Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
Katja Ignatieva, Patrick Wong
| Year of publication: |
2024
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|---|---|
| Authors: | Ignatieva, Ekaterina ; Wong, Patrick |
| Published in: |
Journal of empirical finance. - [Erscheinungsort nicht ermittelbar] : Elsevier Science, ISSN 0927-5398, ZDB-ID 1496810-1. - Vol. 78.2024, Art.-No. 101519, p. 1-18
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| 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 |
| 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