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Daily seasonality in crude oil returns and volatilities
16 references·4 citing·25 second hop
Daily seasonality in crude oil returns and volatilities (2014)Daily seasonality in crude oil returns an…Robust performance hypothesis testing with the Sharpe ratio (2008)Robust performance hypothesis…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Energy shocks and financial markets (1996)Energy shocks and financial m…Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Threshold heteroskedastic models (1994)Threshold heteroskedastic mod…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…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Estimating Time Varying Risk …Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Mutual Fund Performance (1966)Mutual Fund PerformanceOn time-varying predictability of emerging stock market returns (2016)On time-varying predictabilit…Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach (2015)Selecting dynamic moving aver…On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations (2015)On the performance of simple …Weekend gold returns in bull and bear markets (2012)Weekend gold returns in bull …Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Distribution of Realized Exchange Rate Volatility (2001)The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)Stock Returns and the Term Structure (1985)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)The variation of certain speculative prices (1997)The Pricing of Options and Corporate Liabilities (1973)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Emerging equity market volatility (1997)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 1966Mutual Fund Performance3,932 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 1994Threshold heteroskedastic models2,294 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2008Robust performance hypothesis testing with the Sharpe ratio946 cited

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  • 1995Oil Shocks and the Macroeconomy: The Role of Price Variability*914 cited
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    • 2015Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach37 cited
    • 2012Weekend gold returns in bull and bear markets30 cited
    • 2016On time-varying predictability of emerging stock market returns28 cited
    • 2015On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations26 cited