Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics
Reference78 articles.
1. Volatility in crude oil futures: a comparison of the predictive ability of GARCH and implied volatility models;Agnolucci;Energy Econ.,2009
2. Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models;Arouri;Energy Econ.,2012
3. Coherent measures of risk;Artzner;Math. Financ.,1999
4. Modeling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach;Baillie;J. Econ. Dyn. Control.,2009
5. Fractionally integrated generalized autoregressive conditional heteroskedasticity;Baillie;J. Econ.,1996
Cited by 39 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A novel link prediction model for interval-valued crude oil prices based on complex network and multi-source information;Applied Energy;2024-12
2. Does mixed frequency variables help to forecast value at risk in the crude oil market?;Resources Policy;2024-01
3. Using the VaR Model to Study Basis Risk in Stock Index Futures: Evidence from the Chinese Futures Market;Operations Research and Fuzziology;2024
4. Long memory and structural breaks of cryptocurrencies trading volume;Eurasian Economic Review;2023-10-16
5. A multisource data‐driven combined forecasting model based on internet search keyword screening method for interval soybean futures price;Journal of Forecasting;2023-09-29
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3