Title:

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidence from the Commodity Market

Authors:

José da Fonseca (Auckland U Technology, Universite Paris 1 Pantheon-Sorbonne)
Katja Ignatieva (U New South Wales)

Journal:

Journal of Banking and Finance

Year:

2019

Volume:

99

Pages:

45-62

JEL codes:

L71 - Mining, Extraction, and Refining: Hydrocarbon Fuels
L72 - Mining, Extraction, and Refining: Other Nonrenewable Resources
G13 - Contingent Pricing; Futures Pricing
Q3 - Nonrenewable Resources and Conservation

DOI:

10.1016/j.jbankfin.2018.11.014