Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning

@article{Sengupta2019RefinementsOB,
  title={Refinements of Barndorff-Nielsen and Shephard Model: An Analysis of Crude Oil Price with Machine Learning},
  author={Indranil Sengupta and William E. Nganje and Erik D. Hanson},
  journal={Annals of Data Science},
  year={2019},
  volume={8},
  pages={39-55}
}
A commonly used stochastic model for derivative and commodity market analysis is the Barndorff-Nielsen and Shephard (BN–S) model. Though this model is very efficient and analytically tractable, it suffers from the absence of long range dependence and many other issues. For this paper, the analysis is restricted to crude oil price dynamics. A simple way of improving the BN–S model with the implementation of various machine learning algorithms is proposed. This refined BN–S model is more… 

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