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Verteilungsmodelle und Risikomaße für Minimalrenditen
Mihai, Mihnea-Stefan - 2005
Persistent link: https://www.econbiz.de/10002948930
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Lévy jump risk : evidence from options and returns
Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90
Persistent link: https://www.econbiz.de/10010375952
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Risk sensitive linear approximations
Solórzano Andrade, Gustavo; Parra-Alvarez, Juan Carlos - In: Economics letters 238 (2024), pp. 1-5
Persistent link: https://www.econbiz.de/10015075489
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Modeling and valuation of energy structures : analylsis., econometrics, and numerics
Mahoney, Daniel - 2016
Persistent link: https://www.econbiz.de/10011399615
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Return and volatility linkages among G-7 and selected emerging markets
Bhuyan, Rafiq; Elian, Mohammad I.; Bagnied, Mohsen; … - In: International journal of economics and finance 7 (2015) 6, pp. 153-165
Persistent link: https://www.econbiz.de/10011335029
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Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics
Mahoney, Daniel - 2016
Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...
Persistent link: https://www.econbiz.de/10014306581
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
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Particle Gibbs with ancestor sampling for stochastic volatility models with: heavy tails, in mean effects, leverage, serial dependence and structural breaks
Nonejad, Nima - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 5, pp. 561-584
Persistent link: https://www.econbiz.de/10011431022
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120