Browsing 14 Economics by Author "To, Thuy"

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Browsing 14 Economics by Author "To, Thuy"

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  • Chiarella, Carl; Kang, Boda; Nikitopoulos Sklibosios, Christina; To, Thuy (Elsevier, 2013)
    This paper analyses the volatility structure of commodity derivatives markets. The model encompasses hump-shaped, unspanned stochastic volatility, which entails a finite-dimensional affine model for the commodity futures ...
  • Chiarella, Carl; To, Thuy (Springer New York LLC, 2006)
    This paper estimates a model of interest rate dynamics containing multi-factor Wiener and single-factor Poisson jump volatility components. Data from the highly liquid but short term futures markets are used. The difficult ...