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Modelling the general dependence between commodity forward curves. (2014). Zolotko, Mikhail ; Okhrin, Ostap.
In: Energy Economics.
RePEc:eee:eneeco:v:43:y:2014:i:c:p:284-296.

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  1. Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol.
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  2. Does the source of oil price shocks matter for the systemic risk?. (2022). Yao, Ting ; Huang, Su-Su ; Liu, Meng-Tian ; Ouyang, Zi-Sheng.
    In: Energy Economics.
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  4. Quantifying Risk in Traditional Energy and Sustainable Investments. (2019). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
    In: Sustainability.
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  5. A Two Factor Forward Curve Model with Stochastic Volatility for Commodity Prices. (2017). Higgins, Mark .
    In: Papers.
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  6. IN SEARCH OF HEDGES AND SAFE HAVENS IN GLOBAL FINANCIAL MARKETS. (2016). Papież, Monika ; Śmiech, Sławomir ; Wanat, Stanisaw .
    In: Statistics in Transition New Series.
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  7. In Search of Hedges and Safe Havens in Global Financial Markets. (2016). Wanat, Stanisław ; Papież, Monika ; Śmiech, Sławomir.
    In: Statistics in Transition new series.
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  8. Modeling dependence structures among international stock markets: Evidence from hierarchical Archimedean copulas. (2015). Yang, Lu ; Hamori, Shigeyuki ; Li, Mengling ; Cai, Xiaojing.
    In: Economic Modelling.
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  9. The conditional dependence structure between precious metals: a copula-GARCH approach. (2014). Wanat, Stanisław ; Śmiech, Sławomir ; Papie, Monika.
    In: MPRA Paper.
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  10. The conditional dependence structure of insurance sector credit default swap indices. (2014). Tamakoshi, Go ; Hamori, Shigeyuki.
    In: The North American Journal of Economics and Finance.
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  45. Risk management in the energy markets and Value-at-Risk modelling: a Hybrid approach. (2012). Andriosopoulos, Kostas ; Nomikos, Nikos .
    In: RSCAS Working Papers.
    RePEc:rsc:rsceui:2012/47.

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  46. The Effect of Crude Oil Price on the Methanol price. (2012). gandali alikhani, nadiya ; Delavari, Majid .
    In: MPRA Paper.
    RePEc:pra:mprapa:49727.

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  47. Evaluation of VaR models forecasting performance: the case of oil markets. (2012). Gallali, Mohamed ; Zahraa, Raggad .
    In: International Journal of Financial Services Management.
    RePEc:ids:ijfsmg:v:5:y:2012:i:3:p:197-215.

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  48. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence. (2012). PEGUIN-FEISSOLLE, Anne ; Chikhi, Mohamed ; Terraza, Michel.
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00793203.

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  49. Modelling and forecasting the volatility of petroleum futures prices. (2012). Yoon, Seong-Min ; Kang, Sanghoon .
    In: EcoMod2012.
    RePEc:ekd:002672:3944.

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  50. Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?. (2012). Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:22:p:5546-5556.

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  51. Volatility persistence in metal returns: A FIGARCH approach. (2012). Odusami, Babatunde ; Cochran, Steven J. ; Mansur, Iqbal.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:64:y:2012:i:4:p:287-305.

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  52. Forecasting energy market volatility using GARCH models: Can multivariate models beat univariate models?. (2012). Wang, Yudong ; Wu, Chongfeng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:6:p:2167-2181.

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  53. A nonparametric GARCH model of crude oil price return volatility. (2012). Suardi, Sandy ; Hou, Aijun .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:2:p:618-626.

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  54. Energy price transmissions during extreme movements. (2012). Joëts, Marc ; Joets, Marc.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2012-38.

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  55. SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence. (2012). PEGUIN-FEISSOLLE, Anne ; Chikhi, Mohamed ; Terraza, Michel.
    In: AMSE Working Papers.
    RePEc:aim:wpaimx:1214.

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  56. Value-at-risk estimation of crude oil price using MCA based transient risk modeling approach. (2011). Yen, Jerome ; Lai, Kin Keung ; He, Kaijian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:903-911.

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  57. Can GARCH-class models capture long memory in WTI crude oil markets?. (2011). Wang, Yudong ; Wu, Chongfeng ; Wei, YU.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:28:y:2011:i:3:p:921-927.

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  58. Forecasting crude oil market volatility: Further evidence using GARCH-class models. (2010). Wang, Yudong ; Huang, Dengshi ; Wei, YU.
    In: Energy Economics.
    RePEc:eee:eneeco:v:32:y:2010:i:6:p:1477-1484.

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