Jump activity analysis for affine jump-diffusion models : evidence from the commodity market
José Da Fonseca, Katja Ignatieva
| Year of publication: |
2019
|
|---|---|
| Authors: | Fonseca, José da ; Ignatieva, Ekaterina |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 99.2019, p. 45-62
|
| Subject: | Affine jump-diffusion models | Volatility indexes | Jump activity | Model specification | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Rohstoffmarkt | Commodity market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2018.11.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162294