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Computing the market price of volatility risk in the energy commodity markets

✍ Scribed by James S. Doran; Ehud I. Ronn


Book ID
116615199
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
734 KB
Volume
32
Category
Article
ISSN
0378-4266

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πŸ“œ SIMILAR VOLUMES


The information content of implied volat
✍ Pierre Giot πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 112 KB πŸ‘ 2 views

## Abstract In this article we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided b