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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
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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
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Jump spillovers in energy futures markets : implications for diversification benefits
Liu, Qingfu; Tu, Anthony H. - In: Energy economics 34 (2012) 5, pp. 1447-1464
Persistent link: https://www.econbiz.de/10009688077
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Bayesian calibration and number of jump components in electricity spot price models
Gonzalez, Jhonny; Moriarty, John; Palczewski, Jan - In: Energy economics 65 (2017), pp. 375-388
Persistent link: https://www.econbiz.de/10011803998
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Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca; Sgarra, Carlo - In: Energy economics 99 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012939406
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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
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Bayesian estimation of stable CARMA spot models for electricity prices
Müller, Gernot; Seibert, Armin - In: Energy economics 78 (2019), pp. 267-277
Persistent link: https://www.econbiz.de/10012159939
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A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method
Brix, Anne Floor; Lunde, Asger; Wei, Wei - In: Energy economics 72 (2018), pp. 560-582
Persistent link: https://www.econbiz.de/10011972455
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Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293
Persistent link: https://www.econbiz.de/10009618848