Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Katja Ignatieva, Patrick Wong
| Year of publication: |
2024
|
|---|---|
| Authors: | Ignatieva, Ekaterina ; Wong, Patrick |
| Subject: | Stochastic volatility | Jump-diffusion models | Affine and non-affine | Model specification | Markov Chain Monte Carlo | Markov-Kette | Markov chain | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2024.101519 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015101647