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A Markov switching long memory model of crude oil price return volatility
16 references·4 citing·24 second hop
A Markov switching long memory model of crude oil price return volatility (2018)A Markov switching long memory model of c…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series (2008)Detrended Cross-Correlation A…Multifractal detrended fluctuation analysis of nonstationary time series (2002)Multifractal detrended fluctu…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyComparing Predictive Accuracy (1994)Comparing Predictive AccuracyOn the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Investors’ perspective on forecasting crude oil return volatility: Where do we stand today? (2021)Investors’ perspective on for…Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework (2021)Forecasting the volatility of…The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach (2019)The risk spillovers from the …Effective energy commodity risk management: Econometric modeling of price volatility (2019)Effective energy commodity ri…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A long memory property of stock market returns and a new model (1993)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Introductory Econometrics for Finance (2008)Econometric Analysis of Cross Section and Panel Data (2001)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Physical approach to complex systems (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Testing the equality of prediction mean squared errors (1997)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

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  • 2008Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Nonstationary Time Series

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1,476 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • Cited by

    • 2019The risk spillovers from the Chinese stock market to major East Asian stock markets: A MSGARCH-EVT-copula approach40 cited
    • 2021Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework38 cited
    • 2021Investors’ perspective on forecasting crude oil return volatility: Where do we stand today?35 cited
    • 2019Effective energy commodity risk management: Econometric modeling of price volatility25 cited