Sentiment and energy price volatility : a nonlinear high frequency analysis
Year of publication: |
2024
|
---|---|
Authors: | Jawadi, Fredj ; Bourghelle, David ; Rozin, Philippe ; Cheffou, Abdoulkarim Idi ; Uddin, Mohammed Gazi Salah |
Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 133.2024, Art.-No. 107465, p. 1-19
|
Subject: | Commodity volatility | Continuous volatility | Investor sentiment | Jump | Nonlinearity | Realized volatility | Volatilität | Volatility | Schätzung | Estimation | Anlageverhalten | Behavioural finance | Nichtlineare Regression | Nonlinear regression | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process |
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