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Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models
Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Common cycles and common trends in the stock and oil markets : evidence from more than 150 years of data
Balcilar, Mehmet; Gupta, Rangan; Wohar, Mark E. - In: Energy economics 61 (2017), pp. 72-86
Persistent link: https://www.econbiz.de/10011737672
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Time-frequency contained co-movement of crude oil and world food prices : a wavelet-based analysis
Pal, Debdatta; Mitra, Subrata Kumar - In: Energy economics 62 (2017), pp. 230-239
Persistent link: https://www.econbiz.de/10011748104
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The power of investors' optimism and pessimism in oil market forecasting
Mustanen, Dmitri; Maaitah, Ahmad; Mishra, Tapas; Parhi, … - In: Energy economics 114 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013477597
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Factor models in the German electricity market : stylized facts, seasonality, and calibration
Hinderks, Wieger Johan; Wagner, Andreas - In: Energy economics 85 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012510288
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Does renewable energy generation decrease the volatility of electricity prices? : an analysis of Denmark and Germany
Rintamäki, Tuomas; Siddiqui, Afzal S.; Salo, Ahti A. - In: Energy economics 62 (2017), pp. 270-282
Persistent link: https://www.econbiz.de/10011748135
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Building scenarios of multiple time series that take into account the effects of an expected intervention
Guerrero, Víctor M.; Silva, Eliud; Gómez, Nicolás - In: Journal of forecasting 33 (2014) 1, pp. 32-46
Persistent link: https://www.econbiz.de/10010424886
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Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices
Keles, Dogan; Genoese, Massimo; Möst, Dominik; … - In: Energy economics 34 (2012) 4, pp. 1012-1032
Persistent link: https://www.econbiz.de/10009687450
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A critical view on temperature modelling for application in weather derivatives markets
Saltyte Benth, Jurate; Benth, Fred Espen - In: Energy economics 34 (2012) 2, pp. 592-602
Persistent link: https://www.econbiz.de/10009618677