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Extreme value statistics and recurrence intervals of NYMEX energy futures volatility

Xie, Wen-jie; Jiang, Zhi-qiang; Zhou, Wei-xing - In: Economic modelling 36 (2014), pp. 8-17

Persistent link: https://www.econbiz.de/10010412098

On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

Persistent link: https://www.econbiz.de/10009782578

Assessment of density forecast for energy commodities in post-financialization era

Bisht, Deepak; Laha, Arnab Kumar - 2017

Persistent link: https://www.econbiz.de/10011691530

Short-term price density forecasts in the lean hog futures market

Trujillo-Barrera, Andres; García, Philip; Mallory, Mindy L. - In: European review of agricultural economics : ERAE 45 (2018) 1, pp. 121-142

Persistent link: https://www.econbiz.de/10012002612

Predictability of crude oil prices : an investor perspective

Liu, Li; Wang, Yudong; Yang, Li - In: Energy economics 75 (2018), pp. 193-205

Persistent link: https://www.econbiz.de/10011974002

Forecasting the VaR of crude oil market: do alternative distributions help?

Lyu, Yongjian; Wang, Peng; Wei, Yu; Ke, Rui - In: Energy economics 66 (2017), pp. 523-534

Persistent link: https://www.econbiz.de/10011896562

Does crude oil futures price really help to predict spot oil price? : new evidence from density forecasting

Bai, Lan; Li, Xiafei; Wei, Yu; Wei, Guiwu - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3694-3712

Persistent link: https://www.econbiz.de/10013330741

The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test

Bahloul, Walid; Balcilar, Mehmet; Cuñado Eizaguirre, Juncal - In: Journal of multinational financial management 45 (2018), pp. 52-71

Persistent link: https://www.econbiz.de/10012055774

A nonparametric approach to forecasting realized volatility

Clements, Adam; Becker, Ralf - 2009

Persistent link: https://www.econbiz.de/10003880632

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

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