The Stylized-Facts Dynamics for the WTI Crude Oil: Evidence from Daily Returns, Realized Volatility and Futures Prices
碩士 === 國立中正大學 === 財務金融研究所 === 101 === This study extends Pilipovic’s (1997) and Schwartz’s (1997) mean reversion (MR) dynamic framework which can capture characteristic of commodity prices. We follow this model and develop a variety of commodity stylized-facts pricing model by including the jump dif...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/12538516165604699847 |