Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Christopher F. Baum, Paola Zerilli, Liyuan Chen
| Year of publication: |
2021
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|---|---|
| Authors: | Baum, Christopher F. ; Zerilli, Paola ; Chen, Liyuan |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 93.2021, p. 1-12
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| Subject: | CVaR | Energy futures | High frequency data | Jumps | Leverage effect | Stochastic volatility | VaR | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Aktienmarkt | Stock market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.104481 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012643307