News, volatility and jumps: the case of natural gas futures
DOI10.1080/14697688.2014.986513zbMath1398.62282OpenAlexW2129196569MaRDI QIDQ4683076
Diego Mahakena, Svetlana Borovkova
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.986513
Kalman filterGARCHGranger causalityevent studyrealized variancevolatility forecastingbipower variationstate space modellingnatural gas futuresnews sentimentHEAVY
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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