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

  1. Generalized autoregressive conditional heteroskedasticity

    Tim Bollerslev

    Maqola198611 iqtibos
    ABI

  2. On the causal dynamics between emissions, nuclear energy, renewable energy, and economic growth

    Nicholas Apergis, James E. Payne, Kojo Menyah +1

    Maqola201010 iqtibos
    ABI

  3. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

    Robert F. Engle

    Maqola19829 iqtibos
    ABI

  4. Conditional Heteroskedasticity in Asset Returns: A New Approach

    Daniel B. Nelson

    Maqola19917 iqtibos
    ABI

  5. A Simple General Approach to Inference About the Tail of a Distribution

    Bruce M. Hill

    Maqola19753 iqtibos
    ABI

  6. Persistence in Variance, Structural Change, and the GARCH Model

    Christopher G. Lamoureux, William D. Lastrapes

    Maqola19903 iqtibos
    ABI

  7. The Model Confidence Set

    Maqola20113 iqtibos
    ABI

  8. Structural breaks and GARCH models of exchange rate volatility

    David E. Rapach, Jack Strauss

    Maqola20083 iqtibos
    ABI

  9. Forecasting volatility in the petroleum futures markets: A re-examination and extension

    Akram Shavkatovich Hasanov, Mohammed Sharaf Shaiban, Ajab A. Alfreedi

    Maqola20203 iqtibos
    ABI

  10. 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

    Maqola20213 iqtibos
    ABI

  11. A New Approach to Markov-Switching GARCH Models

    Markus Haas

    Maqola20042 iqtibos
    ABI

  12. Forecasting petroleum futures markets volatility: The role of regimes and market conditions

    Nikos K. Nomikos, Panos K. Pouliasis

    Maqola20102 iqtibos
    ABI

  13. Modeling and forecasting petroleum futures volatility

    Perry Sadorsky

    Maqola20062 iqtibos
    ABI

  14. Forecasting volatility in the financial markets: a comparison of alternative distributional assumptions

    I-Yuan Chuang, Jin‐Ray Lu, Pei‐Hsuan Lee

    Maqola20072 iqtibos
    ABI

  15. Selection of estimation window in the presence of breaks

    M. Hashem Pesaran, Allan Timmermann

    Maqola20062 iqtibos
    ABI

  16. Multivariate Stochastic Variance Models

    Andrew Harvey, Esther Ruiz, Neil Shephard

    Maqola19942 iqtibos
    ABI

  17. Forecasting crude-oil market volatility: Further evidence with jumps

    Amélie Charles, Olivier Darné

    Maqola20172 iqtibos
    ABI

  18. 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

    Maqola20182 iqtibos
    ABI

  19. Forecasting risk with Markov-switching GARCH models:A large-scale performance study

    David Ardia, Keven Bluteau, Kris Boudt +1

    Maqola20182 iqtibos
    ABI

  20. Oil price volatility forecast with mixture memory GARCH

    Tony Klein, Thomas Walther

    Maqola20162 iqtibos
    ABI

  21. U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?

    Dexiang Mei, Yutang Xie

    Maqola20222 iqtibos
    ABI

  22. Forecasting stock market volatility with regime-switching GARCH-MIDAS: The role of geopolitical risks

    Mawuli Segnon, Rangan Gupta, Bernd Wilfling

    Maqola20232 iqtibos
    ABI

  23. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  24. Sarlavhasiz

    Boshqa1 iqtibos
    ABI

  25. Sarlavhasiz

    Boshqa1 iqtibos
    ABI