The impact of co-jumps in the oil sector-Reference-Cited by-同舟云学术

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The impact of co-jumps in the oil sector

Published:2020-04 Issue: Volume:52 Page:101197
ISSN:0275-5319
Container-title:Research in International Business and Finance
language:en
Short-container-title:Research in International Business and Finance

Author:

Laurini Márcio Poletti,Mauad Roberto Baltieri,Aiube Fernando Antônio Lucena

Funder

Fundação de Amparo à Pesquisa do Estado de São Paulo

Conselho Nacional de Desenvolvimento Científico e Tecnológico

Publisher

Elsevier BV

Subject

Finance,Business, Management and Accounting (miscellaneous)

Reference35 articles.

1. The transitory and permanent volatility of oil prices: what implications are there for the US industrial production?;Ahmed;Appl. Energy,2012

2. Bayesian analysis of binary and polychotomous response data;Albert;J. Am. Stat. Assoc.,1993

3. Portfolio optimization and hedge fund style allocation decisions;Amenc;J. Altern. Invest.,2002

4. Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility;Baum;Energy Econ.,2016

5. Multivariate GARCH models: a survey;Bauwens;J. Appl. Econom.,2006

Cited by 9 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models;Journal of Empirical Finance;2024-09

2. Co‐Jump Dependency and Transmission Across US Commodity Futures: A Network Analysis;Journal of Futures Markets;2024-08-19

3. Nonlinear Dependence between the Us Banking and Insurance Markets During Covid-19 Pandemic;2024

4. Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets;Resources Policy;2023-10

5. Valuation of European crude oil options with co-jump diffusions and stochastic interest rate;Journal of Industrial and Management Optimization;2023

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