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

Christopher Baum; Paola Z Zerilli

doi:10.1016/j.eneco.2014.10.007

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

Economics

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

Original language	English
Pages (from-to)	175-181
Number of pages	7
Journal	Energy economics
Volume	53
Early online date	29 Oct 2014
DOIs	https://doi.org/10.1016/j.eneco.2014.10.007
Publication status	Published - Jan 2016

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10.1016/j.eneco.2014.10.007

Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
© Elsevier 2014. This is an author produced version of a paper accepted for publication in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy.
Submitted manuscript, 328 KB

Paola Z Zerilli
- paola.zerilliyork.acuk
- Economics - Senior Lecturer
Person: Academic

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title = "Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility",

author = "Christopher Baum and Zerilli, {Paola Z}",

note = "{\textcopyright} Elsevier 2014. This is an author produced version of a paper accepted for publication in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy. ",

year = "2016",

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doi = "10.1016/j.eneco.2014.10.007",

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journal = "Energy economics",

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AU - Baum, Christopher

AU - Zerilli, Paola Z

N1 - © Elsevier 2014. This is an author produced version of a paper accepted for publication in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy.

PY - 2016/1

Y1 - 2016/1

U2 - 10.1016/j.eneco.2014.10.007

DO - 10.1016/j.eneco.2014.10.007

M3 - Article

SN - 0140-9883

VL - 53

SP - 175

EP - 181

JO - Energy economics

JF - Energy economics

ER -

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

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Paola Z Zerilli

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