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~isPartOf:"Econometric Institute Research Papers"
~isPartOf:"Energy Economics"
~isPartOf:"Studies in Nonlinear Dynamics & Econometrics"
~subject:"Volatility"
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1
How Volatile is ENSO?
McAleer, Michael
;
Chu, Chu, L.
;
Chen, Chen, C-C.
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2009
ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning …
Persistent link: https://www.econbiz.de/10010837928
Saved in:
2
Applying ARMA–
GARCH
approaches to forecasting short-term electricity prices
Liu, Heping
;
Shi, Jing
- In:
Energy Economics
37
(
2013
)
C
,
pp. 152-166
moving average (ARMA) models with generalized autoregressive conditional heteroskedasticity (
GARCH
) processes, namely ARMA–
GARCH
… models, along with their modified forms, ARMA–
GARCH
-in-mean (ARMA–
GARCH
-M), to model and forecast hourly ahead electricity … the ARMA–
GARCH
based time series forecasting of electricity prices. Multiple statistical measures are employed to evaluate …
Persistent link: https://www.econbiz.de/10010635963
Saved in:
3
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
Saved in:
4
Macro determinants of volatility and volatility spillover in energy markets
Karali, Berna
;
Ramirez, Octavio A.
- In:
Energy Economics
46
(
2014
)
C
,
pp. 413-421
We analyze the time-varying volatility and spillover effects in crude oil, heating oil, and natural gas futures markets by incorporating changes in important macroeconomic variables and major political and weather-related events into the conditional variance equations. We allow asymmetric...
Persistent link: https://www.econbiz.de/10011115917
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