Volatility spillovers between food and energy markets: A semiparametric approach
作者： Teresa Serra
DOI: 10.1016/J.ENECO.2011.04.003
关键词: Volatility (finance) 、 Forward volatility 、 Implied volatility 、 Financial economics 、 Economics 、 Volatility smile 、 Stochastic volatility 、 Econometrics 、 Volatility swap 、 Autoregressive conditional heteroskedasticity 、 Conditional variance
摘要: … Further, while the semiparametric estimator used in this article can indeed be extended to higher order settings in a straightforward manner, these extensions are not very useful in …
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