Jump processes in the market for crude oil

Keyphrases

• Crude Oil 100%
• Jump Process 100%
• Time-varying Volatility 100%
• Model Fitting 66%
• Futures Prices 66%
• Spot Price 66%
• Rapid Change 33%
• Commodity Prices 33%
• Volatility 33%
• Temporal Aggregation 33%
• Commodity Markets 33%
• Likelihood Ratio Test 33%
• Temporal Properties 33%
• Fat Tails 33%
• Data Frequency 33%
• Data Generating Process 33%
• Log-returns 33%
• Oil Price Returns 33%
• Stochastic Data 33%

Economics, Econometrics and Finance

• Price 100%
• Volatility 66%
• Commodity Market 16%