Marcus Nossman

Lund University

Box 117

Lund, S221 00

Sweden

SCHOLARLY PAPERS

6

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Top 19,418

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2,025

CITATIONS
Rank 21,984

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Top 21,984

in Total Papers Citations

13

Scholarly Papers (6)

1.

Is the VIX Futures Market Able to Predict the VIX Index? A Test of the Expectation Hypothesis

Journal of Alternative Investments, Forthcoming
Number of pages: 20 Posted: 19 Sep 2008 Last Revised: 13 Apr 2016
Marcus Nossman and Anders Wilhelmsson
Lund University and Lund University - Department of Economics
Downloads 1,096 (12,212)
Citation 3

Abstract:

Expectation hypothesis, Futures, Implicit volatility, VIX

2.

Jumps and Stochastic Volatility in Oil Prices: Time Series Evidence

Number of pages: 31 Posted: 16 Jan 2010
Karl Larsson and Marcus Nossman
Statistics Sweden and Lund University
Downloads 370 (56,988)
Citation 5

Abstract:

Oil prices, stochastic volatility, jump diffusion, Markov chain Monte Carlo

3.

Non-Parametric Future Looking Value-at-Risk

Number of pages: 15 Posted: 05 Feb 2011 Last Revised: 27 Feb 2011
Anders Wilhelmsson and Marcus Nossman
Lund University - Department of Economics and Lund University
Downloads 147 (158,586)

Abstract:

Value-at-Risk, Non-Parametric, Implicit Volatility, VIX

4.

Pricing Electricity Swaptions Under a Stochastic Volatility Term-Structure Model

Number of pages: 26 Posted: 18 Oct 2012 Last Revised: 30 Jun 2013
Rikard Green, Karl Larsson and Marcus Nossman
Lund University - Department of Economics, Statistics Sweden and Lund University
Downloads 99 (196,958)

Abstract:

5.

Risk Contagion Among International Stock Markets

Number of pages: 46 Posted: 26 Mar 2008
Hossein Asgharian and Marcus Nossman
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University
Downloads 59 (308,044)
Citation 5

Abstract:

Spillover, jump, stochastic volatility, wavelet, Markov Chain Monte Carlo.

6.

Financial and Economic Integration's Impact on Asian Equity Markets’ Sensitivity to External Shocks

Financial Review, Vol. 48, Issue 2, pp. 343-363, 2013
Number of pages: 21 Posted: 05 Apr 2013
Hossein Asgharian and Marcus Nossman
Lund University - Department of Economics; Knut Wicksell Centre for Financial Studies and Lund University
Downloads 1 (544,333)
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Abstract:

spillover, jump in returns, stochastic volatility, Markov Chain Monte Carlo