Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility-Reference-Cited by-同舟云学术

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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Published:2016-01 Issue: Volume:53 Page:175-181
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Baum Christopher F.,Zerilli Paola

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference22 articles.

1. Forecasting the Price of Oil;Alquist,2011

2. Realized Volatility;Andersen,2008

3. An empirical investigation of continuous-time equity return models;Andersen;J. Financ.,2002

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

5. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;J. Financ. Econ.,2004

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