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Long memory in commodity futures volatility: A wavelet perspective
16 references·7 citing·38 second hop
Long memory in commodity futures volatility: A wavelet perspective (2007)Long memory in commodity futures volatili…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Chapter 49 Arch models (1994)Chapter 49 Arch modelsTime-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Time-Varying Distributions an…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Storage and Commodity Markets. 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References

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  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures1,528 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1983The origin of predictable behavior1,164 cited
  • 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models1,050 cited
  • 1994Chapter 49 Arch models880 cited
  • 1991Bivariate garch estimation of the optimal commodity futures Hedge729 cited
  • 1992Storage and Commodity Markets.673 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1976A MODEL OF ASSET TRADING UNDER THE ASSUMPTION OF SEQUENTIAL INFORMATION ARRIVAL*

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608 cited
  • 1976A Model of Asset Trading Under the Assumption of Sequential Information Arrival556 cited
  • Cited by

    • 2019Volatility forecasting in commodity markets using macro uncertainty96 cited
    • 2014Linear and non-linear Granger causality between oil spot and futures prices: A wavelet based test81 cited
    • 2009Persistence in some energy futures markets36 cited
    • 2010Long memory and structural breaks in commodity futures markets34 cited
    • 2013On the persistence and volatility in European, American and Asian stocks bull and bear markets31 cited
    • 2012Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market30 cited
    • 2022El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach26 cited