De Boelelaan 1105
Vrije Universiteit Amsterdam - Faculty of Economics and Business Administration
in Total Papers Downloads
centralized clearing, interest rate swaps, contagion, systemic risk
Oil Futures, News, Event Study
conditional variance, space-time models, GARCH, weight matrix, maximum likelihood estimation
news sentiment, natural gas futures, state space modelling, Kalman filter, realized variance, Granger causality
News sentiment, commodity markets, event studies, commodity indices, volatility modelling
Systemic Risk, News Sentiment, Granger Causality
News sentiment, news analytics, factor models, abnormal returns
electricity prices, stochastic time change, activity rate, mean reversion, jump diffusion
structured product, commodities, rating, bootstrap, mean reversion
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