Jump dynamics and volatility: Oil and the stock markets

Energy

Volumn 34, Issue 6, 2009, Pages 788-796

  Chiou, Jer Shiou ^a   Lee, Yen Hsien ^b  

^a SHIH CHIEN UNIVERSITY   (Taiwan)

^b CHUNG YUAN CHRISTIAN UNIVERSITY   (Taiwan)

Author keywords

ARJI model; Asymmetric effects; Jumps; Volatility

Indexed keywords

ARJI MODEL; ASYMMETRIC EFFECTS; AUTO-REGRESSIVE; DEPENDENCY RELATIONSHIP; JUMPS; MACROECONOMIC VARIABLES; OIL PRICE VOLATILITY; OIL PRICES; STOCK MARKET; STOCK RETURNS; STRUCTURE CHANGE; VOLATILITY; WEST TEXAS INTERMEDIATES;

COSTS;

MACROECONOMICS; OIL INDUSTRY; OIL PRODUCTION; PRICE DYNAMICS; STOCK MARKET;

NORTH AMERICA; TEXAS; UNITED STATES;

EID: 67349201056     PISSN: 03605442     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.energy.2009.02.011     Document Type: Article

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