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Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10010488966
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An analysis of dependency of stock markets after unlimited QE announcements during COVID-19 pandemic
Ornanong Puarattanaarunkorn; Kittawit Autchariyapanitkul; … - In: Asian journal of economics and banking : AJEB 7 (2023) 3, pp. 310-332
/methodology/approach - The copula-based GARCH (1,1) and minimum spanning tree models are used in this study to analyze 14 series of stock market … pandemic. Moreover, the study fills the literature gap by combining the copula-based GARCH and the minimum spanning tree models …
Persistent link: https://www.econbiz.de/10014445508
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SRISK : a conditional capital shortfall measure of systemic risk
Brownlees, Christian; Engle, Robert F. - 2017
We introduce SRISK to measure the systemic risk contribution of a financial firm. SRISK measures the capital shortfall of a firm conditional on a severe market decline, and is a function of its size, leverage and risk. We use the measure to study top US financial institutions in the recent...
Persistent link: https://www.econbiz.de/10011975954
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Forecasting global flows
Skriner, Edith - 2007
The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a comovement among oil consumption and global output. Therefore,...
Persistent link: https://www.econbiz.de/10011347054
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Forecasting global flows
Skriner, Edith - 2007
The theory suggests that investment activities and monetary policy influence the development of the global business cycle. The oil price and other raw material prices also play a key role in the economic development and there is a co-movement among oil consumption and global output. Therefore,...
Persistent link: https://www.econbiz.de/10009736654
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Forecasting global flows
Skriner, Edith - 2008
Persistent link: https://www.econbiz.de/10003819837
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Forecasting global flows
Skriner, Edith - 2007
Persistent link: https://www.econbiz.de/10003492413
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A characterization of oil price behavior : evidence from jump models
Gronwald, Marc - 2011
GARCH in order to characterize the behavior of daily, weekly as well as monthly oil prices. Secondly, it relates its … characterized by GARCH as well as conditional jump behavior and that a considerable portion of the total variance is triggered by … ; conditional jumps ; GARCH ; Hotelling ; climate change ; deterministic trend …
Persistent link: https://www.econbiz.de/10009377786
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Stable mixture GARCH models
Broda, Simon A.; Haas, Markus; Krause, Jochen; … - 2011
, ICA, GARCH, Mixtures, Portfolio Selection, Stable Paretian Distribution, Value-at-Risk …
Persistent link: https://www.econbiz.de/10009313940
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Analysing oil price- macroeconomic volatility in Nigeria
Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22
paper employed GARCH model and its variants (GARCH-M, EGARCH and TGARCH) with daily, monthly and quarterly data. The … oil price) are highly volatile; the asymmetric models (TGARCH and EGARCH) outperform the symmetric models (GARCH (1 1) and … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is …
Persistent link: https://www.econbiz.de/10011460195