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A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
Ignatieva, Ekaterina - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 5, pp. 483-505
Persistent link: https://www.econbiz.de/10010461199
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Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18
Persistent link: https://www.econbiz.de/10015101647
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Industry concentration, excess returns and innovation in Australia
Gallagher, David R.; Ignatieva, Ekaterina; McCulloch, James - 2013
Persistent link: https://www.econbiz.de/10009775520
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A tractable model for indices approximating the growth optimal portfolio
Baldeaux, Jan; Ignatieva, Ekaterina; Platen, Eckhard - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10010347344
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A hybrid model for pricing and hedging of long dated bonds
Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - 2013
Persistent link: https://www.econbiz.de/10010349514
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Industry concentration, excess returns and innovation in Australia
Gallagher, David R.; Ignatieva, Ekaterina; McCulloch, James - In: Accounting and finance : journal of the Accounting … 55 (2015) 2, pp. 443-466
Persistent link: https://www.econbiz.de/10011402905
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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance 65 (2015), pp. 172-186
Persistent link: https://www.econbiz.de/10011428649
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Modeling spot price dependence in Australian electricity markets with applications to risk management
Ignatieva, Ekaterina; Trück, Stefan - In: Computers & operations research : and their … 66 (2016), pp. 415-433
Persistent link: https://www.econbiz.de/10011429137
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Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, Ekaterina; Rodrigues, Paulo Jorge Maurício; … - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 68-75
Persistent link: https://www.econbiz.de/10011389699
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Systematic mortality risk : an analysis of guaranteed lifetime withdrawal benefits in variable annuities
Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Insurance 58 (2014), pp. 103-115
Persistent link: https://www.econbiz.de/10010437618