Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Year of publication: |
2022
|
---|---|
Authors: | Ignatieva, Ekaterina ; Wong, Patrick |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 108.2022, p. 1-21
|
Subject: | Stochastic volatility | Affine jump-diffusion models | High frequency data | Markov Chain Monte Carlo | Model specification | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zeitreihenanalyse | Time series analysis |
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