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On the relationship between the prices of oil and the precious metals : revisiting with a multivariate regime-switching decision tree

Charlot, Philippe; Marimoutou, Vêlayoudom - In: Energy economics 44 (2014), pp. 456-467

Persistent link: https://www.econbiz.de/10010457143

The non-linear trade-off between return and risk : a regime-switching multi-factor framework

Cotter, John; Salvador, Enrique - 2014

Persistent link: https://www.econbiz.de/10010465672

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011297653

Forecasting volatility of wind power production

Shen, Zhiwei; Ritter, Matthias - 2015

weather conditions. To account for the uncertainty in predicting wind power production, this article examines the volatility …-switching GARCH (MRS-GARCH) model on forecasting volatility of wind power. The realized volatility, which is derived from lower …-scale data, serves as a benchmark for the latent volatility. We find that the MRS-GARCH model significantly outperforms …

Persistent link: https://www.econbiz.de/10010529342