Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil
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DOI: 10.1007/s10479-021-04198-7
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More about this item
Keywords
Commodity futures; Stochastic volatility; Multi-factor models;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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