SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns
16 references·7 citing·22 second hop
Modelling time-varying conditional correlations in the volatility of Tapis oil spot and forward returns (2006)Modelling time-varying conditional correl…GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION (2008)GENERALIZED AUTOREGRESSIVE CO…An econometric analysis of asymmetric volatility: Theory and application to patents (2006)An econometric analysis of as…AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY (2005)AUTOMATED INFERENCE AND LEARN…The hedging performance of electricity futures on the Nordic power exchange (2003)The hedging performance of el…ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL (2003)ASYMPTOTIC THEORY FOR A VECTO…Stationarity and the existence of moments of a family of GARCH processes (2002)Stationarity and the existenc…NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS (2002)NECESSARY AND SUFFICIENT MOME…Evaluating the hedging performance of the constant-correlation GARCH model (2002)Evaluating the hedging perfor…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS (1998)STRONG CONSISTENCY OF ESTIMAT…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Crude oil price shocks and hedging performance: A comparison of volatility models (2019)Crude oil price shocks and he…Volatility Spillovers from Australia's major trading partners across the GFC (2016)Volatility Spillovers from Au…Return and volatility interdependences in up and down markets across developed and emerging countries (2015)Return and volatility interde…Linking the gas and oil markets with the stock market: Investigating the U.S. relationship (2015)Linking the gas and oil marke…Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach (2013)Financial Speculation in Ener…Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH (2010)Crude Oil Hedging Strategies …What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns? (2008)What Drives the Dynamic Condi…ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes (2004)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006)Modelling Nonlinear Economic Time Series (2010)On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2011)Recent Theoretical Results for Time Series Models with GARCH Errors (2002)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
  • 1998STRONG CONSISTENCY OF ESTIMATORS FOR MULTIVARIATE ARCH MODELS445 cited
  • 2002Stationarity and the existence of moments of a family of GARCH processes357 cited
  • 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY343 cited
  • 2002NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS288 cited
  • 2006An econometric analysis of asymmetric volatility: Theory and application to patents193 cited
  • 2002Evaluating the hedging performance of the constant-correlation GARCH model

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

178 cited
  • 2008GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION175 cited
  • 2003The hedging performance of electricity futures on the Nordic power exchange111 cited
  • Cited by

    • 2015Linking the gas and oil markets with the stock market: Investigating the U.S. relationship82 cited
    • 2013Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach66 cited
    • 2015Return and volatility interdependences in up and down markets across developed and emerging countries36 cited
    • 2010Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH30 cited
    • 2019Crude oil price shocks and hedging performance: A comparison of volatility models29 cited
    • 2008What Drives the Dynamic Conditional Correlation of Foreign Exchange and Equity Returns?26 cited
    • 2016Volatility Spillovers from Australia's major trading partners across the GFC24 cited