Similar Search Results

Macro determinants of volatility and volatility spillover in energy markets

Karali, Berna; Ramirez, Octavio A. - In: Energy Economics 46 (2014) C, pp. 413-421

We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric...

Persistent link: https://www.econbiz.de/10011115917

A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models

Xu, Bing; Ouenniche, Jamal - In: Energy Economics 34 (2012) 2, pp. 576-583

Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas such as macroeconomic policy making, risk management, options pricing, and portfolio management. Despite the fact that a large number of forecasting models have been designed to...

Persistent link: https://www.econbiz.de/10010571716

Applying ARMA–GARCH approaches to forecasting short-term electricity prices

Liu, Heping; Shi, Jing - In: Energy Economics 37 (2013) C, pp. 152-166

moving average (ARMA) models with generalized autoregressive conditional heteroskedasticity (GARCH) processes, namely ARMA–GARCH … models, along with their modified forms, ARMA–GARCH-in-mean (ARMA–GARCH-M), to model and forecast hourly ahead electricity … the ARMA–GARCH based time series forecasting of electricity prices. Multiple statistical measures are employed to evaluate …

Persistent link: https://www.econbiz.de/10010635963