Technical paper/Generalised autoregressive conditional heteroscedasticity (Garch)

• Original research

Hedging crude oil derivatives in GARCH-type models

• 30 Mar 2014

• Original research

Carbon price volatility and financial risk management

• 30 Mar 2014

• Original research

Approximating the multivariate distribution of time-aggregated stock returns under GARCH

• 19 Dec 2013

• Risk management

On the modeling of temperature dynamics for pricing weather-related products

• 19 Dec 2013

• Original research

Real estate investment trust return dynamics and value-at-risk under alternative classes of model specifications

• 27 Jun 2013

• Risk management

Variance and volatility swaps in energy markets

• 27 Mar 2013

• Risk management

Measuring risk for large hedgers and large speculators in major US futures markets

• 02 Nov 2012

• Original research

Value-at-risk analysis for energy commodities: long-range dependencies and fat-tails in return innovations

Research Papers

• 25 Mar 2008

• Original research

GARCH-type volatility models based on Brownian inverse Gaussian intra-day return processes

• 11 Jul 2006

• Original research

Risk estimation using the multivariate normal inverse Gaussian distribution

• 12 Jan 2006

• Original research

Selecting an innovation distribution for Garch models to improve efficiency of risk and volatility estimation

• 13 Apr 2004

• Original research

Incorporating volatility updating into the historical simulation method for value-at-risk

• 01 Sep 1998