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A Markov switching long memory model of crude oil price return volatility

Di Sanzo, Silvestro - In: Energy economics 74 (2018), pp. 351-359

Persistent link: https://www.econbiz.de/10011972860

Models of exchange rate expectations : how much heterogeneity?

Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - In: Journal of international financial markets, … 13 (2003) 2, pp. 113-136

Persistent link: https://www.econbiz.de/10001950037

Long term forecasts of volatility in the market for crude oil : do futures prices offer any clues?

Brochu, Stephen M. - 2002

Persistent link: https://www.econbiz.de/10001875427

A nonparametric GARCH model of crude oil price return volatility

Hou, Aijun; Suardi, Sandy - In: Energy economics 34 (2012) 2, pp. 618-626

Persistent link: https://www.econbiz.de/10009618668

Cross-asset time-series momentum : crude oil volatility and global stock markets

Fernandez-Perez, Adrian; Indriawan, Ivan; Tse, Yiuman; … - In: Journal of banking & finance 154 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014492117

Modelling and forecasting crude oil prices during COVID-19 Pandemic

Hendrawaty, Ernie; Azhar, Rialdi; Kesumah, Fajrin Satria Dwi - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 2, pp. 149-154

Persistent link: https://www.econbiz.de/10012608864

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Modeling and forecasting crude oil price volatility : evidence from historical and recent data

Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015

This paper uses the Markov-switching multifractal (MSM) model and generalized autoregressive conditional heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 and from January 03, 1977 to March 24, 2014. Based on...

Persistent link: https://www.econbiz.de/10010488966

Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence

Degiannakis, Stavros Antonios - 2018

specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide …

Persistent link: https://www.econbiz.de/10012910119

Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility

Nonejad, Nima - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013534202