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Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models. (2010). Mabrouk, Samir ; Aloui, Chaker.
In: Energy Policy.
RePEc:eee:enepol:v:38:y:2010:i:5:p:2326-2339.

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  2. Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Yang, MO ; Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Chang, Jianing.
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  3. Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf.
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  4. Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models. (2023). Chidmi, Benaissa ; al Shammre, Abdullah Sultan.
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  5. Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M.
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  6. Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark.
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  7. Oil price and the automobile industry: Dynamic connectedness and portfolio implications with downside risk. (2023). Kang, Sang Hoon ; Maitra, Debasish ; Jain, Prachi.
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  8. Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo.
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  9. Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L.
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  10. Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019). (2022). Vogl, Markus.
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  11. Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei.
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  12. Spillover effects between commodity and stock markets: A SDSES approach. (2022). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura.
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  13. Time-varying risk analysis for commodity futures. (2022). Ur, Mobeen ; Junior, Peterson Owusu ; Ahmad, Nasir ; Vo, Xuan Vinh.
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  14. Implications of clean energy, oil and emissions pricing for the GCC energy sector stock. (2022). Nasir, Muhammad Ali ; Chaudhuri, Kausik ; Alkathery, Mohammed A.
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  15. Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China. (2022). Do, Hung Xuan ; Thanh, Thao Thac ; Pham, Son Duy.
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  17. Time?varying dynamics of expected shortfall in commodity futures markets. (2021). Auer, Benjamin R ; Mehlitz, Julia S.
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  18. Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique.
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  19. GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks. (2021). Buczyński, Mateusz ; Chlebus, Marcin ; Buczyski, Mateusz.
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  20. Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid.
    In: Eurasian Economic Review.
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  21. Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach. (2021). Morelli, Giacomo ; Candila, Vincenzo ; Andreani, Mila ; Petrella, Lea.
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  22. Modeling Dynamic Multifractal Efficiency of US Electricity Market. (2021). Ferreira, Paulo ; Ali, Haider ; Aslam, Faheem.
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  23. Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. (2021). Chkili, Walid ; Arfaoui, Mongi ; ben Rejeb, Aymen.
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  24. Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. (2021). Verling, Trude Haugsvaer ; Bogaard, Katinka ; Botterud, Audun ; Negash, Ahlmahz ; Fleten, Stein-Erik ; Stein- Erik Fleten, ; Westgaard, Sjur.
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  25. The good, the bad and the ugly relation between oil and commodities: An analysis of asymmetric volatility connectedness and portfolio implications. (2021). Kang, Sang Hoon ; Guhathakurta, Kousik ; Maitra, Debasish.
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  26. Oil price volatility and the logistics industry: Dynamic connectedness with portfolio implications. (2021). Kang, Sanghoon ; Dash, Saumya Ranjan ; Ur, Mobeen ; Maitra, Debasish.
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  27. Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. (2021). Patra, Saswat.
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  28. Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. (2021). Lin, Ling ; Ou, Yangchen ; Jiang, Yong ; Zhou, Zhongbao.
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  29. Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. (2020). Härdle, Wolfgang ; Lessmann, Stefan ; Hardle, Wolfgang Karl ; Lux, Marius.
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  30. Forecasts of Value-at-Risk and Expected Shortfall in the Crude Oil Market: A Wavelet-Based Semiparametric Approach. (2020). Yang, Lu ; Hamori, Shigeyuki.
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  31. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel.
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  32. Jumps in the convenience yield of crude oil. (2020). Wilmot, Neil ; Mason, Charles.
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  33. The (in)efficiency of NYMEX energy futures: A multifractal analysis. (2020). , Igor ; Fernando, .
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  34. Crude oil price forecasting based on a novel hybrid long memory GARCH-M and wavelet analysis model. (2020). Lin, Ling ; Zhou, Zhongbao ; Xiao, Helu ; Jiang, Yong.
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  35. Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B.
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  36. Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models. (2020). Di Iorio, Francesca ; Tamvakis, Michael ; Kyriakou, Ioannis ; Marchese, Malvina.
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  37. Forecasting volatility in the petroleum futures markets: A re-examination and extension. (2020). Shaiban, Mohammed Sharaf ; Hasanov, Akram Shavkatovich ; Al-Freedi, Ajab.
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  38. The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian.
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  39. Taxonomy of commodities assets via complexity-entropy causality plane. (2020). , Fernando ; Fernando, .
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  40. Panel quantile regressions for estimating and predicting the value‐at‐risk of commodities. (2019). Cech, Frantisek ; Baruník, Jozef ; Barunik, Jozef.
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  41. Are the crude oil markets really becoming more efficient over time? Some new evidence. (2019). Krištoufek, Ladislav ; Kristoufek, Ladislav.
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  42. Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2019). Baum, Christopher ; Zerilli, Paola ; Chen, Liyuan.
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  43. Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S.
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  44. Do Long-memory GARCH-type-Value-at-Risk Models Outperform None-and Semi-parametric Value-at-Risk Models?. (2019). Buberkoku, Onder.
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  45. Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Khaki, Audil Rashid ; Gunay, Samet.
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  46. The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava.
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  47. Are the Crude Oil Markets Really Becoming More Efficient over Time? Some New Evidence. (2018). Krištoufek, Ladislav.
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  48. Measuring bank downside systemic risk in Taiwan. (2018). Su, Ender ; Wong, Kai Wen.
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  49. A novel decompose-ensemble methodology with AIC-ANN approach for crude oil forecasting. (2018). Ding, Yishan .
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  50. The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P.
    In: Energy Economics.
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  51. Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan.
    In: Energy Economics.
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  52. Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca.
    In: Energy Economics.
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  53. The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R.
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  54. Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder.
    In: International Journal of Economics and Financial Issues.
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  55. Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications. (2018). Zerilli, Paola ; Chen, Liyuan ; Baum, Christopher.
    In: Boston College Working Papers in Economics.
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  56. Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek.
    In: Papers.
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  57. RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE. (2017). Malik, Muhammad Irfan ; Rashid, Abdul.
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  58. Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs). (2017). .
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  59. Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng.
    In: Energy Economics.
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  60. Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro.
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  61. Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Tang, Bao-Jun ; Mi, Zhifu ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang.
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  62. Managing Energy Price Risk using Futures Contracts: A Comparative Analysis. (2017). Hanly, Jim.
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  63. Oil price volatility forecast with mixture memory GARCH. (2016). Walther, Thomas ; Klein, Tony.
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  65. GARCH modeling of five popular commodities. (2015). Chan, Stephen ; Nadarajah, Saralees ; Afuecheta, Emmanuel.
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  66. Gold-oil prices co-movements and portfolio diversification implications. (2015). Chkili, Walid.
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  67. Volatility forecasting and risk management in some MENA stock markets: a nonlinear framework. (2015). Aloui, Chaker.
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  68. Evaluation Approaches of Value at Risk for Tehran Stock Exchange. (2015). Mohammadi, Shapour ; Mehrara, Mohsen ; Adabi, Bagher.
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  69. Does the choice of performance measure influence the evaluation of commodity investments?. (2015). Auer, Benjamin R..
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  70. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette.
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  71. Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach. (2015). Mokni, Khaled ; Youssef, Manel ; Belkacem, Lotfi.
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  72. Global factors driving structural changes in the co-movement between sharia stocks and sukuk in the Gulf Cooperation Council countries. (2015). Hammoudeh, Shawkat ; Aloui, Chaker ; ben Hamida, Hela .
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  73. Stress-testing for portfolios of commodity futures. (2015). Paraschiv, Florentina ; AndrieÈ™, Alin Marius ; Mudry, Pierre-Antoine .
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  74. Gold–oil prices co-movements and portfolio diversification implications. (2015). Chkili, Walid.
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  75. Value-at-risk Predictions of Precious Metals with Long Memory Volatility Models. (2014). Ulusoy, Veysel ; demiralay, sercan.
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  76. Volatility spillovers and macroeconomic announcements evidence from crude oil markets. (2014). Lahiani, Amine ; Guesmi, Khaled ; Belgacem, Aymen ; Creti, Anna.
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  77. Instabilities in the relationships and hedging strategies between crude oil and US stock markets: do long memory and asymmetry matter?. (2014). Aloui, Chaker.
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  79. Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory. (2014). Nguyen, Duc Khuong ; Hammoudeh, Shawkat ; Chkili, Walid.
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  80. Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate. (2014). Yoon, Seong-Min ; Mensi, walid ; Hammoude, Shawkat .
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  81. Instabilities in the relationships and hedging strategies between crude oil and US stock markets: Do long memory and asymmetry matter?. (2014). Nguyen, Duc Khuong ; Chkili, Walid ; Aloui, Chaker.
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  27. Testing the weak-form efficiency of the WTI crude oil futures market. (2012). Zhou, Wei-Xing ; Jiang, Zhi-Qiang ; Xie, Wen-Jie.
    In: Papers.
    RePEc:arx:papers:1211.4686.

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  28. Measuring capital market efficiency: Global and local correlations structure. (2012). Vošvrda, Miloslav ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Vosvrda, Miloslav .
    In: Papers.
    RePEc:arx:papers:1208.1298.

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  29. Long-term correlations and multifractal nature in the intertrade durations of a liquid Chinese stock and its warrant. (2011). Zhou, Wei-Xing ; Ruan, Yong-Ping .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:9:p:1646-1654.

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  30. Multifractal analysis of the Korean agricultural market. (2011). Oh, Gabjin ; Kim, Seunghwan .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:23:p:4286-4292.

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  31. A copula–multifractal volatility hedging model for CSI 300 index futures. (2011). Wang, Yudong ; Huang, Dengshi ; Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:23:p:4260-4272.

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  32. A study of correlations between crude oil spot and futures markets: A rolling sample test. (2011). Wan, Jieqiu ; Liu, LI.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:21:p:3754-3766.

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  33. Multifractal detrending moving average analysis on the US Dollar exchange rates. (2011). Wang, Yudong ; Wu, Chongfeng ; Pan, Zhiyuan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:20:p:3512-3523.

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  34. Forecasting volatility in Shanghai and Shenzhen markets based on multifractal analysis. (2011). Wu, Chongfeng ; Chen, Hongtao .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:16:p:2926-2935.

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  35. Are European equity markets efficient? New evidence from fractal analysis. (2011). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:2:p:59-67.

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  36. Multiscale entropy analysis of crude oil price dynamics. (2011). Rodriguez, Eduardo ; Escarela-Perez, Rafael ; Alvarez-Ramirez, Jose ; Martina, Esteban .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:936-947.

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  37. Multifractal spectrum analysis of nonlinear dynamical mechanisms in China’s agricultural futures markets. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:7:p:1434-1444.

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  38. Are developed and emerging agricultural futures markets multifractal? A comparative perspective. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:18:p:3828-3836.

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  39. Are crude oil markets multifractal? Evidence from MF-DFA and MF-SSA perspectives. (2010). He, Ling-Yun ; Chen, Shu-Peng .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:16:p:3218-3229.

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  40. Multifractal analysis on international crude oil markets based on the multifractal detrended fluctuation analysis. (2010). Wang, Yudong ; Chen, Hongtao ; Gu, Rongbao .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:14:p:2805-2815.

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  41. Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models. (2010). Mabrouk, Samir ; Aloui, Chaker.
    In: Energy Policy.
    RePEc:eee:enepol:v:38:y:2010:i:5:p:2326-2339.

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  42. Crude oil market efficiency and modeling: Insights from the multiscaling autocorrelation pattern. (2010). Alvarez, Jesus ; Solis, Ricardo ; Alvarez-Ramirez, Jose .
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:993-1000.

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  43. Is WTI crude oil market becoming weakly efficient over time?: New evidence from multiscale analysis based on detrended fluctuation analysis. (2010). Wang, Yudong ; Liu, LI.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:5:p:987-992.

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  44. The efficiency of the crude oil markets: Evidence from variance ratio tests. (2009). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Post-Print.
    RePEc:hal:journl:hal-00771081.

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  45. Unifractality and multifractality in the Italian stock market. (2009). Onali, Enrico ; Goddard, John.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:4:p:154-163.

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  46. The efficiency of the crude oil markets: Evidence from variance ratio tests. (2009). Darné, Olivier ; CHARLES, Amelie ; Darne, Olivier.
    In: Energy Policy.
    RePEc:eee:enepol:v:37:y:2009:i:11:p:4267-4272.

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  47. Multifractal analysis of Chinese stock volatilities based on the partition function approach. (2008). Zhou, Wei-Xing ; Jiang, Zhi-Qiang.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:19:p:4881-4888.

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  48. Short-term predictability of crude oil markets: A detrended fluctuation analysis approach. (2008). Rodriguez, Eduardo ; Alvarez-Ramirez, Jose .
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:5:p:2645-2656.

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  49. A generalized pattern matching approach for multi-step prediction of crude oil price. (2008). Wei, Yi-Ming ; Liang, Qiang ; Fan, Ying.
    In: Energy Economics.
    RePEc:eee:eneeco:v:30:y:2008:i:3:p:889-904.

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  50. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility. (2007). Tabak, Benjamin ; Cajueiro, Daniel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:29:y:2007:i:1:p:28-36.

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