Title:

Performance Comparison of Alternative Stochastic Volatility Models and Its Determinants in Energy Futures: COVID-19 and Russia-Ukraine Conflict Features

Authors:

Mario Correia Fernandes (ISCTE - Instituto Universitário de Lisboa, BRU - ISCTE, IUL)
José Carlos Dias (ISCTE - Instituto Universitário de Lisboa, BRU - ISCTE, IUL)
João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa, BRU - ISCTE, IUL)

Journal:

Journal of Futures Markets

Year:

2024

Volume:

44

Number:

3

Pages:

343-383

JEL codes:

G - Financial Economics
I - Health, Education, and Welfare
Q - Agricultural and Natural Resource Economics; Environmental and Ecological Economics
D74 - Conflict; Conflict Resolution; Alliances

DOI:

10.1002/fut.22469