Oil shocks and volatility jumps
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance,General Business, Management and Accounting,Accounting
Link
http://link.springer.com/content/pdf/10.1007/s11156-018-00788-y.pdf
Reference59 articles.
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3. Andersen TG, Fusari N, Todorov V (2015) The risk premia embedded in index options. J Financ Econ 117:558–584. https://doi.org/10.1016/j.jfineco.2015.06.005
4. Baek J, Seo J-Y (2015) A study on unobserved structural innovations of oil price: evidence from global stock, bond, foreign exchange, and energy markets. Rev Pac Basin Financ Mark Polic 18:1550004. https://doi.org/10.1142/S0219091515500046
5. Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Econ 18:1–22. https://doi.org/10.1002/jae.659
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