This paper is concerned with the statistical behavior of oil prices in two ways. It, firstly,
applies a combined jump GARCH model in order to characterize the behavior of daily …

Price risk is an important factor for both copper purchasers, who use the commodity as a
major input in their production process, and copper refiners, who must deal with cash‐flow …

This paper analyzes the jumping behavior and factors influencing volatility in China's five
carbon pilot markets. We confirm the presence of a volatility clustering effect, but find no …

In this study, cross-currency derivatives pricing under stochastic interest rates is analyzed
when Markov-modulated cojump-diffusion dynamics with both idiosyncratic and …

We provide closed-form solutions for a continuous time, Markov-modulated jump diffusion
model in a general equilibrium framework for options prices under a variety of jump diffusion …

A dynamic hedging strategy based on a bivariate GARCH-jump model augmented with
autoregressive jump intensity is proposed to manage currency risk. The GARCH-jump …

This paper is concerned with carbon price volatility and the underlying causes of large price
movements in the European emissions trading market. Based on the application of a …

This paper applies the CBP-GARCH model of Chan (2003) to analyze the discontinuous
jump and the time-varying correlated jump intensity for the changes in the VIX and the S&P …

This paper conducts the first detailed analysis of the dynamics of Bitcoin prices. The
application of an autoregressive jump-intensity GARCH model allows one to study the role …

The main purpose of this study is to explore the commodity characteristics of crude oil
market and gold market, and use CBP-GARCH model to capture whether there is …