Benutzer: Gast  Login
Titel:

A cointegrated regime-switching model approach with jumps for commodity futures prices

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Leonhardt, D.; Ware, A.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
international
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:
5
Heft / Issue:
3
Seitenangaben Beitrag:
1-19
Sprache:
en
Volltext / DOI:
doi:10.3390/risks5030048
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
 BibTeX
Versionen