation between commodity and stock markets
Öztek, Mehmet Fatih
;
Öcal, Nadir
- In:
International review of economics & finance : IREF
48
(
2017
),
pp. 56-68
Persistent link: https://www.econbiz.de/10011747083
Saved in:
7
Sentiment-prone investors and volatility dynamics between spot and futures markets
Corredor, Pilar
;
Ferrer, Elena
;
Santamaría Aquilué, Rafael
- In:
International review of economics & finance : IREF
35
(
2015
),
pp. 180-196
Persistent link: https://www.econbiz.de/10011333698
Saved in:
8
The time-varying causality between spot and futures crude oil prices : a regime switching approach
Balcilar, Mehmet
;
Gungor, Hasan
;
Hammoudeh, Shawkat
- In:
International review of economics & finance : IREF
40
(
2015
),
pp. 51-71
Persistent link: https://www.econbiz.de/10011571896
Saved in:
9
Internet, noise trading and commodity futures prices
Peri, Massimo
;
Vandone, Daniela
;
Baldi, Lucia
- In:
International review of economics & finance : IREF
33
(
2014
),
pp. 82-89
Persistent link: https://www.econbiz.de/10010531284
Saved in:
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