Time-variations in commodity price jumps
Laszlo Diewald, Marcel Prokopczuk, Chardin Wese Simen
| Year of publication: |
March 2015
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|---|---|
| Authors: | Diewald, Laszlo ; Prokopczuk, Marcel ; Wese Simen, Chardin |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 31.2015, p. 72-84
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| Subject: | Commodities | Jump frequency | Seasonality | Markov Chain Monte Carlo | Markov-Kette | Markov chain | Volatilität | Volatility | Rohstoffpreis | Commodity price | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Saisonale Schwankungen | Seasonal variations | Rohstoffderivat | Commodity derivative | Börsenkurs | Share price | Rohstoffmarkt | Commodity market | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2015.02.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011489343