Kasper Olesen

CREATES

Fuglesangs Alle 4

Aarhus V, 8210

Denmark

Bank of America - Bank of America Merrill Lynch

United States

SCHOLARLY PAPERS

2

DOWNLOADS

711

SSRN CITATIONS

4

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

Factor Structure in Commodity Futures Return and Volatility

Rotman School of Management Working Paper No. 2495779
Number of pages: 64 Posted: 14 Sep 2014 Last Revised: 26 Jun 2017
Peter Christoffersen, Asger Lunde and Kasper Olesen
University of Toronto - Rotman School of Management, Aarhus University - School of Business and Social Sciences and CREATES
Downloads 659 (43,886)
Citation 11

Abstract:

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Factor structure, financial volatility, beta, high-frequency data, commodities, financialization

2.

Realizing Correlations Across Asset Classes

Number of pages: 48 Posted: 02 Jan 2019
School of Economics and Business Economics, Aarhus University, Aarhus University - School of Business and Social Sciences, CREATES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 52 (422,492)

Abstract:

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commodities, futures markets, portfolio selection, Realized Beta GARCH