Equity market implied volatility and energy prices : a double threshold GARCH approach
Steven J. Cochran, Iqbal Mansur, Babatunde Odusami
| Year of publication: |
July 2015
|
|---|---|
| Authors: | Cochran, Steven J. ; Mansur, Iqbal ; Odusami, Babatunde Olatunji |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 50.2015, p. 264-272
|
| Subject: | VIX | Energy prices | Double threshold GARCH | Volatilität | Volatility | ARCH-Modell | ARCH model | Energiemarkt | Energy market | Börsenkurs | Share price | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2015.05.013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011564071