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Modeling energy price dynamics: GARCH versus stochastic volatility · Study

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ArticleModeling energy price dynamics: GARCH versus stochastic volatility

Joshua C. C. Chan2015

Article2015

Modeling energy price dynamics: GARCH versus stochastic volatility

Joshua C. C. Chan · Angelia L. Grant

194 citations·0/0 files stored·Energy Economics

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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 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 1997Optimization of computer simulation models with rare events 1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY 2006Modeling and forecasting petroleum futures volatility

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model 2019Spillover network of commodity uncertainties 2018Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models 2021Are there spillovers among China's pilots for carbon emission allowances trading?2020Heterogeneous dependence between crude oil price volatility and China’s agriculture commodity futures: Evidence from quantile-on-quantile regression

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Details

Year2015

Typearticle

Published2015-12-16

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations194

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2015.12.003

openalex_workW3124282140

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