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The time-varying and asymmetric dependence between crude oil spot and futures markets : evidence from the mixture copula-based ARJI-GARCH model

Chang, Kuang-liang - In: Economic modelling 29 (2012) 6, pp. 2298-2309

Persistent link: https://www.econbiz.de/10009673749

Does crude oil price play an important role in explaining stock return behavior?

Chang, Kuang-liang; Yu, Shih-ti - In: Energy economics 39 (2013), pp. 159-168

Persistent link: https://www.econbiz.de/10010234976

Forecasting trading-session return volatility in Taiwan futures market : a periodic regime switching with jump approach

Lai, Yi-Hao; Wang, Yi-Chiuan; Chang, Yu Ching - In: Asia Pacific financial markets 31 (2024) 2, pp. 285-305

Persistent link: https://www.econbiz.de/10014548365

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080