Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
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
Estimating stochastic volatility with jumps and asymmetry in Asian markets
Sign Up to like & getrecommendations! Published in 2017 at "Finance Research Letters"
DOI: 10.1016/j.frl.2017.10.021
Abstract: Abstract This study investigates the impact of stock market cycles on the volatility of Asian markets. It specifically addresses the combined effect of jumps, asymmetry and stochasticity while predicting the market volatility. Our results indicate… read more here.
Keywords: stochastic volatility; jumps asymmetry; volatility; asian markets ... See more keywords