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A Switching Threshold Model for Oil Prices

✍ Scribed by A. Palombizio Ennio; Olivares Pablo

Book ID
113901464
Publisher
Elsevier
Year
2011
Weight
482 KB
Volume
1
Category
Article
ISSN
2211-3819

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## Abstract This study develops and estimates a stochastic volatility model of commodity prices that nests many of the previous models in the literature. The model is an affine three‐factor model with one state variable driving the volatility and is maximal among all such models that are also ident