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Search: subject_exact:"Stochastic process"
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Stochastic process
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45
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1
On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility
Thai-Ha Le
;
Boubaker, Sabri
;
Manh Tien Bui
;
Park, Donghyun
- In:
Energy economics
117
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014436424
Saved in:
2
Stochastic volatility, jumps and leverage in energy and stock markets : evidence from high frequency data
Baum, Christopher F.
;
Zerilli, Paola
;
Chen, Liyuan
- In:
Energy economics
93
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012643307
Saved in:
3
Forecasting volatility in bitcoin market
Segnon, Mawuli
;
Bekiros, Stelios
- In:
Annals of finance
16
(
2020
)
3
,
pp. 435-462
Persistent link: https://www.econbiz.de/10012496404
Saved in:
4
Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Virbickaitė, Audronė
;
Ausín, M. Concepción
; …
- In:
Energy economics
92
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012519661
Saved in:
5
Leverage effects and stochastic volatility in spot oil returns : a Bayesian approach with VaR and CVaR applications
Chen, Liyuan
;
Zerilli, Paola
;
Baum, Christopher F.
- In:
Energy economics
79
(
2019
),
pp. 111-129
Persistent link: https://www.econbiz.de/10012172264
Saved in:
6
Crude oil price shocks and hedging performance : a comparison of volatility models
Chun, Dohyun
;
Cho, Hoon
;
Kim, Jihun
- In:
Energy economics
81
(
2019
),
pp. 1132-1147
Persistent link: https://www.econbiz.de/10012173083
Saved in:
7
Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
Baum, Christopher F.
;
Zerilli, Paola
- In:
Energy economics
53
(
2016
),
pp. 175-181
Persistent link: https://www.econbiz.de/10011660506
Saved in:
8
Modeling energy price dynamics : GARCH versus stochastic volatility
Chan, Joshua
;
Grant, Angelia L.
- In:
Energy economics
54
(
2016
),
pp. 182-189
Persistent link: https://www.econbiz.de/10011662805
Saved in:
9
Jump processes in natural gas markets
Mason, Charles F.
;
Wilmot, Neil A.
- In:
Energy economics
46
(
2014
),
pp. 69-79
Persistent link: https://www.econbiz.de/10011299350
Saved in:
10
Level changes in volatility models
Craioveanu, Mihaela
;
Hillebrand, Eric
- In:
Annals of finance
8
(
2012
)
2/3
,
pp. 277-308
Persistent link: https://www.econbiz.de/10009548088
Saved in:
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