This article explores the fitting of Autoregressive (AR) and Threshold AR (TAR) models with a non-Gaussian error structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma random error is proposed to cater for the non-negativity of...

Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state...

This study examines the effects of environmental, social, and governance (ESG) performance on bond volatility. After controlling for bond characteristics and firm fundamentals, we find a robust positive relationship between ESG performance and bond volatility. The empirical results demonstrate...

Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state...

Crude oil prices have been fluctuating over time and by a large range. It is the disorganization of oil price series that makes it difficult to deduce the changing trends of oil prices in the middle- and long-terms and predict their price levels in the short-term. Following a price-state...