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MODELLING LONG MEMORY VOLATILITY IN AGRICULTURAL COMMODITY FUTURES RETURNS
16 references·4 citing·34 second hop
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References

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437 cited
  • 1992A Class of Nonlinear Arch Models412 cited
  • Cited by

    • 2018Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market33 cited
    • 2014Non-linear volatility dynamics and risk management of precious metals28 cited
    • 2017The volatility of returns from commodity futures: evidence from India22 cited
    • 2016Realized Volatility Forecasting of Agricultural Commodity Futures Using Long Memory and Regime Switching20 cited