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|2 23
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|a UAMI
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|a Lassak, Matthias.
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|a Pricing Metal Futures. The Two-Regime-Pricing Model revisited
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| 260 |
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|a Hamburg :
|b Diplomica Verlag,
|c 2017.
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| 300 |
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|a 1 online resource (96 pages)
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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|a online resource
|b cr
|2 rdacarrier
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|a Alternative Investments ;
|v v. 17
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|a Print version record.
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|a Pricing Metal Futures. The Two-Regime-Pricing Model revisited; Vorwort; Abstract; Contents; List of Abbreviations; List of Figures; List of Tables; 1 Introduction; 2 Literature review; 3 Statistical Properties of Metal Prices; 3.1 Data set; 3.2 Stationarity and Mean Reversion; 3.3 Volatility and Samuelson Hypothesis; 3.4 Seasonal and Business Cycle Effects; 4 Pricing Metal Futures; 4.1 TRP Model Setup; 4.2 TRP Model Analysis; 4.3 Parameter Estimation; 4.3.1 Rolling window estimation; 4.3.2 Full history estimation; 4.4 Futures Pricing Accuracy; 5 Conclusion
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| 505 |
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|a A LME futures contract specificationB Stationarity tests of logarithmic futures prices; C Volatility and Samuelson hypothesis -- Bessembinder et al. (1996) specification; D Rolling window and full history estimation; E Derivation of Cost-of-Carry futures return volatility; F Theoretical futures return volatility -- rolling window estimates; References
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| 590 |
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|a ProQuest Ebook Central
|b Ebook Central Academic Complete
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| 650 |
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|a Metal trade
|x Prices.
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| 650 |
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|a Metal trade
|x Mathematical models.
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| 650 |
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|a Industries métallurgiques
|x Prix.
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|a Industries métallurgiques
|x Modèles mathématiques.
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| 650 |
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|a Metal trade
|x Mathematical models
|2 fast
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| 650 |
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7 |
|a Metal trade
|x Prices
|2 fast
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| 776 |
0 |
8 |
|i Print version:
|a Lassak, Matthias.
|t Pricing Metal Futures. The Two-Regime-Pricing Model revisited.
|d Hamburg : Diplomica Verlag, ©2017
|z 9783961465828
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| 830 |
|
0 |
|a Alternative Investments.
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|z Texto completo
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