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

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

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …

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

SRISK : a conditional capital shortfall measure of systemic risk

Brownlees, Christian; Engle, Robert F. - 2017

We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...

Persistent link: https://www.econbiz.de/10011975954

Hedging Bitcoin with conventional assets

Nekhili, Ramzi; Sultan, Jahangir - In: Borsa Istanbul Review 22 (2022) 4, pp. 641-652

The recent 50% drop in the price of the flagship cryptocurrency Bitcoin reinforces the persistent anxiety among cryptocurrency investors. Can alternative assets hedge Bitcoin risk? This study investigates the ability of equities, commodities, bonds, currencies, and VIX futures to hedge Bitcoin....

Persistent link: https://www.econbiz.de/10013334846

An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic

Ornanong Puarattanaarunkorn; Kittawit Autchariyapanitkul; … - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 310-332

/methodology/approach - The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market … pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models …

Persistent link: https://www.econbiz.de/10014445508

Forecasting global flows

Skriner, Edith - 2007

The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore,...

Persistent link: https://www.econbiz.de/10009736654

Forecasting global flows

Skriner, Edith - 2008

Persistent link: https://www.econbiz.de/10003819837

Forecasting global flows

Skriner, Edith - 2007

Persistent link: https://www.econbiz.de/10003492413

Forecasting global flows

Skriner, Edith - 2007

The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a comovement among oil consumption and global output. Therefore,...

Persistent link: https://www.econbiz.de/10011347054

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Roengchai Tansuchat; Chang, Chia-Lin; McAleer, Michael - 2009

, coffee, cotton, orange juice, Kansas City wheat, rubber, and palm oil. The class of fractional GARCH models, namely the …), are modelled and compared with the GARCH model of Bollerslev (1986), EGARCH model of Nelson (1991), and APARCH model of … are found to outperform their GARCH(1,1) and EGARCH(1,1) counterparts …

Persistent link: https://www.econbiz.de/10014202478

How Volatile is ENSO

Lan Fen Chu; McAleer, Michael; Chen, Chi-chung - 2009

ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …

Persistent link: https://www.econbiz.de/10014205838