Leverage effects and stochastic volatility in spot oil returns: a Bayesian approach with VaR and CVaR applications

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Personen und Körperschaften:	Chen, Liyuan (VerfasserIn), Zerilli, Paola (VerfasserIn), Baum, Christopher F. (VerfasserIn)
Titel:	Leverage effects and stochastic volatility in spot oil returns: a Bayesian approach with VaR and CVaR applications/ Liyuan Chen, Paola Zerilli, Christopher F. Baum
Format:	E-Book
Sprache:	Englisch
veröffentlicht:	Chestnut Hill, MA, USA Boston College January 28, 2018
Gesamtaufnahme:	Boston College working papers in economics ; 953
Schlagwörter:	Value-at-Risk Conditional Value-at-Risk Asymmetric Laplace distribution Stochastic volatility model Bayesian Markov Chain Monte Carlo leverage effect
Quelle:	Verbunddaten SWB Lizenzfreie Online-Ressourcen