Items where authors include "Baum, Christopher"

Article

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

Chen, Liyuan, Zerilli, Paola Z orcid.org/0000-0001-6589-5552 and Baum, Christopher (2019) Leverage effects and stochastic volatility in spot oil returns : A Bayesian approach with VaR and CVaR applications. Energy economics. pp. 111-129. ISSN 0140-9883

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