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Volatility analysis of precious metals returns and oil returns: An ICSS approach
16 references·1 citing·40 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1996Energy shocks and financial markets1,099 cited
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  • 2002Testing for causality‐in‐variance: an application to the East Asian markets121 cited
  • 2007Sudden changes in volatility: The case of five central European stock markets96 cited
  • 2003Sudden changes in variance and volatility persistence in foreign exchange markets96 cited

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2003
Modelling Trends and Cycles in Economic Time Series
82 cited
  • 2011The influence of ETFs on the price discovery of gold, silver and oil68 cited
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    • 2023Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian – Ukraine War69 cited