News, volatility and jumps: the case of natural gas futures (Q4683076)
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scientific article; zbMATH DE number 6939281
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | News, volatility and jumps: the case of natural gas futures |
scientific article; zbMATH DE number 6939281 |
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News, volatility and jumps: the case of natural gas futures (English)
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19 September 2018
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news sentiment
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natural gas futures
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state space modelling
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Kalman filter
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realized variance
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bipower variation
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event study
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Granger causality
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GARCH
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HEAVY
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volatility forecasting
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