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ARCH model
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Bouri, Elie
4
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Finance research letters
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International review of economics & finance : IREF
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International Journal of Energy Economics and Policy : IJEEP
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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1
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
Saved in:
2
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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3
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
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4
Electronic trading system and returns volatility in the oil futures market
Liao, Huei-chu
;
Lee, Yi-huey
;
Suen, Yu-bo
- In:
Energy economics
30
(
2008
)
5
,
pp. 2636-2644
Persistent link: https://www.econbiz.de/10003773840
Saved in:
5
Modeling and forecasting petroleum futures volatility
Sadorsky, Perry A.
- In:
Energy economics
28
(
2006
)
4
,
pp. 467-488
Persistent link: https://www.econbiz.de/10003351688
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6
Volatility in crude oil futures : a comparison of the predictive ability of GARCH and implied volatility models
Agnolucci, Paolo
- In:
Energy economics
31
(
2009
)
2
,
pp. 316-321
Persistent link: https://www.econbiz.de/10003832256
Saved in:
7
Oil price dynamics and speculation : a multivariate financial approach
Cifarelli, Giulio
;
Paladino, Giovanna
- In:
Energy economics
32
(
2010
)
2
,
pp. 363-372
Persistent link: https://www.econbiz.de/10003954624
Saved in:
8
Futures hedging effectiveness under the segmentation of bear/bull energy markets
Chang, Chiao-yi
;
Lai, Jing-yi
;
Chuang, I-yuan
- In:
Energy economics
32
(
2010
)
2
,
pp. 442-449
Persistent link: https://www.econbiz.de/10003954646
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9
Metal volatility in presence of oil and interest rate shocks
Hammoudeh, Shawkat
;
Yuan, Yuan
- In:
Energy economics
30
(
2008
)
2
,
pp. 606-620
Persistent link: https://www.econbiz.de/10003711342
Saved in:
10
Macro determinants of volatility and volatility spillover in energy markets
Karali, Berna
;
Ramírez, Octavio A.
- In:
Energy economics
46
(
2014
),
pp. 413-421
Persistent link: https://www.econbiz.de/10011298963
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