Details about Paola Zerilli

Access statistics for papers by Paola Zerilli.

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

Short-id: pze62

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 View citations (3)

2018

2. 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 View citations (5)

2014

3. 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 View citations (6)

2007

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