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Volatility persistence in crude oil markets · Study

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ArticleVolatility persistence in crude oil markets

Amélie Charles2013

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Articlegreen2013

Volatility persistence in crude oil markets

Amélie Charles · Olivier Darné

86 citations·0/0 files stored·Energy Policy

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Financial Risk and Volatility Modeling Economics of Agriculture and Food Markets Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1994Automatic Lag Selection in Covariance Matrix Estimation 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 1986Modelling the persistence of conditional variances 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1994Autoregressive Conditional Density Estimation

Cited by

2017Forecasting crude-oil market volatility: Further evidence with jumps 2018Brent crude oil prices volatility during major crises 2017Detecting method for crude oil price fluctuation mechanism under different periodic time series 2020Modelling the volatility of crude oil returns: Jumps and volatility forecasts 2021A novel method for online real-time forecasting of crude oil price

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Year2013

Typearticle

Published2013-11-21

VenueEnergy Policy

ISSN-L0301-4215

Languageen

Citations86

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.enpol.2013.10.042

openalex_workW1996614872

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