Sentiment‐driven mean reversion in the 4/2 stochastic volatility model with jumps

Autor:	Alessandra Cretarola, Gianna Figà‐Talamanca, Marco Patacca
Rok vydání:	2023
Předmět:	Commodities Modeling and Simulation Regime-Switching Settore SECS-S/06 Stochastic Volatility Jumps Regime-Switching Sentiment Analysis Commodities Sentiment Analysis Stochastic Volatility Jumps Management Science and Operations Research General Business Management and Accounting
Zdroj:	Applied Stochastic Models in Business and Industry.
ISSN:	1526-4025 1524-1904
DOI:	10.1002/asmb.2763
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::33ad17f5fbea40b6e0d9f0ca4981cc9b https://doi.org/10.1002/asmb.2763 Zobrazit plný text záznamu Plný text