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Иш: The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks

Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev
Мақола198611 иқтибос
ABI
On the causal dynamics between emissions, nuclear energy, renewable energy, and economic growth
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ABI
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Robert F. Engle
Мақола19829 иқтибос
ABI
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson
Мақола19917 иқтибос
ABI
A Simple General Approach to Inference About the Tail of a Distribution
Bruce M. Hill
Мақола19753 иқтибос
ABI
Persistence in Variance, Structural Change, and the GARCH Model
Christopher G. Lamoureux, William D. Lastrapes
Мақола19903 иқтибос
ABI
The Model Confidence Set
Мақола20113 иқтибос
ABI
Structural breaks and GARCH models of exchange rate volatility
David E. Rapach, Jack Strauss
Мақола20083 иқтибос
ABI
Forecasting volatility in the petroleum futures markets: A re-examination and extension
Akram Shavkatovich Hasanov, Mohammed Sharaf Shaiban, Ajab A. Alfreedi
Мақола20203 иқтибос
ABI
Bitcoin: A safe haven asset and a winner amid political and economic uncertainties in the US?
Muhammad Umar, Chi‐Wei Su, Syed Kumail Abbas Rizvi +1
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ABI
A New Approach to Markov-Switching GARCH Models
Markus Haas
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ABI
Forecasting petroleum futures markets volatility: The role of regimes and market conditions
Nikos K. Nomikos, Panos K. Pouliasis
Мақола20102 иқтибос
ABI
Modeling and forecasting petroleum futures volatility
Perry Sadorsky
Мақола20062 иқтибос
ABI
Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions
I-Yuan Chuang, Jin‐Ray Lu, Pei‐Hsuan Lee
Мақола20072 иқтибос
ABI
Selection of estimation window in the presence of breaks
M. Hashem Pesaran, Allan Timmermann
Мақола20062 иқтибос
ABI
Multivariate Stochastic Variance Models
Andrew Harvey, Esther Ruiz, Neil Shephard
Мақола19942 иқтибос
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Forecasting crude-oil market volatility: Further evidence with jumps
Amélie Charles, Olivier Darné
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ABI
Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions
Akram Shavkatovich Hasanov, Wai Ching Poon, Ajab A. Alfreedi +1
Мақола20182 иқтибос
ABI
Forecasting risk with Markov-switching GARCH models:A large-scale performance study
David Ardia, Keven Bluteau, Kris Boudt +1
Мақола20182 иқтибос
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Oil price volatility forecast with mixture memory GARCH
Tony Klein, Thomas Walther
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ABI
U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?
Dexiang Mei, Yutang Xie
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Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks
Mawuli Segnon, Rangan Gupta, Bernd Wilfling
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Сарлавҳасиз
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ABI