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Volatility persistence in stock market
Chuang, Hongwei - In: Economics letters 133 (2015), pp. 64-67
Persistent link: https://www.econbiz.de/10011431978
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Modeling and forecasting the volatility of petroleum futures prices
Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362
Persistent link: https://www.econbiz.de/10009724686
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
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Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 41 (2014), pp. 1-18
Persistent link: https://www.econbiz.de/10010374635
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A modified test against spurious long memory
Kruse, Robinson - In: Economics letters 135 (2015), pp. 34-38
Persistent link: https://www.econbiz.de/10011434828
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Effect of the order of fractional integration on impulse responses
Hassler, Uwe; Hosseinkouchack, Mehdi - In: Economics letters 125 (2014) 2, pp. 311-314
Persistent link: https://www.econbiz.de/10010505295
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Persistence and cycles in historical oil price data
Gil-Alaña, Luis A.; Gupta, Rangan - In: Energy economics 45 (2014), pp. 511-516
Persistent link: https://www.econbiz.de/10010506552
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Can Markov switching model generate long memory?
Baek, Changryong; Fortuna, Natércia; Pipiras, Vladas - In: Economics letters 124 (2014) 1, pp. 117-121
Persistent link: https://www.econbiz.de/10010490562
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Aggregation of the generalized fractional processes
Sun, Jingwei; Shi, Wendong - In: Economics letters 124 (2014) 2, pp. 258-262
Persistent link: https://www.econbiz.de/10010493645
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Fundamental pricing laws and long memory effects in the day-ahead power market
Thomaidis, Nikolaos S.; Biskas, Pandelis N. - In: Energy economics 100 (2021), pp. 1-24
Persistent link: https://www.econbiz.de/10012990262