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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - Institut für Volkswirtschaftslehre, … - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10011203171
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011306665
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Modeling and Forecasting Crude Oil Price Volatility: Evidence from Historical and Recent Data
Lux, Thomas; Segnon, Mawuli K.; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10011268875
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10010491278
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Presidential cycles and time-varying bond-stock market correlations : evidence from more than two centuries of data
Demirer, Rıza; Gupta, Rangan - In: Economics letters 167 (2018), pp. 36-39
Persistent link: https://www.econbiz.de/10012015767
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Time-varying correlations between trade balance and stock prices in the United States over the period 1792 to 2013
Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Journal of economics and finance 42 (2018) 4, pp. 795-806
Persistent link: https://www.econbiz.de/10012031147
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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Modeling and forecasting carbon dioxide emission allowance spot price volatility : multifractal vs. GARCH-type volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011296114
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Has the correlation of inflation and stock prices changed in the United States over the last two centuries?
Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Research in international business and finance 42 (2017), pp. 1-8
Persistent link: https://www.econbiz.de/10011747216
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The time-varying correlation between output and prices in the United States over the period 1800-2014
Antonakakis, Nikolaos; Gupta, Rangan; Tiwari, Aviral Kumar - In: Economic systems 41 (2017) 1, pp. 98-108
Persistent link: https://www.econbiz.de/10011793897