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Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cavalierea, Giuseppe; Ørregard Nielsen, Morten; … - 2013 - 12-2013

We propose bootstrap implementations of the asymptotic Wald, likelihood ratio and Lagrange multiplier tests for the order of integration of a fractionally integrated time series. Our main purpose in doing so is to develop tests which are robust to both conditional and unconditional...

Persistent link: https://www.econbiz.de/10009743847

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

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

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

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

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Energy production in Brazil : empirical facts based on persistence, seasonality and breaks

Barros, Carlos Pestana; Gil-Alaña, Luis A.; Wanke, Peter - In: Energy economics 54 (2016), pp. 88-95

Persistent link: https://www.econbiz.de/10011662770

Oil price volatility forecast with mixture memory GARCH

Klein, Tony; Walther, Thomas - In: Energy economics 58 (2016), pp. 46-58

Persistent link: https://www.econbiz.de/10011698485

Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads

Ergemen, Yunus Emre; Haldrup, Niels; … - In: Energy economics 60 (2016), pp. 79-96

Persistent link: https://www.econbiz.de/10011699799

A Markov switching long memory model of crude oil price return volatility

Di Sanzo, Silvestro - In: Energy economics 74 (2018), pp. 351-359

Persistent link: https://www.econbiz.de/10011972860

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