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pro vyhledávání: '"Andrea Mazzoran"'
We analyze the VIX futures market with a focus on the exchange-traded notes written on such contracts, in particular we investigate the VXX notes tracking the short-end part of the futures term structure. Inspired by recent developments in commodity
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a2ee7990acd182215f46028a8d601ba3
We propose and investigate two model classes for forward power price dynamics, based on continuous branching processes with immigration, and on Hawkes processes with exponential kernel, respectively. The models proposed exhibit jumps clustering featu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::751ffadbb596b74aecd7192b49957b7c