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Extent and possible causes of intrayear agricultural commodity price volatility

Ott, Hervé - In: Agricultural economics : the journal of the … 45 (2014) 2, pp. 225-252

Persistent link: https://www.econbiz.de/10010414424

Volatility in cereal prices : intra- versus inter-annual volatility

Ott, Hervé - In: Journal of agricultural economics 65 (2014) 3, pp. 557-578

Persistent link: https://www.econbiz.de/10010467381

New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices

Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776

Persistent link: https://www.econbiz.de/10014549246

Recursive adjusted unit root tests under non-stationary volatility

Wang, Shaoping; Li, Yanglin; Wen, Kuangyu - In: Economics letters 205 (2021), pp. 1-5

Persistent link: https://www.econbiz.de/10013202963

Unit roots in lower-bounded series with outliers

Alanya-Beltran, Willy - In: Economic modelling 115 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10014228683

Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting

Walther, Thomas; Klein, Tony; Bouri, Elie - 2018

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized …

Persistent link: https://www.econbiz.de/10014284448

The stock market effects of committing and setting GHG targets: Evidence from the science-based initiative

Guerrero-Escobar, Santiago; Hernández del Valle, Gerardo; … - 2023

. However, there is limited evidence on the market effects of setting those targets. Using a GARCH model with a trend developed …

Persistent link: https://www.econbiz.de/10014541035

GARCH modelling of high-capitalization cryptocurrencies' impacts during bearish markets

Panagiotis, Anastasiadis; Efthymios, Katsaros; … - In: Journal of Central Banking Theory and Practice 9 (2020) 3, pp. 87-106

, GARCH as well as DCC-GARCH are employed. Daily data covers the period from 1 January 1 2018 to 16 September 2018 …

Persistent link: https://www.econbiz.de/10014558497

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 …

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

Structural breaks and financial volatility: Lessons from BRIC countries

Morales, Lucía; Gassie, Esmeralda - 2011

Despite the fact that there is a substantial literature on the analysis of volatility spillovers between stock returns and domestic exchange rates, surprisingly, little empirical research has examined volatility spillovers between oil prices and emerging economies, where a clear gap of research...

Persistent link: https://www.econbiz.de/10010306930