Maslyuka, Svetlana; Rotarub, Kristian; Dokumentovc, … - Department of Econometrics and Business Statistics, … - 2013
How often do jumps or price discontinuities occur on energy markets? What is the dynamics of the energy market …, by proposing a novel Cumulative Sentiment Index applied to the analysis of the detected jumps in returns. Our findings … confirm previous studies that jumps are the common feature for all energy commodities studied. For some commodities such as …