Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Baum, Christopher and Zerilli, Paola Z orcid.org/0000-0001-6589-5552 (2016) Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility. Energy economics. pp. 175-181. ISSN 0140-9883

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Copyright, Publisher and Additional Information: © Elsevier 2014. This is an author produced version of a paper accepted for publication in Energy Economics. Uploaded in accordance with the publisher's self-archiving policy.
Dates:
  • Published: January 2016
  • Published (online): 29 October 2014
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: 04 Dec 2015 13:14
Last Modified: 28 Apr 2020 23:11
Published Version: https://doi.org/10.1016/j.eneco.2014.10.007
Status: Published
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.eneco.2014.10.007

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Description: Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

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