Forecasting the volatility of crude oil futures using intraday data
B Sévi - European Journal of Operational Research, 2014 - Elsevier
We use the information in intraday data to forecast the volatility of crude oil at a horizon of 1–
66 days using a variety of models relying on the decomposition of realized variance in its …
66 days using a variety of models relying on the decomposition of realized variance in its …
[PDF][PDF] Range volatility: A review of models and empirical studies
The literature on range volatility modeling has been rapidly expanding due to its importance
and applications. This chapter provides alternative price range estimators and discusses …
and applications. This chapter provides alternative price range estimators and discusses …
[图书][B] Safeguarding food security in volatile global markets
A Prakash… - 2011 - fao.org
This chapter deals with international policy issues relevant to world price volatility in basic
foodstuffs, particularly the extent to which multilateral trade rules are conducive to an …
foodstuffs, particularly the extent to which multilateral trade rules are conducive to an …
[图书][B] Econometric analysis of carbon markets: the European Union emissions trading scheme and the clean development mechanism
J Chevallier - 2011 - books.google.com
Through analysis of the European Union Emissions Trading Scheme (EU ETS) and the
Clean Development Mechanism (CDM), this book demonstrates how to use a variety of …
Clean Development Mechanism (CDM), this book demonstrates how to use a variety of …
[图书][B] Range volatility models and their applications in finance
There has been a rapid growth of range volatility due to the demand of empirical finance.
This paper contains a review of the important development of range volatility, including …
This paper contains a review of the important development of range volatility, including …
Time‐Changed Ornstein–Uhlenbeck Processes and Their Applications in Commodity Derivative Models
L Li, V Linetsky - Mathematical Finance, 2014 - Wiley Online Library
This paper studies subordinate Ornstein–Uhlenbeck (OU) processes, ie, OU diffusions time
changed by Lévy subordinators. We construct their sample path decomposition, show that …
changed by Lévy subordinators. We construct their sample path decomposition, show that …
Asymmetric impacts of fundamentals on the natural gas futures volatility: An augmented GARCH approach
I Ergen, I Rizvanoghlu - Energy Economics, 2016 - Elsevier
We investigated the determinants of daily volatility for natural gas nearby-month futures
traded on the NYMEX within a GARCH framework augmented with market fundamentals …
traded on the NYMEX within a GARCH framework augmented with market fundamentals …
Components of grain futures price volatility
B Karali, WN Thurman - Journal of Agricultural and Resource Economics, 2010 - JSTOR
We analyze the determinants of daily futures price volatility in corn, soybeans, wheat, and
oats markets from 1986 to 2007. Combining the information from simultaneously traded …
oats markets from 1986 to 2007. Combining the information from simultaneously traded …
A jump diffusion model for agricultural commodities with Bayesian analysis
A Schmitz, Z Wang, JH Kimn - Journal of Futures Markets, 2014 - Wiley Online Library
Stochastic volatility, price jumps, seasonality, and stochastic cost of carry have been
included separately, but not collectively, in pricing models of agricultural commodity futures …
included separately, but not collectively, in pricing models of agricultural commodity futures …
The evolution of price discovery in us equity and derivatives markets
This study considers the evolution of price discovery in the S&P 500 E‐mini futures and the
corresponding exchange traded fund (SPY ETF) over the period January 2002 through …
corresponding exchange traded fund (SPY ETF) over the period January 2002 through …