CROSS-COMMODITY SPOT PRICE MODELING WITH STOCHASTIC VOLATILITY AND LEVERAGE FOR ENERGY MARKETS

被引：0
|
作者：
Benth, F. E. [1 ]
Vos, L. [1 ]
机构：
[1] Univ Oslo, N-0316 Oslo, Norway
来源：
ADVANCES IN APPLIED PROBABILITY | 2013年 / 45卷 / 02期
关键词：
Energy market; Ornstein-Uhlenbeck process; stochastic volatility; leverage; subordinator; FINANCIAL ECONOMICS; DERIVATIVES; BEHAVIOR;
D O I：
10.1239/aap/1370870129
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Spot prices in energy markets exhibit special features, such as price spikes, mean reversion, stochastic volatility, inverse leverage effect, and dependencies between the commodities. In this paper a multivariate stochastic volatility model is introduced which captures these features. The second-order structure and stationarity of the model are analyzed in detail. A simulation method for Monte Carlo generation of price paths is introduced and a numerical example is presented.
引用
收藏
页码：545 / 571
页数：27
相关论文
共 50 条
  • [31] The Effect of the Commodity Price on Sharia Stock Markets Volatility in Developed and Developing Countries
    Sampurna, Dian Surya
    Maronrong, Ridwan
    PROCEEDINGS OF THE 5TH ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT RESEARCH (AICMAR 2018), 2018, 74 : 83 - 86
  • [32] Short-term price volatility and reversion rate in mineral commodity markets
    Diego García
    Juan Ignacio Guzmán
    Mineral Economics, 2020, 33 : 217 - 229
  • [33] Short-term price volatility and reversion rate in mineral commodity markets
    Garcia, Diego
    Guzman, Juan Ignacio
    MINERAL ECONOMICS, 2020, 33 (1-2) : 217 - 229
  • [34] Stochastic approach to model spot price and value forward contracts on energy markets under uncertainty
    Pawlowski, Michal
    Nowak, Piotr
    JOURNAL OF AMBIENT INTELLIGENCE AND HUMANIZED COMPUTING, 2021, 14 (4) : 3075 - 3089
  • [35] Stochastic approach to model spot price and value forward contracts on energy markets under uncertainty
    Michał Pawłowski
    Piotr Nowak
    Journal of Ambient Intelligence and Humanized Computing, 2023, 14 : 3075 - 3089
  • [36] Do seasonality, break and spillover effects explain commodity price volatility: Evidence from the Indian commodity markets
    Maitra, Debashish
    JOURNAL OF AGRIBUSINESS IN DEVELOPING AND EMERGING ECONOMIES, 2018, 8 (01) : 144 - 170
  • [37] Price Discovery and Volatility Spillover in Commodity Futures and Spot Market in India: An Empirical Analysis
    Sonia
    Narwal, Karam Pal
    NMIMS MANAGEMENT REVIEW, 2022, 30 (01): : 8 - 33
  • [38] Electricity Spot Price Modeling and Forecasting in European Markets
    Tehrani, Shadi
    Juan, Jesus
    Caro, Eduardo
    ENERGIES, 2022, 15 (16)
  • [39] Commodity-price volatility and macroeconomic spillovers: Evidence from nine emerging markets
    Hegerty, Scott W.
    NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2016, 35 : 23 - 37
  • [40] Trade policy announcements can increase price volatility in global food commodity markets
    Brander M.
    Bernauer T.
    Huss M.
    Nature Food, 2023, 4 (4): : 331 - 340
12345