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Forecasting volatilities of oil and gas assets : a comparison of GAS, GARCH, and EGARCH models
Xu, Yingying; Lien, Da-hsiang Donald - In: Journal of forecasting 41 (2022) 2, pp. 259-278
Persistent link: https://www.econbiz.de/10012817733
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Price and volatility transmissions among natural gas, fertilizer, and corn markets : a revisit
Yang, Zhengliang; Du, Xiaoxue; Lu, Liang; Tejeda, Hernan - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-14
In this paper, we revisit price and volatility transmission among natural gas, fertilizer, and corn markets; an … volatility in the commodities, fertilizer, and energy markets. We followed the same methodology as previous work and used the … to November 2021. Moreover, the lagged conditional volatility of corn prices will affect the conditional volatility in …
Persistent link: https://www.econbiz.de/10012888238
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The affine styled-facts price dynamics for the natural gas : evidence from daily returns and option prices
Hsu, Chih-Chen; Chen, An-sing; Lin, Shih-kuei - In: Review of quantitative finance and accounting 48 (2017) 3, pp. 819-848
Persistent link: https://www.econbiz.de/10011796892
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Measuring and testing natural gas and electricity markets volatility : evidence from Alberta' deregulated markets
Serletis, Apostolos (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10003559119
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Is the influence of oil prices changes on oil and gas stock prices in Nigeria symmetric or asymmetric?
Musa, Dasauki; Awolaja, Oladapo Gbenga; Jerry, Kwarbai; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-16
Overdependence on oil revenue has exposed the economy to shocks from oil price variations. In this paper, we investigated the relationship between oil price on the stock prices of oil and gas firms quoted in the Nigerian Stock Exchange market. In doing so, the ARDL and NARDL approach is applied...
Persistent link: https://www.econbiz.de/10014500416
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Impact of Rough Storage on Gas Price Volatility
Li, Yan - 2019
Persistent link: https://www.econbiz.de/10012895310
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The natural gas announcement day puzzle
Prokopczuk, Marcel; Wese Simen, Chardin; Wichmann, Robert - In: The energy journal 42 (2021) 2, pp. 91-111
Persistent link: https://www.econbiz.de/10012605444
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Dynamic volatility transfer in the European oil and gas industry
Huszár, Zsuzsa R.; Kotró, Balázs B.; Tan, Ruth Seow-kuan - In: Energy economics 127 (2023) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10014487986
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Natural gas volatility predictability in a data-rich world
Lu, Fei; Ma, Feng; Li, Pan; Huang, Dengshi - In: International review of financial analysis 83 (2022), pp. 1-15
Persistent link: https://www.econbiz.de/10013454950
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Volatility of clean energy and natural gas, uncertainty indices, and global economic conditions
Wang, Jiqian; Ma, Feng; Bouri, Elie; Zhong, Juandan - In: Energy economics 108 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013203098