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Details about Paola Zerilli

Workplace:Department of Economics and Related Studies, University of York, (more information at EDIRC)

Access statistics for papers by Paola Zerilli.

Last updated 2010-06-11. Update your information in the RePEc Author Service.

Short-id: pze62


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Working Papers

2019

  1. Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)

2018

  1. Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (2)

2014

  1. Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility
    Boston College Working Papers in Economics, Boston College Department of Economics Downloads View citations (5)

2007

  1. Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis
    Discussion Papers, Department of Economics, University of York Downloads
    Also in Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group (2005) Downloads

Journal Articles

 
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