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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
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What drives volatility of the US oil and gas firms?
Lyócsa, Štefan; Todorova, Neda - In: Energy economics 100 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012990237
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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
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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
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Combination forecasts of China's oil futures returns based on multiple uncertainties and their connectedness with oil
Shi, Chunpei; Wei, Yu; Li, Xiafei; Liu, Yuntong - In: Energy economics 126 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014487439
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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
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Economic policy uncertainty, oil price shocks and corporate investment : Evidence from the oil industry
Ilyas, Muhammad; Khan, Aamir; Nadeem, Muhammad; … - In: Energy economics 97 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012820780
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The influence of oil, gold and stock market index on US equity sectors
BenSaïda, Ahmed; Hernandez, Jose Arreola; Litimi, Houda; … - In: Applied economics 54 (2022) 6, pp. 719-732
Persistent link: https://www.econbiz.de/10012874447
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Modelling the global price of Oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - In: The energy journal 43 (2022) 2, pp. 41-66
Persistent link: https://www.econbiz.de/10013187829
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Does oil drive income inequality? : new panel evidence
Kim, Dong-Hyeon; Chen, Ting-Cih; Lin, Shu-Chin - In: Structural change and economic dynamics : SC+ED 55 (2020), pp. 137-152
Persistent link: https://www.econbiz.de/10012499897