Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data

Baum, Christopher, Zerilli, Paola Z orcid.org/0000-0001-6589-5552 and Chen, Liyuan (2019) Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data. Energy economics. 104481. ISSN 0140-9883

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Copyright, Publisher and Additional Information: © 2019 Published by Elsevier B.V. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Dates:
  • Submitted: 14 September 2018
  • Published (online): 19 August 2019
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: 02 Sep 2019 11:30
Last Modified: 05 Jan 2020 06:52
Published Version: https://doi.org/10.1016/j.eneco.2019.104481
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.eneco.2019.104481

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