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Jumps and volatility dynamics in agricultural commodity spot prices

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied economics 49 (2017) 40, pp. 4035-4054

Persistent link: https://www.econbiz.de/10011820009

Dynamic probabilistic forecasting with uncertainty

Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18

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Maximum entropy evaluation of asymptotic hedging error under a generalised jump-diffusion model

Fard, Farzad Alavi; Doko Tchatoka, Firmin; … - In: Journal of risk and financial management : JRFM 14 (2021) 3/97, pp. 1-19

In this paper we propose a maximum entropy estimator for the asymptotic distribution of the hedging error for options. Perfect replication of financial derivatives is not possible, due to market incompleteness and discrete-time hedging. We derive the asymptotic hedging error for options under a...

Persistent link: https://www.econbiz.de/10012484861

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Skewed generalized error distribution of financial assets and option pricing

Theodossiou, Panayiotis - In: Multinational finance journal : MF ; quarterly … 19 (2015) 3/4, pp. 223-266

Persistent link: https://www.econbiz.de/10011434223

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783

A comparative goodness-of-fit analysis of distributions of some Lévy processes and Heston model to stock index returns

Göncü, Ahmet; Karahan, Mehmet Oğuz; Kuzubaş, Tolga Umut - In: The North American journal of economics and finance : a … 36 (2016), pp. 69-83

Persistent link: https://www.econbiz.de/10011672611

Moments expansion densities for quantifying financial risk

Ñíguez, Trino-Manuel; Perote, Javier - In: The North American journal of economics and finance : a … 42 (2017), pp. 53-69

Persistent link: https://www.econbiz.de/10011938073

Information flow dependence in financial markets

Michaelsen, Markus - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-34

Persistent link: https://www.econbiz.de/10012496727

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10011963681