Paola Z Zerilli

Search results

• 2019

  Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications

  Chen, L., Zerilli, P. Z. & Baum, C., Mar 2019, In: Energy economics. 79, p. 111-129 19 p.

  Research output: Contribution to journal › Article › peer-review

  Open Access

  File

• Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data

  Baum, C., Zerilli, P. Z. & Chen, L., 19 Aug 2019, (E-pub ahead of print) In: Energy economics. 104481.

  Research output: Contribution to journal › Special issue › peer-review

  Open Access

  File
• 2016

  Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

  Baum, C. & Zerilli, P. Z., Jan 2016, In: Energy economics. 53, p. 175-181 7 p.

  Research output: Contribution to journal › Article › peer-review

  File
• 2015

  Using Equity, Index and Commodity Options to Obtain Forward-Looking Betas and Conditional-CAPM Expected Crude-Oil Spot Prices

  Zerilli, P. Z. & Ronn, E., 2015, (Unpublished).

  Research output: Working paper

• 2012

  Financial market crashes and spikes in implied volatility

  Zerilli, P. Z. & Baum, C., 2012, (In preparation).

  Research output: Working paper

• Modeling the volatility of stock returns in periods of Financial market stress

  Zerilli, P. Z. & Baum, C., 2012, (In preparation).

  Research output: Working paper

• The impact of the recent financial crisis on Eurozone sovereign credit default swap spreads

  Zerilli, P. Z. & Baum, C., 2012, (In preparation).

  Research output: Working paper

• The valuation of PBGC insurance contracts

  Zerilli, P. Z. & Baum, C., 2012, (In preparation).

  Research output: Working paper