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Estimating Volatility Persistence in Oil Prices Under Structural Breaks
16 references·0 citing·33 second hop
Estimating Volatility Persistence in Oil Prices Under Structural Breaks (2010)Estimating Volatility Persistence in Oil …Striking oil: Another puzzle? (2008)Striking oil: Another puzzle?Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…What is an Oil Shock? (2000)What is an Oil Shock?Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Oil and the Stock Markets (1996)Oil and the Stock MarketsModeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…THE GARCH OPTION PRICING MODEL (1995)THE GARCH OPTION PRICING MODELUse of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Use of Cumulative Sums of Squ…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Persistence in Variance, Structural Change, and the GARCH Model (1990)Persistence in Variance, Stru…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Oil and the Macroeconomy since World War II (1983)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)The Economic Effects of Energy Price Shocks (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Policy Uncertainty and Corporate Investment (2015)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil prices, US stock return, and the dependence between their quantiles (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)
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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
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
  • 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
  • 1995THE GARCH OPTION PRICING MODEL1,131 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 2008Striking oil: Another puzzle?616 cited

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2004
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
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