This paper explores the relevance of asymmetry and long memory in modeling and forecasting the …

dynamics of conditional return and volatility of Chinese stock market and should thus be accounted for when forecasting future …In this paper we make use of several multivariate GARCH models to investigate both return and volatility spillovers … build effective diversification and hedging strategy. Our results show evidence of significant return and volatility cross …

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility … that volatility of commodity returns can be better described by nonlinear volatility models accommodating the long memory …

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility …

, the other indices remained unaffected. The financial crisis, however, impacted volatility in three GCC markets (Kuwait … insignificant. More interestingly, we show that the Islamic index did not exhibit lower volatility than its conventional …

trend breaks, and a long-term trend, respectively. Finally, some strategies are proposed for carbon price forecasting. …

benchmarks (naive and autoregressive models) in forecasting real US house price over the annual out-of-sample period of 1859 …