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Smooth volatility shifts and spillovers in U.S. crude oil and corn futures markets
Teterin, Pavel; Brooks, Robert; Enders, Walter - In: Journal of empirical finance 38 (2016), pp. 22-36
Persistent link: https://www.econbiz.de/10011663220
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Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Ma, Feng; Liao, Yin; Zhang, Yaojie; Cao, Yang - In: Journal of empirical finance 52 (2019), pp. 40-55
Persistent link: https://www.econbiz.de/10012170621
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Oil price shocks and the US stock market : a nonlinear approach
Hwang, Inwook; Kim, Jaebeom - In: Journal of empirical finance 64 (2021), pp. 23-36
Persistent link: https://www.econbiz.de/10013259395
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Oil and the short-term predictability of stock return volatility
Wang, Yudong; Wei, Yu; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 47 (2018), pp. 90-104
Persistent link: https://www.econbiz.de/10012103481
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Bivariate FIGARCH and fractional cointegration
Brunetti, Celso; Gilbert, Christopher L. - In: Journal of empirical finance 7 (2000) 5, pp. 509-530
Persistent link: https://www.econbiz.de/10001545286
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Financial derivatives introduction and stock return volatility in an emerging market without clearinghouse : the Mexican experience
Hernández Trillo, Fausto - In: Journal of empirical finance 6 (1999) 2, pp. 153-176
Persistent link: https://www.econbiz.de/10001426336
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On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets
Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10011300507
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Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng; Yin, Libo - In: Journal of empirical finance 43 (2017), pp. 130-142
Persistent link: https://www.econbiz.de/10011817944
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The risk-return tradeoff : a COGARCH analysis of Merton's hypothesis
Müller, Gernot; Durand, Robert B.; Maller, Ross A. - In: Journal of empirical finance 18 (2011) 2, pp. 306-320
Persistent link: https://www.econbiz.de/10009301116
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Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu; Hung, Jui-cheng - In: Journal of empirical finance 18 (2011) 1, pp. 160-173
Persistent link: https://www.econbiz.de/10009301140