scholarly journals Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts

2016 ◽  
Vol 153 (1) ◽  
pp. 71-103
Author(s):  
Dennis Alvaro ◽  
Ángel Guillén ◽  
Gabriel Rodríguez
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Level Shifts ◽  
Random Level Shifts ◽  
Random Level ◽  
Commodities Prices

A non-Gaussian stochastic volatility model

1998 ◽  
Vol 2 (2) ◽  
pp. 33-47 ◽  
Author(s):  
Yuichi Nagahara ◽  
Genshiro Kitagawa
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Model ◽  
Volatility Model ◽  
Non Gaussian
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