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A multi-factor structural model for Australian electricity market risk

Breslin, John; Clewlow, Les; Strickland, Chris - In: Nonlinear economic dynamics and financial modelling : …, (pp. 335-354). 2014

Persistent link: https://www.econbiz.de/10011286578

Parameterisation and efficient MCMC estimation of non-Gaussian state space models

Strickland, Chris; Martin, Gael M.; Forbes, Catherine … - 2006

Persistent link: https://www.econbiz.de/10003433826

A New Dynamic House-Price Index

Stanton, Richard - 2020

Using a newly available panel data set containing property-specific, time-varying hedonic characteristics and sales prices, we develop a new dynamic house-price model that is suitable for out-of-sample forecasting applications such as mortgage valuation and bank stress-testing. The model is set...

Persistent link: https://www.econbiz.de/10012845830

Money market term structure dynamics and volatility expectations

Carverhill, Andrew; Strickland, Chris - 1992

Persistent link: https://www.econbiz.de/10001375509

Interst rate derivatives in a Duffie and Kan model with stochastic volatility : an Arrow-Debreu pricing approach

Nunes, Jo~ao Pedro Vidal; Clewlow, Les; Hodges, Stewart D. - In: Review of derivatives research 3 (1999) 1, pp. 5-66

Persistent link: https://www.econbiz.de/10001445808

The dynamics of the S&P 500 implied volatility surface

Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Review of derivatives research 3 (1999) 3, pp. 263-282

Persistent link: https://www.econbiz.de/10001493260

The dynamics of implied volatility surfaces

Skiadopoulos, George; Hodges, Stewart D.; Clewlow, Les - In: Decision making : recent developments and worldwide …, (pp. 197-211). 2010

Persistent link: https://www.econbiz.de/10009152462

On the volatility of commodity futures prices

Clewlow, Les; Kang, Boda; Nikitopoulos, Christina Sklibosios - In: Nonlinear economic dynamics and financial modelling : …, (pp. 315-334). 2014

Persistent link: https://www.econbiz.de/10011286579

The evaluation of multiple year gas sales agreement with regime switching

Chiarella, Carl; Clewlow, Les; Kang, Boda - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011453874