Conditional Probability of Jumps in Oil Prices

The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity distributions. We found that the volatility of oil...

詳細記述

書誌詳細

出版年:	Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance
第一著者:	Arturo Lorenzo-Valdés
フォーマット:	Artigo
言語:	Inglês
出版事項:	Instituto Mexicano de Ejecutivos de Finanzas A.C. 2021
主題:	Economía y Finanzas
オンライン･アクセス:	https://www.redalyc.org/articulo.oa?id=423771244004 https://www.redalyc.org/journal/4237/423771244004/ https://www.redalyc.org/journal/4237/423771244004/html/ https://www.redalyc.org/journal/4237/423771244004/423771244004.epub https://www.redalyc.org/journal/4237/423771244004/movil
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