Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Year of publication: |
January 2016
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Authors: | Baum, Christopher F. ; Zerilli, Paola |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 53.2016, p. 175-181
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Subject: | Stochastic volatility | Commodity futures prices | Crude oil futures | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | ARCH-Modell | ARCH model | Erdöl | Petroleum | Welt | World |
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