Publication Type:

  • 9
  • 2

Publication Type:

  • 9
  • 2
AgEcon Search 11 records found 1 - 10next  jump to record: Search took 0.06 seconds. 
We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models [...]
English | 2008-07 | Working or Discussion Paper |
We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier estimator, and the wavelet estimator, when a typic [...]
English | 2005-01 | Working or Discussion Paper |
We study measures of foreign exchange rate volatility based on high-frequency (5- minute) $/DM exchange rate returns using recent nonparametric statistical techniques to [...]
English | 2005-12 | Working or Discussion Paper |
The classified pricing of fluid milk under the Federal Milk Marketing Orders (FMMO) system combined with the cash settlement feature of Class IIII milk futures contracts [...]
2011-05 | Conference Paper/ Presentation |
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options ar [...]
2009-12 | Working or Discussion Paper |
Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model u [...]
English | 2006 | Working or Discussion Paper |
Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the [...]
2005 | Conference Paper/ Presentation |
This paper proposes two simple tests that are based on certain time domain properties of I(d) processes. First, if a time series follows an I(d) process, then each subsam [...]
English | 2006-12 | Working or Discussion Paper |
Recent developments allow a nonparametric separation of the continuous sample path component and the jump component of realized volatility. The jump component has very di [...]
English | 2005-11 | Working or Discussion Paper |
We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed from high-frequency (5-minute) returns on 30 year Tre [...]
English | 2006-02 | Working or Discussion Paper |

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