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Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market

Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan; Fabozzi, … - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 2, pp. 1572-1572

several advantages compared to the linear correlation measure in modeling comovement. This paper introduces a copula ARMA-GARCH … model for analyzing the comovement of indexes in German equity markets. The model is implemented with an ARMA-GARCH model … skewed Student's t copula ARMA(1,1)-GARCH(1,1) model with Lévy fractional stable noise is superior to alternative models …

Persistent link: https://www.econbiz.de/10005046500

Smooth-Transition GARCH Models

González-Rivera, Gloria - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2

intermediate regimes is considered and modeled with the introduction of a smooth-transition mechanism in a GARCH specification. One … power. A smooth-transition GARCH specification is tested and estimated with stock returns and exchange-rate data. While a …

Persistent link: https://www.econbiz.de/10014620812

A Markov-Chain Sampling Algorithm for GARCH Models

Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2

This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998 …). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior … distribution. The samples obtained by this algorithm are used for Bayesian analysis of the GARCH model. As numerical examples …

Persistent link: https://www.econbiz.de/10014620814

The impact of wind power generation on the electricity price in Germany

Ketterer, Janina C. - In: Energy Economics 44 (2014) C, pp. 270-280

Germany. Using a GARCH model, I evaluate the effect of wind electricity generation on the level and the volatility of the …

Persistent link: https://www.econbiz.de/10011100128

Daily seasonality in crude oil returns and volatilities

Auer, Benjamin R. - In: Energy Economics 43 (2014) C, pp. 82-88

-augmented GARCH specification for the period from May 1987 to October 2013, our key findings are as follows: (i) Volatilities on … choice of other frequently used GARCH model variants, like GARCH-M, TGARCH and CGARCH. …

Persistent link: https://www.econbiz.de/10011100130

Jump processes in natural gas markets

Mason, Charles F.; A. Wilmot, Neil - In: Energy Economics 46 (2014) S1, pp. 69-69

Many analysts believe that natural gas will have an increasingly important role in the next few decades. Accordingly, understanding the underpinnings of natural gas prices is likely to be critical, both to policy analysts and to market participants. At present, it is common to assume that these...

Persistent link: https://www.econbiz.de/10011115901

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

Forecasting carbon futures volatility using GARCH models with energy volatilities

Byun, Suk Joon; Cho, Hangjun - In: Energy Economics 40 (2013) C, pp. 207-221

This article examines the volatility forecasting abilities of three approaches: GARCH-type model that uses carbon … document that GARCH-type models perform better than an implied volatility and the k-nearest neighbor model. This result …

Persistent link: https://www.econbiz.de/10010868786

A characterization of oil price behavior — Evidence from jump models

Gronwald, Marc - In: Energy Economics 34 (2012) 5, pp. 1310-1317

GARCH model in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by …

Persistent link: https://www.econbiz.de/10011039520

OPEC news announcements: Effects on oil price expectation and volatility

Schmidbauer, Harald; Rösch, Angi - In: Energy Economics 34 (2012) 5, pp. 1656-1663

Several times a year, OPEC hosts conferences among its members to agree on further oil production policies. Prior to OPEC conferences, there is usually rampant speculation about which decision concerning world oil production levels (no change, increase, or cut) will be announced. The purpose of...

Persistent link: https://www.econbiz.de/10011039554