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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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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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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
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Volatility spillovers in commodity markets : a large t-vector autoregressive approach
Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012509561
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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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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
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Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil : Comment
Bonaccolto, Giovanni; Caporin, Massimiliano; Iacopini, … - In: Energy economics 132 (2024), pp. 1-4
Persistent link: https://www.econbiz.de/10015047165
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Structural sources of oil market volatility and correlation dynamics
Harrison, Andre; Liu, Xiaochun; Stewart, Shamar L. - In: Energy economics 121 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014438691
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Comparing long monthly Chinese and selected European temperature series using the Vector Seasonal Shifting Mean and Covariance Autoregressive model
He, Changli; Kang, Jian; Teräsvirta, Timo; Zhang, Shuhua - In: Energy economics 97 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012821325
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Modelling the general dependence between commodity forward curves
Zolotko, Mikhail; Okhrin, Ostap - In: Energy economics 43 (2014), pp. 284-296
Persistent link: https://www.econbiz.de/10010504813