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Predictability of aggregated time series

Ellwanger, Reinhard; Snudden, Stephen - 2021

Persistent link: https://www.econbiz.de/10012617693

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Existence of long memory in crude oil and petroleum products : generalised Hurst exponent approach

Tiwari, Aviral Kumar; Umar, Zaghum; Alqahtani, Faisal - In: Research in international business and finance 57 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013332984

Time-frequency co-movements between oil prices and interest rates : evidence from a wavelet-based approach

Mensi, Walid; Ur Rehman, Mobeen; Al-Yahyaee, Khamis Hamed - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012658657

Volatility integration of crude oil, gold, and interest rates on the exchange rate : DCC GARCH and BEKK GARCH applications

Rastogi, Shailesh; Kanoujiya, Jagjeevan; Doifode, Adesh - In: Cogent business & management 11 (2024) 1, pp. 1-17

Literature is replete with evidence of market integration between crude oil, gold and interest rates (IR) with the exchange rate (ER) due to varied reasons. However, it is observed that the explored market integration is limited for the price and return volatilities. Bivariate GARCH models...

Persistent link: https://www.econbiz.de/10014543455