We develop a stochastic volatility model with jumps in returns and volatility to analyze the
risk spillover from the US market and the regional market to a number of European countries’ …

In this paper we examine the empirical performance of affine jump diffusion models with
stochastic volatility in a time series study of crude oil prices. We compare four different models …

This article tests the expectation hypothesis by using the volatility index VIX and futures
contracts written on that index. Because the VIX index is negatively correlated with the S&P 500 …

This study develops a term structure model for VIX futures. Instead of deriving the VIX futures
price from a model for the instantaneous variance of the S&P 500 or a model for the VIX, the …

This paper investigates the spillover effects from US and regional stock markets on local
stock markets in the Pacific Basin region and China. We also analyze if the spillover depends …

In this paper we generalize the electricity spot price model of Lucia and Schwartz by a two-factor
model with jumps and stochastic volatility. We estimate the model on daily spot price …

This paper proposes a new model for computing value-at-risk forecasts. The model is fully
nonparametric and easy to implement. Further, it incorporates information about the market’s …

In this paper we are building portfolios consisting of the S&P 500 index and a T-bond index.
The portfolio weights are chosen in such a way that the risk for the portfolio is minimized. To …

In this paper we are building portfolios consisting of the S&P 500 index and a T-bond index.
The portfolio weights are chosen in such a way that the risk for the portfolio is minimized. To …

This paper suggests a stochastic volatility term-structure model applied to the pricing of
electricity swaptions in the Nordic power market traded at the Nasdaq OMX Commodities …