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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

Jumps and Stochastic Volatility in Oil Prices : Time Series Evidence

Larsson, Karl - 2014

In this paper we examine the empirical performance of affine jump diffusion models with stochastic volatility in a time … method. The support for a stochastic volatility model including jumps in both prices and volatility is strong and the model …

Persistent link: https://www.econbiz.de/10013070384

Time-varying partial-directed coherence approach to forecast global energy prices with stochastic volatility model

Dhifaoui, Zouhaier; Jabeur, Sami Ben; Khalfaoui, Rabeh; … - In: Journal of forecasting 42 (2023) 8, pp. 2292-2306

Persistent link: https://www.econbiz.de/10014432894

On the volatility of WTI crude oil prices : a time-varying approach with stochastic volatility

Thai-Ha Le; Boubaker, Sabri; Manh Tien Bui; Park, Donghyun - In: Energy economics 117 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014436424

A characterization of oil price behavior : evidence from jump models

Gronwald, Marc - In: Energy economics 34 (2012) 5, pp. 1310-1317

Persistent link: https://www.econbiz.de/10009688098

On the effects of world stock market and oil price shocks on food prices : an empirical investigation based on TVP-VAR models with stochastic volatility

Jebabli, Ikram; Arouri, Mohamed; Teulon, Frédéric - In: Energy economics 45 (2014), pp. 66-98

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Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Baum, Christopher F.; Zerilli, Paola - 2014

Persistent link: https://www.econbiz.de/10011293875

Forecasting oil futures price volatility : new evidence from realized range-based volatility

Ma, Feng; Zhang, Yaojie; Huang, Dengshi; Lai, Xiaodong - In: Energy economics 75 (2018), pp. 400-409

Persistent link: https://www.econbiz.de/10011974360

Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility

Baum, Christopher F.; Zerilli, Paola - In: Energy economics 53 (2016), pp. 175-181

Persistent link: https://www.econbiz.de/10011660506

A common factor of stochastic volatilities between oil and commodity prices

Lee, Eunhee; Han, Doo Bong; Nayga, Rodolfo M. <Jr.> - In: Applied economics 49 (2017) 22, pp. 2203-2215

Persistent link: https://www.econbiz.de/10011817276