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True or spurious long memory in volatility: Further evidence on the energy futures markets · Study

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ArticleTrue or spurious long memory in volatility: Further evidence on the energy futures markets

Lanouar Charfeddine2014

Article2014

True or spurious long memory in volatility: Further evidence on the energy futures markets

Lanouar Charfeddine

61 citations·0/0 files stored·Energy Policy

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation 1983Oil and the Macroeconomy since World War II 1993A long memory property of stock market returns and a new model 1994Automatic Lag Selection in Covariance Matrix Estimation

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2019Forecasting oil price volatility using high-frequency data: New evidence 2022Forecasting stock volatility and value-at-risk based on temporal convolutional networks 2016Modeling Time-Varying Correlations in Volatility Between BRICS and Commodity Markets 2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis 2015Evolving efficiency of spot and futures energy markets: A rolling sample approach

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Year2014

Typearticle

Published2014-05-17

VenueEnergy Policy

ISSN-L0301-4215

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.enpol.2014.04.027

openalex_workW2078733552

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