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Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

Persistent link: https://www.econbiz.de/10010256409

Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Do, … - In: Energy economics 86 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012511747

Changing determinant driver and oil volatility forecasting : a comprehensive analysis

Luo, Qin; Ma, Feng; Wang, Jiqian; Wu, You - In: Energy economics 129 (2024), pp. 1-12

Persistent link: https://www.econbiz.de/10014558966

Exploring the impact of oil security attention on oil volatility : a new perspective

Wang, Lu; Li, Shan; Liang, Chao - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 61-80

Persistent link: https://www.econbiz.de/10014532201

The information content in a volatility index for Spain

Gonzalez-Perez, Maria T.; Novales, Alfonso - In: SERIEs : Journal of the Spanish Economic Association 2 (2011) 2, pp. 185-216

A model-free methodology is used for the first time to estimate a daily volatility index (VIBEX-NEW) for the Spanish financial market.We use a public data set of daily option prices to compute this index and showthat daily changes in VIBEXNEW display a negative, tight contemporaneous...

Persistent link: https://www.econbiz.de/10009355558