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An analysis of intraday market response to crude oil inventory shocks

Li, Ziyuan; Geman, Hélyette - In: The journal of energy markets 11 (2018) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011999486

Ownership yield and prime real estate in alpha cities

Geman, Hélyette; Velez, Tara Michelle - In: The journal of wealth management 19 (2016) 3, pp. 116-130

Persistent link: https://www.econbiz.de/10011615301

Introducing distances between commodity markets : the case of the US and UK natural gas

Geman, Hélyette; Liu, Bo - In: Advanced modelling in mathematical finance : in honour …, (pp. 93-105). 2016

Persistent link: https://www.econbiz.de/10011800340

Diamonds and precious metals for reduction of portfolio tail risk

Barbi, Massimiliano; Geman, Hélyette; Romagnoli, Silvia - In: Applied economics 52 (2020) 26, pp. 2841-2861

Persistent link: https://www.econbiz.de/10012221456

The liquefied natural gas spot market and valuation of the rerouting option

Geman, Hélyette; Philippou, Sofia - In: The journal of energy markets 13 (2020) 3, pp. 57-96

Persistent link: https://www.econbiz.de/10012662236

Bitcoin spot and derivatives markets : searching for completeness

Geman, Hélyette; Price, Henry - In: Risk and decision analysis 8 (2021) 3/4, pp. 113-125

Persistent link: https://www.econbiz.de/10013173240

Analysis and Modelling of Electricity Futures Prices

Borovkova, Svetlana; Geman, Helyette - In: Studies in Nonlinear Dynamics & Econometrics 10 (2006) 3

We model electricity futures prices using a seasonal forward curve model, quantifying seasonalities by a deterministic seasonal forward premium. Stochastic features of the futures prices are contained in the stochastic forward premium: a quantity analogous to the well-known convenience yield....

Persistent link: https://www.econbiz.de/10014620977

An ensemble of LSTM neural networks for high‐frequency stock market classification

Borovkova, Svetlana; Tsiamas, Ioannis - In: Journal of Forecasting 38 (2019) 6, pp. 600-619

Persistent link: https://www.econbiz.de/10012082046

Detecting market transitions and energy futures risk management using principal components

Borovkova, Svetlana - In: The European Journal of Finance 12 (2006) 6-7, pp. 495-512

An empirical approach to analysing the forward curve dynamics of energy futures is presented. For non-seasonal commodities—such as crude oil—the forward curve is well described by the first three principal components: the level, slope and curvature. A principal component indicator is...

Persistent link: https://www.econbiz.de/10005438037

Analysis and Modelling of Electricity Futures Prices

Borovkova, Svetlana; Geman, Helyette - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 3, pp. 1372-1372

Persistent link: https://www.econbiz.de/10004966112