Performance comparison of alternative stochastic volatility models and its determinants in energy futures : COVID-19 and Russia-Ukraine conflict features
Mário Correia Fernandes, José Carlos Dias, João Pedro Vidal Nunes
| Year of publication: |
2024
|
|---|---|
| Authors: | Fernandes, Mário Correia ; Dias, José Carlos ; Nunes, Joaõ Pedro Vidal |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 3, p. 343-383
|
| Subject: | Bayesian econometrics | commodities | energy markets | futures contracts | Markov chain Monte Carlo | stochastic volatility | Volatilität | Volatility | Energiemarkt | Energy market | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Coronavirus | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22469 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014475488