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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Leonhardt, D.; Ware, A.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
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 
Zeitschriftentitel:
Risks 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2017 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
1-19 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein 
Interdisziplinarität:
Nein