Conditional probability of jumps in oil prices
The objective of this research is to model the behavior of oil returns. The volatility of oil returns is described through a TGARCH process. Conditional probability jumps are incorporated through uniform, double exponential and normal jump intensity distributions. We found that the volatility of oil...
| Published in: | Revista Mexicana de Economía y Finanzas Nueva Época REMEF |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Instituto Mexicano de Ejecutivos de Finanzas
2021-03-01
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| Subjects: | |
| Online Access: | https://www.remef.org.mx/index.php/remef/article/view/490 |