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 (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

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Item Type: Article
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© 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.

Keywords: Asymmetric Laplace distribution,Bayesian Markov chain Monte Carlo,Conditional value-at-risk,Leverage effect,Stochastic volatility model,Value-at-risk
Dates:
  • Published: March 2019
  • Published (online): 18 April 2018
  • Accepted: 27 March 2018
  • Submitted: 15 May 2017
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: 21 Jan 2025 17:32
Published Version: https://doi.org/10.1016/j.eneco.2018.03.032
Status: Published
Refereed: Yes
Identification Number: 10.1016/j.eneco.2018.03.032
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