Leverage effects and stochastic volatility in spot oil returns : A Bayesian approach with VaR and CVaR applications

Chen, Liyuan, Zerilli, Paola Z orcid.org/0000-0001-6589-5552 and Baum, Christopher (2018) Leverage effects and stochastic volatility in spot oil returns : A Bayesian approach with VaR and CVaR applications. Energy economics. ISSN 0140-9883

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Copyright, Publisher and Additional Information: © 2018 Elsevier B.V. All rights reserved. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Dates:
  • Published (online): 18 April 2018
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 14 Sep 2018 12:50
Last Modified: 17 May 2020 11:18
Published Version: https://doi.org/10.1016/j.eneco.2018.03.032
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.eneco.2018.03.032

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