Risk premia in the term structure of crude oil futures : long-run and short-run volatility components
Naomi Boyd, Bingxin Li, Rui Liu
| Year of publication: |
2022
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|---|---|
| Authors: | Boyd, Naomi E. ; Li, Bingxin ; Liu, Rui |
| Published in: |
Review of quantitative finance and accounting. - Dordrecht [u.a.] : Springer, ISSN 1573-7179, ZDB-ID 2009625-2. - Vol. 58.2022, 4, p. 1505-1533
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| Subject: | Commodity futures | Futures risk premium | GARCH | Long-run and short-run | Term structure models | Volatility components | Volatilität | Volatility | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Schätzung | Estimation | Kointegration | Cointegration |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-021-01032-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013191983