Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Year of publication: |
2014-10-01
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Authors: | Baum, Christopher ; Zerilli, Paola |
Institutions: | Department of Economics, Boston College |
Subject: | stochastic volatility | commodity futures prices | crude oil futures |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | forthcoming, Energy Economics The text is part of a series Boston College Working Papers in Economics Number 860 |
Classification: | G13 - Contingent Pricing; Futures Pricing ; Q41 - Demand and Supply |
Source: |
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