Jumps in Energy and Non-Energy Commodities
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- Yaojie Zhang & Yudong Wang & Feng Ma & Yu Wei, 2022. "To jump or not to jump: momentum of jumps in crude oil price volatility prediction," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-31, December.
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KeywordsRealized volatility; energy and non-energy commodities; jumps; co-jumps; macroeconomic news;
All these keywords.
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