Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data
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DOI: 10.1016/j.eneco.2019.104481
Abstract: Abstract In this paper, we propose a model for futures returns that has the potential to provide both individual investors and firms who have positions in financial and energy commodity futures a valid tail risk… read more here.
Keywords: leverage; volatility jumps; stochastic volatility; energy ... See more keywords