Dynamic jump intensities and news arrival in oil futures markets
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DOI: 10.1057/s41260-020-00168-z
Abstract: We introduce a new class of discrete-time models that explicitly recognize the impact of news arrival. The distribution of returns is governed by three factors: dynamics volatility and two Poisson compound processes, one for negative… read more here.
Keywords: oil futures; news; news arrival; positive news ... See more keywords