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Document type:
Zeitschriftenaufsatz 
Author(s):
Leonhardt, D.; Ware, A.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
A cointegrated regime-switching model approach with jumps for commodity futures prices 
Abstract:
Different energy commodities show cointegrated price movements that are impacted by, for example, jumps in the market or seasonality effects. Furthermore, the movement of the term structure in time shows evidence of cointegration. Observing commodity futures over time there is also evidence for different states of the underlying volatility of the futures. In this paper we therefore allow for cointegration of the term structure within a multi-factor model which includes seasonality as well as jum...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Risks 
Journal listet in FT50 ranking:
nein 
Year:
2017 
Journal volume:
Journal issue:
Pages contribution:
1-19 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisciplinarity:
Nein 
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