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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
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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
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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
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A metric and topological analysis of determinism in the crude oil spot market
Barkoulas, John T.; Chakraborty, Atreya; Ouandlous, Arav - In: Energy economics 34 (2012) 2, pp. 584-591
Persistent link: https://www.econbiz.de/10009618680
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A metric and topological analysis of determinism in the crude oil spot market
Barkoulas, John T.; Chakraborty, Atreya; Ouandlous, Arav - In: Energy economics 34 (2012) 2, pp. 584-592
Persistent link: https://www.econbiz.de/10009836244