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Search: subject_exact:"GARCH model"
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253
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253
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212
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157
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1
An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Li, Xiafei
;
Liao, Yin
;
Lu, Xinjie
;
Ma, Feng
- In:
Energy economics
116
(
2022
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013542124
Saved in:
2
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
3
On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen
;
Ji, Qiang
;
Klein, Tony
;
Todorova, Neda
; …
- In:
Energy economics
89
(
2020
),
pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
Saved in:
4
Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian
;
Huang, Yisu
;
Ma, Feng
;
Chevallier, Julien
- In:
Energy economics
91
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
Saved in:
5
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
6
How to effectively estimate the time-varying risk spillover between crude oil and stock markets? : Evidence from the expectile perspective
Zhang, Yue-jun
;
Ma, Shu-Jiao
- In:
Energy economics
84
(
2019
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012183423
Saved in:
7
Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks : a comparison of alternative distribution functions
Hasanov, Akram Shavkatovich
;
Poon, Wai Ching
; …
- In:
Energy economics
70
(
2018
),
pp. 307-333
Persistent link: https://www.econbiz.de/10011942743
Saved in:
8
Equation-by-equation estimation of multivariate periodic electricity price volatility
Escribano, Álvaro
;
Sucarrat, Genaro
- In:
Energy economics
74
(
2018
),
pp. 287-298
Persistent link: https://www.econbiz.de/10011972846
Saved in:
9
A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
Saved in:
10
Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets
Qu, Hui
;
Duan, Qingling
;
Niu, Mengyi
- In:
Energy economics
74
(
2018
),
pp. 767-776
Persistent link: https://www.econbiz.de/10011972967
Saved in:
11
On the risk spillover across the oil market, stock market, and the oil related CDS sectors : a volatility impulse response approach
Balcilar, Mehmet
;
Hammoudeh, Shawkat
;
Toparli, Elif Akay
- In:
Energy economics
74
(
2018
),
pp. 813-827
Persistent link: https://www.econbiz.de/10011972977
Saved in:
12
Does renewable energy generation decrease the volatility of electricity prices? : an analysis of Denmark and Germany
Rintamäki, Tuomas
;
Siddiqui, Afzal S.
;
Salo, Ahti A.
- In:
Energy economics
62
(
2017
),
pp. 270-282
Persistent link: https://www.econbiz.de/10011748135
Saved in:
13
Oil prices and stock markets : does the effect of uncertainty change over time?
Joo, Young C.
;
Park, Sung Y.
- In:
Energy economics
61
(
2017
),
pp. 42-51
Persistent link: https://www.econbiz.de/10011737651
Saved in:
14
Impact of the financial crisis on Indian commodity markets : structural breaks and volatility dynamics
Shalini, Velappan
;
Prasanna, Krishna
- In:
Energy economics
53
(
2016
),
pp. 40-57
Persistent link: https://www.econbiz.de/10011660433
Saved in:
15
Oil price volatility forecast with mixture memory GARCH
Klein, Tony
;
Walther, Thomas
- In:
Energy economics
58
(
2016
),
pp. 46-58
Persistent link: https://www.econbiz.de/10011698485
Saved in:
16
Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework : the financial and economic role of structural breaks
Block, Alexander Souza
;
Righi, Marcelo Brutti
; …
- In:
Energy economics
49
(
2015
),
pp. 23-32
Persistent link: https://www.econbiz.de/10011536627
Saved in:
17
Daily seasonality in crude oil returns and volatilities
Auer, Benjamin R.
- In:
Energy economics
43
(
2014
),
pp. 82-88
Persistent link: https://www.econbiz.de/10010504173
Saved in:
18
The relationship between energy and equity markets : evidence from volatility impulse response functions
Olson, Eric
;
Vivian, Andrew J.
;
Wohar, Mark E.
- In:
Energy economics
43
(
2014
),
pp. 297-305
Persistent link: https://www.econbiz.de/10010504812
Saved in:
19
Modeling the daily electricity price volatility with realized measures
Frömmel, Michael
;
Han, Xing
;
Kratochvil, Stepan
- In:
Energy economics
44
(
2014
),
pp. 492-502
Persistent link: https://www.econbiz.de/10010457140
Saved in:
20
Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid
;
Hammoudeh, Shawkat
;
Nguyen, Duc Khuong
- In:
Energy economics
41
(
2014
),
pp. 1-18
Persistent link: https://www.econbiz.de/10010374635
Saved in:
21
Applying ARMA-GARCH approaches to forecasting short-term electricity prices
Liu, Heping
;
Shi, Jing
- In:
Energy economics
37
(
2013
),
pp. 152-166
Persistent link: https://www.econbiz.de/10009760851
Saved in:
22
Smooth transition regime shifts and pil price dynamics
Cifarelli, Giulio
- In:
Energy economics
38
(
2013
),
pp. 160-167
Persistent link: https://www.econbiz.de/10009764597
Saved in:
23
A nonparametric GARCH model of crude oil price return volatility
Hou, Aijun
;
Suardi, Sandy
- In:
Energy economics
34
(
2012
)
2
,
pp. 618-626
Persistent link: https://www.econbiz.de/10009618668
Saved in:
24
A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate
;
Benth, Fred Espen
- In:
Energy economics
34
(
2012
)
2
,
pp. 592-602
Persistent link: https://www.econbiz.de/10009618677
Saved in:
25
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed
;
Lahiani, Amine
;
Lévy, Aldo
;
Nguyen, …
- In:
Energy economics
34
(
2012
)
1
,
pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
Saved in:
26
A characterization of oil price behavior : evidence from jump models
Gronwald, Marc
- In:
Energy economics
34
(
2012
)
5
,
pp. 1310-1317
Persistent link: https://www.econbiz.de/10009688098
Saved in:
27
Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Wang, Yudong
;
Wu, Chongfeng
- In:
Energy economics
34
(
2012
)
6
,
pp. 2167-2181
Persistent link: https://www.econbiz.de/10009688795
Saved in:
28
Volatility transmission and volatility impulse response functions in crude oil markets
Jin, Xiaoye
;
Lin, Sharon X. W.
;
Tamvakis, Michael
- In:
Energy economics
34
(
2012
)
6
,
pp. 2125-2134
Persistent link: https://www.econbiz.de/10009688822
Saved in:
29
Crude oil hedging strategies using dynamic multivariate GARCH
Chang, Chia-Lin
;
McAleer, Michael
;
Roengchai Tansuchat
- In:
Energy economics
33
(
2011
)
5
,
pp. 912-923
Persistent link: https://www.econbiz.de/10009382992
Saved in:
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