The multifactor nature of the volatility of futures markets
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Publication:853577
DOI10.1007/S10614-006-9023-9zbMATH Open1153.91475OpenAlexW2042940512MaRDI QIDQ853577FDOQ853577
Authors: Thuy-Duong Tô, Carl Chiarella 
Publication date: 17 November 2006
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-006-9023-9
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Cites Work
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- Bond Market Structure in the Presence of Marked Point Processes
- The surprise element: Jumps in interest rates.
- Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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- New stopping criterion for genetic algorithms
- A class of jump-diffusion bond pricing models within the HJM framework
- Using reliability analysis to estimate the number of generations to convergence in genetic algorithms
- ASYMPTOTIC CONVERGENCE PROPERTIES OF GENETIC ALGORITHMS AND EVOLUTIONARY PROGRAMMING: ANALYSIS AND EXPERIMENTS
Cited In (4)
- Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- Fed funds futures variance futures
- Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?
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