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Kim, Joocheol; Kim, Hyun-Oh - In: Global economic review 43 (2014) 3, pp. 269-284

Persistent link: https://www.econbiz.de/10010509739

Semiparametric GARCH via Bayesian model averaging

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Estimating and testing skewness in a stochastic volatility model

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Oil price forecasting using crack spread futures and oil exchange traded funds

Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary economics 9 (2015) 1, pp. 29-44

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Persistent link: https://www.econbiz.de/10010520870

Exploring the priced factors in ICAPM in Japan

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Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations

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Dynamic hedging strategy in incomplete market : evidence from Shanghai fuel oil futures market

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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data

Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012665455

Big data analysis of volatility spillovers of brands across social media and stock markets

Dieijen, Myrthe van; Borah, Abhishek; Tellis, Gerard J.; … - In: Industrial marketing management : the international … 88 (2020), pp. 465-484

Persistent link: https://www.econbiz.de/10012285387

Dependences and volatility spillovers between the oil and stock markets: new evidence from the copula and VAR-BEKK-GARCH models

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