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Modelling and forecasting the volatility of the Nordic power market : an application of the GARCH-jump process
Dutta, Anupam - In: Revisiting Electricity Market Reforms : Lessons for …, (pp. 143-158). 2022
Persistent link: https://www.econbiz.de/10013447658
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The Stable Relationship Between Crude Oil Price and Petrol Price : Evidence From Multivariate GARCH Models
Nguyen, Tuan - 2014
This study investigates the relationship between crude oil price and petrol price, as well as their behavior using daily U.S. price series in the period from January 11, 1988 to May 20, 2011. We find that uni-variate GARCH (1,1) is likely the most suitable model to measure the volatility of...
Persistent link: https://www.econbiz.de/10013063609
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Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets
Kanamura, Takashi - In: Energy economics 54 (2016), pp. 204-212
Persistent link: https://www.econbiz.de/10011662814
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015
This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...
Persistent link: https://www.econbiz.de/10010498617
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - 2015
This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between food and energy prices. The adopted framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting from four recent events, namely: 1) the 2006 food...
Persistent link: https://www.econbiz.de/10010501248
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Spillovers between food and energy prices and structural breaks
Al-Maadid, Alanoud; Caporale, Guglielmo Maria; … - In: International economics : a journal published by CEPII … 150 (2017), pp. 1-18
Persistent link: https://www.econbiz.de/10011793787
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Volatility and dependence in energy markets
Liu, Jinan; Serletis, Apostolos - In: Journal of economics and finance : JEF 47 (2023) 1, pp. 15-37
Persistent link: https://www.econbiz.de/10014227687
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Education, skills, and duration of unemployment in Ghana
Yirenkyi, Ebenezer Gyan; Debrah, Godwin; Adanu, Kwami; … - In: Cogent economics & finance 11 (2023) 2, pp. 1-12
-Saharan African countries (SSAs), particularly Ghana. The weakness in the link between education and the needed skill by the industry … new evidence on the effect of education and skill-language, computer and numeracy skills-on unemployment duration in Ghana … employs Cox's Proportional Hazard Model to examine the effect of education, language, computer and numeracy skill on …
Persistent link: https://www.econbiz.de/10014502799
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Stochastic Volatility III : Volatility Models and Volatility Surfaces
Vanini, Paolo - 2010
We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close...
Persistent link: https://www.econbiz.de/10013142702
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Volatility spillovers for spot, futures, and ETF prices in Energy and Agriculture
Chang, Chia-Lin; Liu, Chia-Ping; McAleer, Michael - 2016 - Revised: June, 2016
Persistent link: https://www.econbiz.de/10011541148