Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Christopher F Baum; Paola Zerilli
| Year of publication: |
2014
|
|---|---|
| Authors: | Baum, Christopher F. ; Zerilli, Paola |
| Publisher: |
Chestnut Hill, Mass. : Boston College, Dept. of Economics |
| Subject: | stochastic volatility | commodity futures prices | crude oilfutures | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Stochastischer Prozess | Stochastic process | Ölpreis | Oil price | Schätzung | Estimation | ARCH-Modell | ARCH model |
| Extent: | Online-Ressource (25 S.) graph. Darst. |
|---|---|
| Series: | Boston College working papers in economics. - Chestnut Hill, MA, ZDB-ID 2122341-5. - Vol. 860 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Systemvoraussetzungen: Acrobat Reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011293875