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Title:

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

Document type:
Zeitschriftenaufsatz
Author(s):
Leonhardt, D.; Ware, A.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
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
Journal title:
Risks
Journal listet in FT50 ranking:
nein
Year:
2017
Journal volume:
5
Journal issue:
3
Pages contribution:
1-19
Language:
en
Fulltext / DOI:
doi:10.3390/risks5030048
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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