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pro vyhledávání: '"Nikitopoulos, CS"'
This study examines the role of daily volatility persistence in transmitting information from macro-economy in the volatility of energy markets. In crude oil and natural gas markets, macro-economic factors, such as the VIX, the credit spread and the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::5b2aa4fcb89090cf1da220ebd5c0575f
https://hdl.handle.net/10453/170729
https://hdl.handle.net/10453/170729
Autor:
Alfeus, M, Nikitopoulos, CS
Commodities are the most volatile markets, and forecasting their volatility is an issue of paramount importance. We examine the dynamics of commodity markets volatility by employing three typical long-memory models: fractional integrated generalized
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::1bed509606e9c542e25182dc5c7586ab
https://hdl.handle.net/10453/164057
https://hdl.handle.net/10453/164057
© 2018 Wiley Periodicals, Inc. We empirically assess hedging interest rate risk beyond the conventional delta, gamma, and vega hedges in long-dated crude oil options positions. Using factor hedging in a model featuring stochastic interest rates and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::44df198db89bbf07d8e2240e95b9b453
https://hdl.handle.net/10453/133640
https://hdl.handle.net/10453/133640
© 2016 Wiley Periodicals, Inc. By employing a continuous time multi-factor stochastic volatility model, the dynamic relation between returns and volatility in the commodity futures markets is analyzed. The model is estimated by using an extensive da
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______363::0f6d46bf3401948edf9fd417ff6c8bb1
https://hdl.handle.net/10453/41286
https://hdl.handle.net/10453/41286