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Optimisation of the switching process by modelling the contact surface

✍ Scribed by Th. Schoenemann


Book ID
115555882
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
586 KB
Volume
9
Category
Article
ISSN
1430-144X

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## Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commo