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Forecasting international index returns using option-implied variables

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - 2018

Persistent link: https://www.econbiz.de/10011897857

International oil market risk anticipations and the cushing bottleneck : option-implied evidence

Gagnon, Marie-Hélène; Power, Gabriel J. - In: The energy journal 41 (2020) 6, pp. 255-280

Persistent link: https://www.econbiz.de/10012547136

The sum of all fears : forecasting international returns using option-implied risk measures

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Journal of banking & finance 146 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014248207

Forecasting market index volatility using Ross-recovered distributions

Gagnon, Marie-Hélène; Power, Gabriel J.; Toupin, Dominique - In: Quantitative finance 22 (2022) 2, pp. 255-271

Persistent link: https://www.econbiz.de/10013167736

Quantitative finance for agricultural commodities : discussion and extension

Power, Gabriel J. - In: Agricultural finance review 76 (2016) 1, pp. 27-41

Persistent link: https://www.econbiz.de/10011695493

Quantitative finance for agricultural commodities: discussion and extension

Power, Gabriel J. - In: Agricultural Finance Review 76 (2016) 1, pp. 27-41

Purpose – The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis. Design/methodology/approach – The paper uses time series econometrics including variance ratio tests, fractional integration...

Persistent link: https://www.econbiz.de/10014667344