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Forecasting the daily dynamic hedge ratios by GARCH models : evidence from the agricultural futures markets

Zhang, Yuanyuan; Choudhry, Taufiq - In: The European journal of finance 21 (2015) 4/6, pp. 376-399

Persistent link: https://www.econbiz.de/10010528976

Volatility of commodity futures prices and market-implied inflation expectations

Orłowski, Lucjan T. - In: Journal of international financial markets, … 51 (2017), pp. 133-141

Persistent link: https://www.econbiz.de/10011896296

Catching the curl : wavelet thresholding improves forward curve modelling

Power, Gabriel J.; Eaves, James; Turvey, Calum Greig; … - In: Economic modelling 64 (2017), pp. 312-321

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Distributional predictability between commodity spot and futures : evidence from nonparametric causality-in-quantiles tests

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Hammoudeh, … - In: Energy economics 78 (2019), pp. 615-628

Persistent link: https://www.econbiz.de/10012160046

Adaptive expectations and commodity risk premiums

Bianchi, Daniele - In: Journal of economic dynamics & control 124 (2021), pp. 1-22

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Enhancing forecasting accuracy in commodity and financial markets : insights from GARCH and SVR Models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-20

The aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and … capturing volatility clustering, asymmetry, and long-term memory effects in asset returns. By employing models like sGARCH …, eGARCH, gjrGARCH, and FIGARCH, the research offers a nuanced understanding of volatility evolution and its impact on asset …

Persistent link: https://www.econbiz.de/10015100922