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• W2892657400 abstract "In this paper, we propose a model for futures returns that has the potential to provide both individual investors and firms who have positions in financial and energy commodity futures a valid tail risk management tool. In doing so, we also aim to explore the commonalities between these markets and the degree of financialization of energy commodities. While empirical studies in energy markets embed either leverage or jumps in the futures return dynamics, we show that the introduction of both features improves the ability to forecast volatility as an indicator for risk for both the S&P500 and natural gas futures markets." @default.
• W2892657400 created "2018-10-05" @default.
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• W2892657400 date "2021-01-01" @default.
• W2892657400 modified "2023-09-27" @default.
• W2892657400 title "Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data" @default.
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• W2892657400 doi "https://doi.org/10.1016/j.eneco.2019.104481" @default.
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