Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility - Research Database, The University of York

By the same authors

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
Special issue in Energy economics
Leverage eﬀects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications
Chen, L., Zerilli, P. Z. & Baum, C., 18 Apr 2018
Special issue in Energy economics
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Zerilli, P. Z. & Ronn, E., 2015, (Unpublished).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
Financial market crashes and spikes in implied volatility
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

From the same journal

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
Special issue in Energy economics
Leverage eﬀects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications
Chen, L., Zerilli, P. Z. & Baum, C., 18 Apr 2018
Special issue in Energy economics
Analysis of a Multiple Year Gas Sales Agreement with Make-up, Carry Forward and Indexation
Dong, W. & Kang, B., 11 Apr 2018
Article in Energy economics
Humps in the volatility structure of the crude oil futures market: New evidence
Chiarella, C., Kang, B., Nikitopoulos, C. S. & Tô, T-D., 2013
Article in Energy economics

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

Research output: Contribution to journal › Article

Full text download(s)

Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
328 KB, PDF document

Published copy (DOI)

10.1016/j.eneco.2014.10.007

Author(s)

Christopher Baum
Paola Z Zerilli

Department/unit(s)

Economics

Publication details

Journal	Energy economics
Date	E-pub ahead of print - 29 Oct 2014
Date	Published (current) - Jan 2016
Volume	53
Number of pages	7
Pages (from-to)	175-181
Early online date	29/10/14
Original language	English

Bibliographical note

© 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.

Discover related content

Find related publications, people, projects, datasets and more using interactive charts.

View graph of relations

York staff: edit these data