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On the links between stock and commodity markets' volatility
Creti, Anna; Joëts, Marc; Mignon, Valérie - In: Energy economics 37 (2013), pp. 16-28
Persistent link: https://www.econbiz.de/10009759403
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Market risk in commodity markets : a VaR approach
Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-457
Persistent link: https://www.econbiz.de/10001790694
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The asymmetric return-volatility relationship of commodity prices
Baur, Dirk G.; Dimpfl, Thomas - In: Energy economics 76 (2018), pp. 378-387
Persistent link: https://www.econbiz.de/10011976677
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Volatility forecasting in commodity markets using macro uncertainty
Bakas, Dimitrios; Triantafyllou, Athanasios - In: Energy economics 81 (2019), pp. 79-94
Persistent link: https://www.econbiz.de/10012172661
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Nonlinear and asymmetric interconnectedness of crude oil with financial and commodity markets
Okhrin, Yarema; Uddin, Mohammed Gazi Salah; Yahya, Muhammad - In: Energy economics 125 (2023), pp. 1-14
Persistent link: https://www.econbiz.de/10014485235
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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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Volatility spillovers in commodity markets : a large t-vector autoregressive approach
Barbaglia, Luca; Croux, Christophe; Wilms, Ines - In: Energy economics 85 (2020), pp. 1-11
Persistent link: https://www.econbiz.de/10012509561
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Estimation of value-at-risk for energy commodities via fat-tailed GARCH models
Hung, Jui-cheng; Lee, Ming-chih; Liu, Hung-Chun - In: Energy economics 30 (2008) 3, pp. 1173-1191
Persistent link: https://www.econbiz.de/10003744851
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Estimating "value at risk" of crude oil price and its spillover effect using the GED-GARCH approach
Fan, Ying; Zhang, Yue-jun; Tsai, Hsien-tang; Wei, Yi-Ming - In: Energy economics 30 (2008) 6, pp. 3156-3171
Persistent link: https://www.econbiz.de/10003777034
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Comparison of historically simulated VaR : evidence from oil prices
Costello, Alexandra; Asem, Ebenezer; Gardner, Eldon - In: Energy economics 30 (2008) 5, pp. 2154-2166
Persistent link: https://www.econbiz.de/10003773652