Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models
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DOI: 10.1016/j.jempfin.2024.101519
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More about this item
Keywords
Stochastic volatility; Jump-diffusion models; Affine and non-affine; Model specification; Markov Chain Monte Carlo;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G1 - Financial Economics - - General Financial Markets
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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