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Discerning trends in international metal prices in the presence of non-stationary volatility

Addison, Tony; Ghoshray, Atanu - 2020

Modelling the underlying long-run trend of metal prices is important, given that selected metals are a source of income for many countries. However, estimating the underlying trend has proven to be difficult, given the persistence and volatility of primary commodity prices-metals are no...

Persistent link: https://www.econbiz.de/10012265553

Discerning trends in international metal prices in the presence of nonstationary volatility

Addison, Tony; Ghoshray, Atanu - In: Resource and energy economics 71 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014251874

Long memory in economics : with 50 tables

Teyssière, Gilles (contributor) - 2006

Persistent link: https://www.econbiz.de/10002123313

Model order reduction in parameter identification problems : error estimates and application to implied volatility surfaces

Schneider, Marina - 2015

Persistent link: https://www.econbiz.de/10011532683

Volatility in the capital markets : state-of-the-art techniques for modeling, managing, and trading volatility

Nelken, Israel (ed.) - 1997

Persistent link: https://www.econbiz.de/10001783628

Testing of binary regime switching models using squeeze duration analysis

Das, Milan Kumar; Goswami, Anindya - In: International journal of financial engineering 6 (2019) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10012028860

A note on the normalized residuals from ARCH and stochastic volatility models

Nelson, Daniel B. - 1990 - Rev

Persistent link: https://www.econbiz.de/10000809491

The ARCH Effect : a model of gradual anticipation for autoregressive conditional heteroskedasticity in asset returns

El Din, Tarek Mohy - 1997

Persistent link: https://www.econbiz.de/10000623956

Modeling volatility dynamics

Diebold, Francis X.; Lopez, Jose A. - 1995

Persistent link: https://www.econbiz.de/10000587223

Modelling long memory in stock market volatility : a fractionally integrated generalised arch approach

Psaradakis, Zacharias; Sola, Martin - 1995

Persistent link: https://www.econbiz.de/10000151421

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