SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Modeling and forecasting the oil volatility index
16 references·0 citing·42 second hop
Modeling and forecasting the oil volatility index (2019)Modeling and forecasting the oil volatili…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…What is an Oil Shock? (2000)What is an Oil Shock?The Investor Fear Gauge (2000)The Investor Fear GaugeLong memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)The VIX, the variance premium and stock market volatility (2014)Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)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)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)The Pricing of Options and Corporate Liabilities (1973)5 Stochastic volatility (1996)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)Random matrix approach to cross correlations in financial data (2002)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2000What is an Oil Shock?2,194 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2006Oil price risk and emerging stock markets932 cited
  • 1995Oil Shocks and the Macroeconomy: The Role of Price Variability*914 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

1998
Long memory in continuous‐time stochastic volatility models
752 cited

Cited by

No citing works inside the corpus for this window.