Investigating the leverage effect in commodity markets with a recursive estimation approach
Julien Chevallier, Florian Ielpo
| Year of publication: |
January 2017
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|---|---|
| Authors: | Chevallier, Julien ; Ielpo, Florian |
| Published in: |
Research in international business and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0275-5319, ZDB-ID 424514-3. - Vol. 39.2017, part B, p. 763-778
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| Subject: | Leverage effect | Commodities | Mixture of normal distribution | Recursive estimation | EGARCH | Volatilität | Volatility | Schätztheorie | Estimation theory | ARCH-Modell | ARCH model | Rohstoffmarkt | Commodity market | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ribaf.2014.09.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011912346