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Daily seasonality in crude oil returns and volatilities · Study

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ArticleDaily seasonality in crude oil returns and volatilities

Benjamin Rainer Auer2014

Article2014

Daily seasonality in crude oil returns and volatilities

Benjamin Rainer Auer

35 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1966Mutual Fund Performance 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 2006Analysis of Financial Time Series 1994Threshold heteroskedastic models

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2015Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach 2012Weekend gold returns in bull and bear markets 2016On time-varying predictability of emerging stock market returns 2015On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations

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Year2014

Typearticle

Published2014-02-22

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations35

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2014.02.005

openalex_workW2014384629

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