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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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Chapter 8 Forecasting economic variables with nonlinear models
Teräsvirta, Timo - 2006
building are parameter estimation and evaluation that are also briefly considered. There are two possibilities of generating …
Persistent link: https://www.econbiz.de/10014023698
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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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A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models
Xu, Bing; Ouenniche, Jamal - In: Energy Economics 34 (2012) 2, pp. 576-583
Forecasts of crude oil prices' volatility are important inputs to many decision making processes in application areas such as macroeconomic policy making, risk management, options pricing, and portfolio management. Despite the fact that a large number of forecasting models have been designed to...
Persistent link: https://www.econbiz.de/10010571716
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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