Modelling oil price volatility with structural breaks
暂无分享,去创建一个
[1] P. Narayan,et al. Do demand and supply shocks explain USA’s oil stock fluctuations? , 2011 .
[2] Duc Khuong Nguyen,et al. Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models , 2012 .
[3] Craig M. Lewis,et al. Forecasting Futures Market Volatility , 1993 .
[4] Minh-Vuong Vo,et al. Regime-switching stochastic volatility: Evidence from the crude oil market , 2009 .
[5] Seema Narayan,et al. Modelling oil price volatility , 2007 .
[6] Ruipeng Liu,et al. Are Shocks to Commodity Prices Persistent , 2010 .
[7] Wai Mun Fong,et al. A Markov switching model of the conditional volatility of crude oil futures prices , 2002 .
[8] F. Diebold,et al. Comparing Predictive Accuracy , 1994, Business Cycles.
[9] P. Narayan,et al. The Oil Stock Fluctuations in the United States , 2010 .
[10] H. Ohta,et al. Oil Price Volatility , 2004 .
[11] P. Narayan,et al. Size and power properties of structural break unit root tests , 2011 .
[12] Ai Jun Hou,et al. A Nonparametric GARCH Model of Crude Oil Price Return Volatility , 2012 .
[13] P. Narayan,et al. A new unit root test with two structural breaks in level and slope at unknown time , 2010 .
[14] Claudio Morana,et al. A semiparametric approach to short-term oil price forecasting , 2001 .
[15] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[16] Ulrich Oberndorfer,et al. Energy prices, volatility, and the stock market: Evidence from the Eurozone , 2009 .
[17] Valentina Corradi,et al. Predicting the volatility of the S&P-500 stock index via GARCH models: the role of asymmetries , 2005 .
[18] Yu Wei,et al. Forecasting crude oil market volatility: Further evidence using GARCH-class models , 2010 .
[19] Anders Wilhelmsson,et al. Garch forecasting performance under different distribution assumptions , 2006 .
[20] T. Brailsford,et al. An evaluation of volatility forecasting techniques , 1996 .
[21] M. Vo,et al. OPEC in the Epoch of Globalization: An Event Study of Global Oil Prices , 2007 .
[22] Mark C. Strazicich,et al. Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks , 2003, Review of Economics and Statistics.
[23] Perry Sadorsky,et al. Modeling and forecasting petroleum futures volatility , 2006 .
[24] Seong-Min Yoon,et al. Forecasting volatility of crude oil markets , 2009 .
[25] Olivier Darné,et al. Volatility persistence in crude oil markets , 2014 .
[26] Chris Brooks,et al. Model Choice and Value-at-Risk Performance , 2002 .
[27] Chien-Chiang Lee,et al. Energy prices, multiple structural breaks, and efficient market hypothesis , 2009 .
[28] Afees A. Salisu,et al. Modeling returns and volatility transmission between oil price and US–Nigeria exchange rate , 2013 .
[29] Olivier Darné,et al. The efficiency of the crude oil markets: Evidence from variance ratio tests , 2009 .
[30] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[31] Hsiang-Hsi Liu,et al. A study on the volatility spillovers, long memory effects and interactions between carbon and energy markets: The impacts of extreme weather , 2013 .
[32] Yen-Hsien Lee,et al. Jump dynamics with structural breaks for crude oil prices , 2010 .
[33] Rob J Hyndman,et al. Prediction intervals for exponential smoothing using two new classes of state space models 30 January 2003 , 2003 .
[34] P. Perron,et al. The Great Crash, The Oil Price Shock And The Unit Root Hypothesis , 1989 .
[35] Robin L. Lumsdaine,et al. Multiple Trend Breaks and the Unit-Root Hypothesis , 1997, Review of Economics and Statistics.
[36] Chin W. Yang,et al. An analysis of factors affecting price volatility of the US oil market , 2002 .
[37] P. Narayan,et al. Does electricity consumption panel Granger cause GDP? A new global evidence , 2010 .
[38] Junsoo Lee,et al. Nonrenewable Resource Prices: Deterministic or Stochastic Trends? , 2005 .