On the volatility–volume relationship in energy futures markets using intraday data
Author:
Publisher
Elsevier BV
Subject
General Energy,Economics and Econometrics
Reference46 articles.
1. The distribution of exchange rate volatility;Andersen;J. Am. Stat. Assoc.,2001
2. Modeling and forecasting realized volatility;Andersen;Econometrica,2003
3. Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility;Andersen;Rev. Econ. Stat.,2007
4. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications;Andersen;J. Econ.,2007
5. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns;Andersen;J. Appl. Econ.,2010
Cited by 50 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. Contagion among European financial indices, evidence from a quantile VAR approach;Economic Systems;2024-06
2. Modelling and forecasting high-frequency data with jumps based on a hybrid nonparametric regression and LSTM model;Expert Systems with Applications;2024-03
3. Measuring Natural Gas Price Feature of Asian-Pacific Market from Complex Network Perspective;2024
4. The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic;Energy Economics;2022-08
5. Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models;Energy Economics;2022-04
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3