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A characterization of oil price behavior: Evidence from jump models

Gronwald, Marc - 2011

GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … empirical results to implications of Hotelling-type resource extraction models. The empirical analysis shows that oil prices are … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10010278896

Jumps in Oil Prices - Evidence and Implications

Gronwald, Marc - 2009

This paper studies the dynamic behavior of daily oil prices and finds strong evidenceof GARCH as well as conditional …

Persistent link: https://www.econbiz.de/10010312132

Modeling asset prices

Gentle, James E.; Härdle, Wolfgang Karl - 2010

As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to...

Persistent link: https://www.econbiz.de/10010270708

Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Chen, Ping-Yu; Chang, Chia-Lin; Chen, Chi-Chung; … - 2013

mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models …, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global … price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in …

Persistent link: https://www.econbiz.de/10010326493

Agriculture and trade opportunities for Tanzania: Past volatility and future climate change

Ahmed, Syud Amer; Diffenbaugh, Noah S.; Hertel, Thomas W.; … - 2011

Given global heterogeneity in climate-induced agricultural variability, Tanzania has the potential to substantially increase its maize exports to other countries. If global maize production is lower than usual due to supply shocks in major exporting regions, Tanzania may be able to export more...

Persistent link: https://www.econbiz.de/10010319906

Pricing of options under different volatility models

Herzberg, Markus; Sibbertsen, Philipp - 2004

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …

Persistent link: https://www.econbiz.de/10010296646

Modeling electricity spot prices - Combining mean-reversion, spikes and stochastic volatility

Mayer, Klaus; Schmid, Thomas; Weber, Florian - 2011

an approach to model spot prices that combines mean-reversion, spikes and stochastic volatility. Thereby we use different …

Persistent link: https://www.econbiz.de/10010305714

Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model

Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009

We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory … in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect. To avoid … that the long memory property of volatility carries over to returns, we consider a filtered FIEGARCH-in-mean (FIEGARCH …

Persistent link: https://www.econbiz.de/10010290338

Models for time-varying moments using maximum entropy applied to a generalized measure of volatility

Herrmann, Klaus - 2008

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

Persistent link: https://www.econbiz.de/10010299748

Forecasting volatility in European stock markets with non-linear GARCH models

Forte, Gianfranco; Manera, Matteo - 2002

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

Persistent link: https://www.econbiz.de/10011335762