石油市场波动期限结构的隐含粗糙度

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-01-31 DOI:10.1080/14697688.2023.2291081

Mesias Alfeus, Christina S. Nikitopoulos, Ludger Overbeck

引用次数: 0

摘要

本文分析了石油市场波动粗糙度的属性和意义。我们采用了由粗糙布朗运动驱动的无间隔随机波动模型，该模型产生了半...

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Implied roughness in the term structure of oil market volatility

This paper analyses the attributes and the significance of the roughness of oil market volatility. We employ unspanned stochastic volatility models driven by rough Brownian motions that yield semi-...

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.