Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy Economics 41 (2014) C, pp. 1-18
This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...