Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction
Audronė Virbickaitė, M. Concepción Ausín, Pedro Galeano
Topics & Concepts
Stochastic volatilityVolatility (finance)EconometricsCopula (linguistics)Futures contractEconomicsBayesian probabilityBayesian inferenceMarkov chain Monte CarloForward volatilityVolatility swapImplied volatilityWest Texas IntermediateVolatility risk premiumComputer scienceFinancial economicsArtificial intelligenceMarkov Chains and Monte Carlo MethodsFinancial Risk and Volatility ModelingMarket Dynamics and Volatility