Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Walid Chkili; Shawkat Hammoudeh; Duc Khuong Nguyen
| Year of publication: |
2014
|
|---|---|
| Authors: | Chkili, Walid ; Hammoudeh, Shawkat ; Nguyen, Duc Khuong |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 41.2014, p. 1-18
|
| Subject: | Commodity markets | GARCH models | Asymmetries | Long memory | Volatility forecasts | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Rohstoffmarkt | Commodity market | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Rohstoffderivat | Commodity derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010374635