Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Year of publication: |
2007-06-27
|
---|---|
Authors: | Marzo, Massimiliano ; Zagaglia, Paolo |
Institutions: | Nationalekonomiska institutionen, Stockholms Universitet |
Subject: | Multivariate GARCH | Kurtosis | Energy Prices | Futures Markets |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Research Papers in Economics Number 2007:11 18 pages |
Classification: | C22 - Time-Series Models ; G19 - General Financial Markets. Other |
Source: |
-
Testing for Changes in the Unconditional Variance of Financial Time Series
Sansó, Andreu, (2003)
-
Volatility forecasting for crude oil futures
Marzo, Massimiliano, (2007)
-
The Comovements between Futures Markets for Crude Oil: Evidence from a Structural GARCH Model
Spargoli, Fabrizio, (2007)
- More ...
-
Determinacy of Interest Rate Rules with Bond Transaction Services in a Cashless Economy
Marzo, Massimiliano, (2008)
-
Marzo, Massimiliano, (2008)
-
A Further Look at the 2004 Reform of the Operational Framework of the ECB
Marzo, Massimiliano, (2009)
- More ...