Convenience yield, realised volatility and jumps : evidence from non-ferrous metals
Akihiro Omura, Bin Li, Richard Chung, Neda Todorova
| Year of publication: |
2018
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|---|---|
| Authors: | Omura, Akihiro ; Li, Bin ; Chung, Richard ; Todorova, Neda |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 70.2018, p. 496-510
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| Subject: | Options | Commodity markets | Convenience yield | Futures jump | Realised volatility | The theory of storage | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Warenbörse | Commodity exchange | Kapitaleinkommen | Capital income | Rohstoffmarkt | Commodity market | NE-Metall | Non-ferrous metal |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.08.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012027980