Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Year of publication: |
2014
|
---|---|
Authors: | Chkili, Walid ; Hammoudeh, Shawkat ; Nguyen, Duc Khuong |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 41.2014, p. 1-18
|
Subject: | Commodity markets | GARCH models | Asymmetries | Long memory | Volatility forecasts | Volatilität | Volatility | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Theorie | Theory | Rohstoffderivat | Commodity derivative | Rohstoffmarkt | Commodity market | Zeitreihenanalyse | Time series analysis |
-
Forecasting volatility in commodity markets with long-memory models
Alfeus, Mesias, (2022)
-
Volatility forecasting in commodity markets using macro uncertainty
Bakas, Dimitrios, (2019)
-
Futures price volatility in commodities markets : the role of short term vs long term speculation
Manera, Matteo, (2013)
- More ...
-
Chkili, Walid, (2014)
-
Chkili, Walid, (2014)
-
Chkili, Walid, (2013)
- More ...