Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
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
|
Subject: | CVaR | Energy futures | High frequency data | Jumps | Leverage effect | Stochastic volatility | VaR | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Aktienmarkt | Stock market | Finanzmarkt | Financial market |
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