Proper measurement of volatility is vital in financial decisions. Estimating volatility accurately also requires properly capturing the conditional distribution, fat tails and price spikes. In this study, we model the volatility of Natural Gas Futures, Brent Oil Futures and Heating Oil Futures...

Precise modeling and forecasting of the volatility of energy futures is vital to structuring trading strategies in spot markets for risk managers. Capturing conditional distribution, fat tails and price spikes properly is crucial to the correct measurement of risk. This paper is an attempt to...

In the study of economic and financial panel data it is often important to differentiate between time-series and cross-sectional effects. We present two estimation procedures that can do so and illustrate their application by examining international variations in expected equity premia and...