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Modelling and forecasting monthly Brent crude oil prices : a long memory and volatility approach

AlـGounmeein, Remal Shaher; Mohd Tahir Ismail - In: Statistics in transition : an international journal of … 22 (2021) 1, pp. 29-54

Autoregressive Conditionally Heteroskedastic (fGARCH) model were applied to study the volatility of the Autoregressive Fractionally …

Persistent link: https://www.econbiz.de/10012487052

Price and volatility effects of commodity financialization

Kupabado, Moses Mananyi - 2022

Persistent link: https://www.econbiz.de/10013256135

What drives risk in China's soybean futures market? : evidence from a flexible GARCH-MIDAS model

Wang, Xinyu; Zhang, Lele; Cheng, Qiuying; Shi, Song; … - In: Journal of applied economics 25 (2022) 1, pp. 454-475

Modeling futures market risk simultaneously influenced by macro low-frequency information and daily risk factors is a valuable challenge. We propose a new general framework for it based on the flexible GARCH-MIDAS model. It uses a skewed t distribution to describe the asymmetry of long and short...

Persistent link: https://www.econbiz.de/10013176742

The effect of new futures contracts on gold futures price volatility : evidence from the Thailand futures exchange

Woradee Jongadsayakul - In: Cogent economics & finance 8 (2020) 1, pp. 1-14

futures price volatility of existing gold futures with two contract sizes, 50 baht-weight and 10 baht-weight, using symmetric … modelling gold futures price volatility. The results confirm that the coming into market of Gold-D significantly reduces the … price volatility of existing gold futures. There is not a significant negative relationship between the introduction of Gold …

Persistent link: https://www.econbiz.de/10013179506

Forecasting volatility in oil returns using asymmetric GARCH models : evidence from Tanzania

Letema, Laban Gaspe; Mbwambo, Haika Andrew - 2023

Persistent link: https://www.econbiz.de/10014281963

Volatility spillovers between crude oil prices and new energy stock price in China

Chen, Yufeng; Li, Wenqi; Jin, Xi - In: Romanian journal of economic forecasting 21 (2018) 2, pp. 43-62

Persistent link: https://www.econbiz.de/10012020110

A investigation into share prices' conditional heteroscedasticity and non-symmetrical model in the context of South Africa, Nigeria, and Egypt

Ejaz, Abdullah; Polak, Petr; Imran, Zulfiqar Ali - In: Management : journal of contemporary management issues 26 (2021) 1, pp. 189-200

Persistent link: https://www.econbiz.de/10012659646

The sovereign credit default swap market : is there anything to be afraid of? : a comparison of selected Central and Western European economies

Kliber, Agata - In: Argumenta oeconomica 43 (2019) 2, pp. 137-167

Persistent link: https://www.econbiz.de/10012284881

Using econometric models to manage the price risk of cocoa beans : a case from India

Kumar, Kepulaje Abhaya; Spulbăr, Cristi; Pinto, Prakash; … - In: Risks : open access journal 10 (2022) 6, pp. 1-18

ARIMA (Autoregressive Integrated Moving Average) and VAR (Vector Auto Regressive). The monthly price of Cocoa beans is … series. The multivariate VAR (1) model found that the US and London Cocoa futures prices traded on the ICE platform will …

Persistent link: https://www.econbiz.de/10013363126

Does Financial Growth lead Economic Performance in India? Causality-Cointegration using Unrestricted Vector Error Correction Models

Kamat, Manoj; Kamat, Manasvi - Volkswirtschaftliche Fakultät, … - 2007

infrastructure led economic growth”. Finance is found to be a leading sector only in the short-term link in Granger causality tests …

Persistent link: https://www.econbiz.de/10005260232