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Hedging Industrial Metals With Stochastic Volatility Models
16 references·3 citing·36 second hop
Hedging Industrial Metals With Stochastic Volatility Models (2014)Hedging Industrial Metals With Stochastic…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices (2004)Do Stock Prices and Volatilit…Bayesian analysis of stochastic volatility models with fat-tails and correlated errors (2003)Bayesian analysis of stochast…Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Transform Analysis and Asset …Empirical Performance of Alternative Option Pricing Models (1997)Empirical Performance of Alte…Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Jumps and Stochastic Volatili…Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Bivariate garch estimation of the optimal commodity futures Hedge (1991)Bivariate garch estimation of…The Hedging Performance of the New Futures Markets (1979)The Hedging Performance of th…The Theory of Hedging and Speculation in Commodity Futures (1976)The Theory of Hedging and Spe…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…The Theory of Hedging and Speculation in Commodity Futures (1960)The Theory of Hedging and Spe…Self-Exciting Jumps in the Oil Market: Bayesian Estimation and Dynamic Hedging (2020)Self-Exciting Jumps in the Oi…Spillovers, integration and causality in LME non-ferrous metal markets (2018)Spillovers, integration and c…Volatility forecasting in the Chinese commodity futures market with intraday data (2016)Volatility forecasting in the…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)The Cross‐Section of Volatility and Expected Returns (2006)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)Modeling Asymmetric Comovements of Asset Returns (1998)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Financial contagion during COVID–19 crisis (2020)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)Speculators, commodities and cross-market linkages (2013)A Model of Financialization of Commodities (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)An Empirical Investigation of Continuous‐Time Equity Return Models (2002)Tails, Fears, and Risk Premia (2011)The Price of Political Uncertainty: Theory and Evidence from the Option Market (2016)An equilibrium characterization of the term structure (1977)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)A Jump-Diffusion Model for Option Pricing (2002)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Financing Policy, Basis Risk, and Corporate Hedging: Evidence from Oil and Gas Producers (2000)Modeling and Forecasting Realized Volatility (2003)Analysis of Financial Time Series (2006)The Variance Gamma Process and Option Pricing (1998)Option valuation using the fast Fourier transform (1999)The Impact of Jumps in Volatility and Returns (2003)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
  • 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
  • 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options2,272 cited
  • 1979The Hedging Performance of the New Futures Markets1,566 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2004Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices1,116 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 1976The Theory of Hedging and Speculation in Commodity Futures660 cited
  • 2003Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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633 cited
  • 1960The Theory of Hedging and Speculation in Commodity Futures617 cited
  • Cited by

    • 2018Spillovers, integration and causality in LME non-ferrous metal markets56 cited
    • 2020Self-Exciting Jumps in the Oil Market: Bayesian Estimation and Dynamic Hedging18 cited
    • 2016Volatility forecasting in the Chinese commodity futures market with intraday data18 cited