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The value of multivariate model sophistication : an application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Franceso - In: International journal of forecasting 30 (2013) 1, pp. 78-98

Persistent link: https://www.econbiz.de/10010247010

Pricing individual stock options using both stock and market index information

Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of banking & finance 111 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012221075

Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets

Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36

Persistent link: https://www.econbiz.de/10011663220

Hedging performance and multiscale relationships in the German electricity spot and futures markets

Madaleno, Mara; Pinho, Carlos - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 26-62

We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing attention that wavelets received in the financial market, we concentrate on the investigation of the relationship, covariance/coherence evolution and hedge ratio analysis, on a...

Persistent link: https://www.econbiz.de/10011555959