Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models-Reference-Cited by-同舟云学术

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Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Published:2024-09 Issue: Volume:78 Page:101519
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ignatieva Katja^ORCID,Wong Patrick

Funder

UNSW Sydney

Publisher

Elsevier BV

Reference50 articles.

1. Testing continuous-time models of the spot interest rate;Aït-Sahalia;Rev. Financ. Stud.,1996

2. Particle Markov chain Monte Carlo methods;Andrieu;J. R. Stat. Soc.,2010

3. Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks;Asai;Int. J. Forecast.,2020

4. Oil price dynamics (2002–2006);Askari;Energy Econ.,2008

5. Empirical performance of alternative option pricing models;Bakshi;J. Finance,1997

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