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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility, Baum, C. & Zerilli, P. Z. Jan 2016 Energy economics. 53, p. 175-181
Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications, Chen L., Zerilli P. and Baum C. Energy Economics 2018 https://doi.org/10.1016/j.eneco.2018.03.032
Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data, Baum, C., Zerilli, P. Z. & Chen, L., (https://doi.org/10.1016/j.eneco.2019.104481) Energy Economics 2019.