Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
| Year of publication: |
2014-06-12
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|---|---|
| Authors: | Chkili, Walid ; Hammoudeh, Shawkat ; Nguyen, Duc Khuong |
| Institutions: | Institut de Préparation à l'Administration et à la Gestion (IPAG) |
| Subject: | commodity markets | GARCH models | asymmetries | long memory | volatility forecasts |
| Extent: | application/pdf |
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| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | Number 2014-325 36 pages |
| Classification: | C22 - Time-Series Models ; G17 - Financial Forecasting ; q47 |
| Source: |
Persistent link: https://www.econbiz.de/10010860460