Modeling jump and continuous components in the volatility of oil futures

DOI10.2202/1558-3708.1671zbMATH Open1193.91185OpenAlexW2011859559MaRDI QIDQ3574751FDOQ3574751

Authors: Tseng-Chan Tseng, Huimin Chung, Chin-Sheng Huang 

Publication date: 2 July 2010

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1671

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)

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