The impact of monetary policy on oil process parameters and market expectations
Tài liệu tham khảo
Askari, H., & Krichene, N. (2010). An oil demand and supply model incorporating monetary policy. Energy, 35, 2013–2021.
Balke, 2002, Oil price shocks and the U.S. economy: Where does the asymmetry originate?, The Energy Journal, 3, 27
Barndorff-Nielsen, 1977, Exponentially decreasing distributions for the logarithm of particle size, Proceedings of the Royal Society, London A, 353, 401, 10.1098/rspa.1977.0041
Barndorff-Nielsen, 1995, Normal inverse Gaussian processes and the modeling of stock returns
Barndorff-Nielsen, 1997, Processes of normal inverse Gaussian type, Finance and Stochastics, 2, 68
Barndorff-Nielsen, 1983, Hyperbolic distributions, Vol. 3, 700
Bernanke, 1997, Systematic monetary policy and the effects of oil shocks, Vol. 1997, No. 1, 91
Bibby, 1997, A hyperbolic diffusion model for stock prices, Finance and Stochastics, 1, 41
Bibby, 2003, Hyperbolic processes in finance, 212
Carr, 2003, Stochastic volatility for Levy processes, Mathematical Finance, 13, 345, 10.1111/1467-9965.00020
Carr, 1999, Option valuation using fast Fourier transform, Journal of Computational Finance, 2, 73
Carstrom, 2005
Dagpunar, 1989, An easily implemented generalized inverse Gaussian generator, 18, 703
Duffie, 2001
Eberlein, 1995, Hyperbolic distributions in finance, Bernoulli, 1, 281, 10.2307/3318481
Eberlein, 1998, New insights into the smile, mispricing and value-at-risk: The hyperbolic model, Journal of Business, 71, 371, 10.1086/209749
Engle, 1996
Feuerverger, 1981, On some Fourier methods for inference, Journal of the American Statistical Association, 78, 379, 10.2307/2287839
Frankel, 2008, The effects of monetary policy on real commodity prices, 291
Gerber, 1994, Option pricing by Esscher transforms, Transactions of the Society of Actuaries, 46, 99
Hamilton, 1983, Oil and the macroeconomy since World War II, Journal of Political Economy, 91, 228, 10.1086/261140
Hamilton, 2003, What is an oil shock, Journal of Econometrics, 113, 363, 10.1016/S0304-4076(02)00207-5
Hamilton, 2004, Oil shocks and aggregate macroeconomic behavior: The role of the monetary policy, Journal of Money, Credit, and Banking, 36, 265, 10.1353/mcb.2004.0012
Hansen, 1998
Heston, 1993, A closed-form solution for options with stochastic volatility with applications to bonds and currency options, The Review of Financial Studies, 6, 327, 10.1093/rfs/6.2.327
Jones, 2004, Oil price shocks and the macroeconomy: What have we learned since 1996?, The Energy Journal, 25, 1, 10.5547/ISSN0195-6574-EJ-Vol25-No2-1
Lee, 1995, Oil shocks and the macroeconomy: The role of price variability, The Energy Journal, 16, 39, 10.5547/ISSN0195-6574-EJ-Vol16-No4-2
Madan, 1998, The variance gamma process and option pricing, European Finance Review, 2, 79, 10.1023/A:1009703431535
Parzen, 1962, On estimation of a probability density function and mode, Vol. 33, 1065
Prause, K., 1999, The generalized hyperbolic models: Estimation, financial derivatives and risk measurement. PhD Thesis, Mathematics Faculty, University of Freiburg.
Ricardo, 1817
Rydberg, 1997, The normal inverse Gaussian Lévy process: Simulation and approximation, Vol. 34, 887
Scott, 1997, Pricing stock options in a jump-diffusion model with stochastic volatility and interest rates: Applications of Fourier inversion methods, Mathematical Finance, 7, 413, 10.1111/1467-9965.00039
Tooke, 1838
Wicksell, 1898