Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets (Q2837759): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Extensions of Type G and Marginal Infinite Divisibility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Matrix Subordinators and Related Upsilon Transformations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate subordination, self-decomposability and stability / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5420974 / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE STOCHASTIC VOLATILITY MODEL OF BARNDORFF-NIELSEN AND SHEPHARD IN COMMODITY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: THE NORMAL INVERSE GAUSSIAN DISTRIBUTION AND SPOT PRICE MODELLING IN ENERGY MARKETS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3521355 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the Behaviour of Commodity Prices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3959169 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option Pricing in Multivariate Stochastic Volatility Models of OU Type / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3996259 / rank
 
Normal rank
Property / cites work
 
Property / cites work: The normal inverse gaussian lévy process: simulation and approximation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integrals in additive processes and application to semi-Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation of affine asset pricing models using the empirical characteristic function / rank
 
Normal rank

Revision as of 14:45, 6 July 2024

scientific article
Language Label Description Also known as
English
Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets
scientific article

    Statements

    Cross-Commodity Spot Price Modeling with Stochastic Volatility and Leverage For Energy Markets (English)
    0 references
    11 July 2013
    0 references
    energy market
    0 references
    Ornstein-Uhlenbeck process
    0 references
    stochastic volatility
    0 references
    leverage
    0 references
    subordinator
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references