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Energy Economics, ISSN 0140-9883, 2010, Volume 32, Issue 5, pp. 1001 - 1008
We examine the usefulness of several ARIMA-GARCH models for modeling and forecasting the conditional mean and volatility of weekly crude oil spot prices in... 
Crude oil prices | APARCH | ARIMA | FIGARCH | GARCH | EGARCH | Forecasting | ELECTRICITY PRICES | HETEROSCEDASTICITY | RATES | ECONOMICS | VARIANCE | VOLATILITY | HETEROSKEDASTICITY | APARCH ARIMA EGARCH FIGARCH Forecasting GARCH Crude oil prices | Petroleum industry | Spot market | Models
Journal Article
Journal of Business & Economic Statistics, ISSN 0735-0015, 04/2016, Volume 34, Issue 2, pp. 269 - 287
We introduce the realized exponential GARCH model that can use multiple realized volatility measures for the modeling of a return series. The model specifies... 
Leverage effect | EGARCH | High-frequency data | Realized variance | RETURNS | RANGE-BASED ESTIMATION | ARCH | STATISTICS & PROBABILITY | MICROSTRUCTURE NOISE | ESTIMATOR | QMLE | CONDITIONAL HETEROSKEDASTICITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | VARIANCE
Journal Article
Computational Statistics and Data Analysis, ISSN 0167-9473, 08/2014, Volume 76, pp. 20 - 33
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel... 
Yields | Sovereign ratings | Volatility | Optimal portfolio | Stock market returns | Risk management | EGARCH | Financial gain | Value-at-risk | SPILLOVERS | STATISTICS & PROBABILITY | COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS | DEFAULT SWAP | CONDITIONAL HETEROSKEDASTICITY | NEWS | LINKAGES | Evaluation | Financial markets | Government securities | Credit ratings | Risk | Markets | Raw materials | Statistics | Bonding | Gain | Ratings
Journal Article
Journal of Applied Probability, ISSN 0021-9002, 12/2007, Volume 44, Issue 4, pp. 960 - 976
In this paper we introduce an exponential continuous-time GARCH(p, q) process. It is defined in such a way that it is a continuous-time extension of the... 
Stochastic volatility | Stationarity | Exponential continuous-time GARCH process | Leverage effect | EGARCH | Levy process | 60G12 | 60G10 | Lévy process | leverage effect | 91B70 | 91B84 | stationarity | stochastic volatility
Journal Article
Applied Financial Economics, ISSN 0960-3107, 11/2014, Volume 24, Issue 21, pp. 1367 - 1373
We analyse the performance characteristics of sustainable investments over the period 2004 to 2013. Our unconditional analysis shows that the sustainable... 
economic policy uncertainty | performance | EGARCH | sustainable investments
Journal Article
Applied Economics Letters, ISSN 1350-4851, 11/2019, Volume 26, Issue 20, pp. 1705 - 1708
This article develops an autoregressive distributed lag-exponential GARCH (ARDL-EGARCH) model to explore the formation mechanism of covered profits from the... 
ARDL-EGARCH | forex swap premiums | Covered arbitrage | shock response | covered profits | ARDL–EGARCH | MARKET | INTEREST ARBITRAGE | ECONOMICS | Profits | Economic models | Money | Premiums | Clustering | Volatility
Journal Article
Energy Economics, ISSN 0140-9883, 2009, Volume 31, Issue 5, pp. 789 - 799
In this paper we develop a two regime Markov-switching EGARCH model introduced by Henry [Henry, O., 2009. Regime switching in the relationship between equity... 
International crises | Oil shocks | Stock markets | Markov-switching EGARCH model | BUSINESS-CYCLE | RETURNS | RISK | MODEL | MACROECONOMY | CONDITIONAL HETEROSKEDASTICITY | TIME-SERIES | UNIT-ROOT | ECONOMICS | PRICE SHOCKS | VOLATILITY | Markov-switching EGARCH model Oil shocks Stock markets International crises | Management science | Petroleum industry | Stocks
Journal Article
Review of Quantitative Finance and Accounting, ISSN 0924-865X, 10/2019, Volume 53, Issue 3, pp. 701 - 720
This paper disentangles oil volatility risk to two components. The first component is attributed to crude oil, while the second is related to gasoline. This... 
Volatility | Finance | G13 | Q40 | Industry | Sequential information hypothesis | Corporate Finance | Crude oil | Accounting/Auditing | Operations Research/Decision Theory | Gasoline | Realized-EGARCH | Econometrics | EGARCH | Crude oil prices | Hypotheses | Stock exchanges | Securities markets | Petrol | Markets | Sequential information | Petroleum | Portfolios
Journal Article
淮南师范学院学报, ISSN 1009-9530, 2017, Volume 19, Issue 4, pp. 58 - 61
Journal Article
Studies in Business and Economics, ISSN 1842-4120, 08/2018, Volume 13, Issue 2, pp. 31 - 40
The effect of oil price volatility on the business cycle (measured as fluctuations in real GDP) in Nigeria is investigated, while controlling for effects of... 
EGARCH | Business Cycle | Oil Price Volatility
Journal Article
International Journal of Approximate Reasoning, ISSN 0888-613X, 04/2015, Volume 59, Issue C, pp. 81 - 104
Journal Article
Energy Economics, ISSN 0140-9883, 03/2015, Volume 48, pp. 46 - 60
This paper investigates the influence of structural changes on the asymmetry of volatility spillovers, asset allocation and portfolio diversification between... 
Asymmetric volatility spillovers | Structural breaks | Petroleum markets | Multivariate-DCC–EGARCH | USD/euro exchange rate | Dynamic hedge ratios | Multivariate-DCC-EGARCH | MODELING OIL PRICE | RETURNS | CRUDE-OIL | DEPENDENCE | COMOVEMENTS | FUTURES | TIME-SERIES | UNIT-ROOT | DOLLAR | ECONOMICS | VARIANCE | Analysis | Hedging (Finance)
Journal Article
Economics Letters, ISSN 0165-1765, 12/2017, Volume 161, pp. 52 - 55
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH)... 
Leverage | Asymmetry | EGARCH | Regularity condition | Conditional volatility models | Random coefficient complex nonlinear moving average process | ECONOMICS | Stochastic processes | Analysis
Journal Article
Energy Economics, ISSN 0140-9883, 2011, Volume 33, Issue 1, pp. 99 - 110
Journal Article
Procedia Computer Science, ISSN 1877-0509, 2014, Volume 31, pp. 175 - 183
The future market in china has been developed for 20 years and now it enters its golden age. New futures contract has accelerated to be listed for trading and... 
volatility | new contract | futures | EGARCH | New contract | Futures | Volatility
Journal Article
商情, ISSN 1673-4041, 2014, Issue 12, pp. 90 - 90
本文利用GARCH的一些扩展模型对黄金价格进行分析,采用相关的模型,我们发现黄金市场有别于股票市场的一些特点,一是黄金市场可能并不存在“高风险高收益”的特征,二是并没有呈现出太明显的“非对称效应”。 
GARCH—M | EGARCH | 黄金
Journal Article
Economics Bulletin, 03/2008, Volume 7, Issue 5
Journal Article
Journal of Forecasting, ISSN 0277-6693, 11/2014, Volume 33, Issue 7, pp. 515 - 531
ABSTRACTThis paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models,... 
value at risk | GARCH, EGARCH and regime‐switching models | skewed distributions | extreme value theory | risk measures | Skewed distributions | Value at risk | GARCH | Extreme value theory | EGARCH and regime-switching models | Risk measures | SKEWNESS | RATES | MANAGEMENT | RISK | ECONOMICS
Journal Article
Journal of Empirical Finance, ISSN 0927-5398, 09/2016, Volume 38, pp. 575 - 589
A test for time-varying correlation is developed within the framework of a dynamic conditional score (DCS) model for both Gaussian and Student t-distributions.... 
Time-varying covariance matrices | Lagrange multiplier test | Dynamic conditional score | EGARCH | Portmanteau test | EGARCH Lagrange multiplier test | BUSINESS, FINANCE | MODELS | ECONOMICS | PARAMETERS
Journal Article
时代金融, ISSN 1672-8661, 2017, Issue 17, p. 6
Journal Article
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