Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Katja Ignatieva, Patrick Wong
| Year of publication: |
2022
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|---|---|
| Authors: | Ignatieva, Ekaterina ; Wong, Patrick |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 108.2022, p. 1-21
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| Subject: | Stochastic volatility | Affine jump-diffusion models | High frequency data | Markov Chain Monte Carlo | Model specification | Markov-Kette | Markov chain | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.105873 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013203083