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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
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Time-varied causality between US partisan conflict shock and crude oil return
Cai, Yifei; Wu, Yanrui - In: Energy economics 84 (2019), pp. 1-9
Persistent link: https://www.econbiz.de/10012182008
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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Oil beta uncertainty and global stock returns
Chen, Chun-Da; Demirer, Rıza - In: Energy economics 112 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013350430
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A dynamic conditional regime-switching GARCH CAPM for energy and financial markets
Urom, Christian; Chevallier, Julien; Zhu, Bangzhu - In: Energy economics 85 (2020), pp. 1-45
Persistent link: https://www.econbiz.de/10012510103
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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
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What drives the commodity price beta of oil industry stocks?
Talbot, Edward; Artiach, Tracy; Faff, Robert W. - In: Energy economics 37 (2013), pp. 1-15
Persistent link: https://www.econbiz.de/10009759405
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Endogenous thresholds in energy prices : modeling and empirical estimation
Guerra Vallejos, Ernesto; Bobenrieth H., Eugenio S.; … - In: Energy economics 121 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014438494
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Herding in the Chinese renewable energy market : evidence from a bootstrapping time-varying coefficient autoregressive model
Ren, Boru; Lucey, Brian M. - In: Energy economics 119 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014280139