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~isPartOf:"Applied economics"
~isPartOf:"Econometrics : open access journal"
~isPartOf:"Energy economics"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial economics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~isPartOf:"Tinbergen Institute Discussion Paper"
~person:"Barnett, William A."
~person:"Detemple, Jérôme B."
~person:"Zerilli, Paola"
~type:"article"
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Barnett, William A.
Detemple, Jérôme B.
Zerilli, Paola
Baum, Christopher F.
3
Asai, Manabu
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Applied economics
Econometrics : open access journal
Energy economics
Mathematical finance : an international journal of mathematics, statistics and financial economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
Tinbergen Institute Discussion Paper
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1
Stochastic
volatility
, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
2
Causal relationships between inflation and inflation uncertainty
Barnett, William A.
;
Jawadi, Fredj
;
Ftiti, Zied
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012406029
Saved in:
3
Leverage effects and
stochastic
volatility
in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
4
On American VIX options under the generalized 3/2 and 1/2 models
Detemple, Jérôme B.
;
Kitapbayev, Yerkin
- In:
Mathematical finance : an international journal of …
28
(
2018
)
2
,
pp. 550-581
Persistent link: https://www.econbiz.de/10011969085
Saved in:
5
Jumps and
stochastic
volatility
in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.
;
Zerilli, Paola
- In:
Energy economics
53
(
2016
),
pp. 175-181
Persistent link: https://www.econbiz.de/10011660506
Saved in:
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