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~subject:"ARCH-Modell"
~subject:"Share price"
~subject:"Stochastischer Prozess"
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Discussion paper / Tinbergen Institute
80
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian
;
Rittler, Daniel
;
Rotfuß, Waldemar
- In:
Energy economics
34
(
2012
)
1
,
pp. 316-326
Persistent link: https://www.econbiz.de/10009618833
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2
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed
;
Lahiani, Amine
;
Lévy, Aldo
;
Nguyen, …
- In:
Energy economics
34
(
2012
)
1
,
pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
Saved in:
3
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
Saved in:
4
How do OPEC news and structural breaks impact returns and volatility in crude oil markets? : further evidence from a long memory process
Mensi, Walid
;
Hammoudeh, Shawkat
;
Yoon, Seong-min
- In:
Energy economics
42
(
2014
),
pp. 343-354
Persistent link: https://www.econbiz.de/10010503579
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5
Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Marchese, Malvina
;
Kyriakou, Ioannis
;
Tamvakis, Michael
; …
- In:
Energy economics
88
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012516745
Saved in:
6
Oil price volatility forecast with mixture memory GARCH
Klein, Tony
;
Walther, Thomas
- In:
Energy economics
58
(
2016
),
pp. 46-58
Persistent link: https://www.econbiz.de/10011698485
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7
A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro
- In:
Energy economics
74
(
2018
),
pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
Saved in:
8
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
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