Kateregga, M.; Mataramvura, S.; Taylor, D. - In: Cogent economics & finance 6 (2018) 1, pp. 1-26
To date the existence of jumps in different sectors of the financial market is certain and the commodity market is no exception. While there are various models in literature on how to capture these jumps, we restrict ourselves to using subordinated Brownian motion by an α-stable process, α ∈...
