Kasper Olesen

CREATES

Fuglesangs Alle 4

Aarhus V, 8210

Denmark

Bank of America - Bank of America Merrill Lynch

United States

SCHOLARLY PAPERS

2

DOWNLOADS

647

CITATIONS

5

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 Economics and Management and CREATES
Downloads 613 (42,145)
Citation 7

Abstract:

Loading...

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 Economics and Management, CREATES and Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management
Downloads 34 (443,577)

Abstract:

Loading...

commodities, futures markets, portfolio selection, Realized Beta GARCH