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A Markov switching long memory model of crude oil price return volatility · Study

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ArticleA Markov switching long memory model of crude oil price return volatility

Silvestro Di Sanzo2018

Article2018

A Markov switching long memory model of crude oil price return volatility

Silvestro Di Sanzo

42 citations·0/0 files stored·Energy Economics

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Stock Market Forecasting Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Comparing Predictive Accuracy 1995Comparing Predictive Accuracy 2002Multifractal detrended fluctuation analysis of nonstationary time series

Cited by

2019The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach 2021Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework 2021Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?2019Effective energy commodity risk management: Econometric modeling of price volatility

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Year2018

Typearticle

Published2018-06-26

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations42

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2018.06.015

openalex_workW2809688848

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