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...
Αποθηκεύτηκε σε:
| Εκδόθηκε σε: | Revista Mexicana de Economía y Finanzas. Nueva Época / Mexican Journal of Economics and Finance |
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| Κύριος συγγραφέας: | |
| Μορφή: | Artigo |
| Γλώσσα: | Inglês |
| Έκδοση: |
Instituto Mexicano de Ejecutivos de Finanzas A.C.
2021
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| Θέματα: | |
| Διαθέσιμο Online: | 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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