Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts
Dennis Alvaro, Ángel Guillén, Gabriel Rodríguez
| Year of publication: |
February 2017
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|---|---|
| Authors: | Alvaro, Dennis ; Guillén, Ángel ; Rodriguez, Gabriel |
| Published in: |
Review of world economics. - Heidelberg : Springer, ISSN 1610-2878, ZDB-ID 2101519-3. - Vol. 153.2017, 1, p. 71-103
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| Subject: | Stochastic volatility | State-space models | Bayesian inference | Random level shifts | Commodity prices long memory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Rohstoffpreis | Commodity price | Zeitreihenanalyse | Time series analysis | Theorie | Theory | ARCH-Modell | ARCH model | Bayes-Statistik | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10290-016-0271-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011889303