7
H index
5
i10 index
140
Citations
University of Technology Sydney (50% share) | 7 H index 5 i10 index 140 Citations RESEARCH PRODUCTION: 16 Articles 22 Papers 2 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Christina Nikitopoulos-Sklibosios. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Energy Economics | 4 |
Asia-Pacific Financial Markets | 2 |
Journal of Futures Markets | 2 |
Journal of Banking & Finance | 2 |
International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
Working Papers Series with more than one paper published | # docs |
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Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney | 21 |
Year | Title of citing document |
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2021 | Multigrid Iterative Algorithms based on Compact Finite Difference Schemes and Hermite interpolation for Solving Regime Switching American Options. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2008.00925. Full description at Econpapers || Download paper |
2022 | Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step. (2020). Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:2012.09820. Full description at Econpapers || Download paper |
2021 | Modelling risk for commodities in Brazil: An application to live cattle spot and futures prices. (2021). J. A. C. Santos, ; Eg, A D ; Bernardino, W ; Alcoforado, R G. In: Papers. RePEc:arx:papers:2107.07556. Full description at Econpapers || Download paper |
2021 | On the Parameter Estimation in the Schwartz-Smiths Two-Factor Model. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01881. Full description at Econpapers || Download paper |
2021 | On Modelling of Crude Oil Futures in a Bivariate State-Space Framework. (2021). Shevchenko, Pavel ; Kordzakhia, Nino ; Binkowski, Karol . In: Papers. RePEc:arx:papers:2108.01886. Full description at Econpapers || Download paper |
2021 | Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2021). Zanette, Antonino ; Molent, Andrea ; Goudenege, Ludovic. In: Papers. RePEc:arx:papers:2108.11141. Full description at Econpapers || Download paper |
2021 | Method of lines for valuation and sensitivities of Bermudan options. (2021). Jain, Shashi ; Murthy, Vasudeva ; Banerjee, Purba. In: Papers. RePEc:arx:papers:2112.01287. Full description at Econpapers || Download paper |
2022 | Invariant cones for jump-diffusions in infinite dimensions. (2022). Tappe, Stefan. In: Papers. RePEc:arx:papers:2206.13913. Full description at Econpapers || Download paper |
2022 | Determining hedges and safe havens for stocks using interval analysis. (2022). Hsueh, Shao-Chieh ; Liu, Yilei ; Ju, Peijie ; Chang, Meng-Shiuh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000274. Full description at Econpapers || Download paper |
2022 | Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem. (2022). Goudenege, Ludovic ; Molent, Andrea ; Zanette, Antonino. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:958-974. Full description at Econpapers || Download paper |
2022 | The evolution of day-of-the-week and the implications in crude oil market. (2022). Nor, Normaziah Mohd ; Wen, Fenghua ; Zhu, QI ; Li, Wenhui. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s014098832200007x. Full description at Econpapers || Download paper |
2022 | Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models. (2022). Wong, Patrick ; Ignatieva, Katja. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000561. Full description at Econpapers || Download paper |
2022 | Forecasting crude oil volatility with exogenous predictors: As good as it GETS?. (2022). Bonnier, Jean-Baptiste. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002249. Full description at Econpapers || Download paper |
2021 | The importance of extreme shock: Examining the effect of investor sentiment on the crude oil futures market. (2021). Liang, Chao ; Niu, Tianjiao ; Ma, Feng ; Wang, LU. In: Energy Economics. RePEc:eee:eneeco:v:99:y:2021:i:c:s0140988321002255. Full description at Econpapers || Download paper |
2022 | Investor sentiment and machine learning: Predicting the price of Chinas crude oil futures market. (2022). Zhang, Lin ; Wen, BO ; Owen, B ; Jiang, Zhe. In: Energy. RePEc:eee:energy:v:247:y:2022:i:c:s0360544222003747. Full description at Econpapers || Download paper |
2021 | Terrorist attacks and oil prices: Hypothesis and empirical evidence. (2021). Gong, Qiang ; Narayan, Paresh Kumar ; Bach, Dinh Hoang. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000120. Full description at Econpapers || Download paper |
2021 | Economic activity, and financial and commodity markets’ shocks: An analysis of implied volatility indexes. (2021). Ndubuisi, Gideon ; Ozor, Jude ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:165:y:2021:i:c:p:51-66. Full description at Econpapers || Download paper |
2021 | Speculation and informational efficiency in commodity futures markets. (2021). Bonnier, Jean-Baptiste. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s026156062100108x. Full description at Econpapers || Download paper |
2021 | Asymmetric volatility in commodity markets. (2021). Mu, Xiaoyi ; Chen, Yu-Fu. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:22:y:2021:i:c:s2405851320300167. Full description at Econpapers || Download paper |
2022 | Effects of fundamentals, geopolitical risk and expectations factors on crude oil prices. (2022). Visalakshmi, S ; Manickavasagam, Jeevananthan ; Gkillas, Konstantinos. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003324. Full description at Econpapers || Download paper |
2021 | Volatility regime, inverted asymmetry, contagion, and flights in the gold market. (2021). Tian, Yuan ; Chen, Meng-Wei ; Kung, Chih-Chun ; Chang, Meng-Shiuh. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000299. Full description at Econpapers || Download paper |
2021 | Detecting lag linkage effect between economic policy uncertainty and crude oil price: A multi-scale perspective. (2021). Sun, Mei ; He, Huizi ; Li, Xiuming ; Gao, Cuixia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004192. Full description at Econpapers || Download paper |
2022 | On the stylized facts of precious metals’ volatility: A comparative analysis of pre- and during COVID-19 crisis. (2022). Bentes, Sonia R. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003727. Full description at Econpapers || Download paper |
2022 | Does the SDR stabilize investing in commodities?. (2022). Xu, Yang ; Han, Liyan ; Jin, Jiayu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:81:y:2022:i:c:p:160-172. Full description at Econpapers || Download paper |
2021 | Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy. (2021). Garcia, Fausto Pedro ; Acarolu, Hakan. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:22:p:7473-:d:675237. Full description at Econpapers || Download paper |
2022 | Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model. (2022). Yang, Chenxu ; Xuyang, Chen ; Chuang, O-Chia . In: Energies. RePEc:gam:jeners:v:15:y:2022:i:8:p:2945-:d:795842. Full description at Econpapers || Download paper |
2021 | Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2021). Schlogl, Erik ; Rudd, Ralph ; Feng, YU ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:1:p:13-:d:474489. Full description at Econpapers || Download paper |
2021 | Gold and oil prices: abnormal returns, momentum and contrarian effects. (2021). Plastun, Alex ; Caporale, Guglielmo Maria. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:35:y:2021:i:3:d:10.1007_s11408-021-00380-w. Full description at Econpapers || Download paper |
2022 | Risk premia in the term structure of crude oil futures: long-run and short-run volatility components. (2022). Liu, Rui ; Boyd, Naomi. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01032-w. Full description at Econpapers || Download paper |
2021 | Time Series Dynamics of Short Term Interest Rates in Turkey. (2021). Siklar, Ilyas. In: Business and Economic Research. RePEc:mth:ber888:v:11:y:2021:i:1:p:92-108. Full description at Econpapers || Download paper |
2022 | Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil. (2022). Westgaard, Sjur ; Ouyang, Ruolan ; Ewald, Christian ; Chen, Jilong ; Xiao, Xiaoxia. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04198-7. Full description at Econpapers || Download paper |
2021 | Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model. (2021). Wen, Fenghua ; Yan, Lizhao ; Zhang, Ziting ; Liu, Jian. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00292-8. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2006 | First Order Strong Approximations of Jump Diffusions In: Monte Carlo Methods and Applications. [Full Text][Citation analysis] | article | 2 |
2021 | Wind generation and the dynamics of electricity prices in Australia In: Energy Economics. [Full Text][Citation analysis] | article | 2 |
2020 | Wind Generation and the Dynamics of Electricity Prices in Australia.(2020) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2022 | Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies In: Energy Economics. [Full Text][Citation analysis] | article | 0 |
2013 | Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics. [Full Text][Citation analysis] | article | 15 |
2012 | Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2020 | Economic determinants of oil futures volatility: A term structure perspective In: Energy Economics. [Full Text][Citation analysis] | article | 6 |
2019 | Economic Determinants of Oil Futures Volatility: A Term Structure Perspective.(2019) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
2017 | Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 12 |
2018 | Pricing of long-dated commodity derivatives: Do stochastic interest rates matter? In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 14 |
2022 | Forecasting volatility in commodity markets with long-memory models In: Journal of Commodity Markets. [Full Text][Citation analysis] | article | 0 |
2003 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 7 |
2004 | A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2009 | Alternative Defaultable Term Structure Models In: Asia-Pacific Financial Markets. [Full Text][Citation analysis] | article | 0 |
2009 | Alternative Defaultable Term Structure Models.(2009) In: Research Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2003 | An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
2015 | Derivative Security Pricing In: Dynamic Modeling and Econometrics in Economics and Finance. [Citation analysis] | book | 3 |
2007 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 0 |
2010 | Real-world jump-diffusion term structure models In: Quantitative Finance. [Full Text][Citation analysis] | article | 14 |
2005 | A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions In: PhD Thesis. [Full Text][Citation analysis] | book | 0 |
2004 | A Markovian Defaultable Term Structure Model with State Dependent Volatilities In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2007 | A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES.(2007) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2005 | A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2007 | Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2010 | Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2011 | Credit Derivative Pricing with Stochastic Volatility Models In: Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2013 | CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS.(2013) In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2012 | Alternative Term Structure Models for Reviewing Expectations Puzzles In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2013 | The Return-Volatility Relation in Commodity Futures Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 33 |
2016 | The Return–Volatility Relation in Commodity Futures Markets.(2016) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
2015 | Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 4 |
2016 | Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter? In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2016 | Pricing American Options under Regime Switching Using Method of Lines In: Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2016 | Hedging Futures Options with Stochastic Interest Rates In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2016 | Empirical Hedging Performance on Long-Dated Crude Oil Derivatives In: Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2018 | Pricing American Options with Jumps in Asset and Volatility In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | The Impact of Jumps on American Option Pricing: The S&P 100 Options Case In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Forecasting Commodity Markets Volatility: HAR or Rough? In: Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2020 | The Economic Impact of Volatility Persistence on Energy Markets In: Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Interest rate risk in long?dated commodity options positions: To hedge or not to hedge? In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 0 |
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