Conditional Leptokurtosis in Energy Prices: Multivariate Evidence from Futures Markets
Year of publication: |
2007
|
---|---|
Authors: | Marzo, Massimiliano ; Zagaglia, Paolo |
Publisher: |
Bologna : Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE) |
Subject: | Ölpreis | Derivat | ARCH-Modell |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.6092/unibo/amsacta/4689 [DOI] 537613498 [GVK] hdl:10419/159435 [Handle] RePEc:bol:bodewp:594 [RePEc] |
Source: |
-
Volatility forecasting for crude oil futures
Marzo, Massimiliano, (2007)
-
Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel, (2016)
-
Carbon future price return, oil future price return and stock index future price return in the U.S.
Wei, Ching Chun, (2016)
- More ...
-
Liberati, Caterina, (2012)
-
Trading Directions and the Pricing of Euro Interbank Deposits in the Long Run
Marzo, Massimiliano, (2011)
-
Equilibrium Selection in a Cashless Economy with Transaction Frictions in the Bond Market
Marzo, Massimiliano, (2011)
- More ...