The stochastic behavior of commodity prices with heteroskedasticity in the convenience yield
Peng Liu; Ke Tang
| Year of publication: |
2011
|
|---|---|
| Authors: | Liu, Peng ; Tang, Ke |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 2, p. 211-224
|
| Subject: | Commodity | Convenience yield | Heteroskedasticity | Affine model | Volatility smile | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Rohstoffpreis | Commodity price | Heteroskedastizität | Heteroscedasticity | Zinsstruktur | Yield curve | Rohstoffderivat | Commodity derivative | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009301130