Sentiment-driven mean reversion in the 4/2 stochastic volatility model with jumps

DOI10.1002/ASMB.2763MaRDI QIDQ6581589zbMATH OpenFDO

Authors Alessandra Cretarola, Gianna Figà-Talamanca, Marco Patacca

Publication date 30 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

zbMATH Keywords

regime-switchingjumpsstochastic volatilitysentiment analysiscommodities

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(1)

• Probabilistic and statistical methods in commodity risk management

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