Friday, February 7, 2020

Stochastic volatility in the oil sector

Working with Laurini (FEA-USP) and Mauad (Brazilian Central Bank) we published a new article modeling stochastic volatility in a multivariate framework. One of the contributions is the estimation of spillover effects between assets through joint jumps (co-jumps). The model is applied to the oil sector and can also be used to investigate any set of correlated time series. It is available at https://authors.elsevier.com/c/1aXW7~fX6B9n~

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