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Omid Faseli
Pág. 80 - 87
Abnormal volatility has a damaging effect on the macroeconomy and is seen as a measure of risk in asset and commodity markets. This investigation had the aim to analyze the supposed transatlantic volatility inducing effect of the most prominent scheduled...
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Onder Buberkoku
Pág. 36 - 50
This study examines the out-of-sample value-at-risk forecasting performance of the GARCH, FIGARCH, HYGARCH and FIAPARCH models for West Texas intermediate crude oil, Europe Brent crude oil, heating oil#2, propane and New York Harbour Conventional Gasolin...
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Taiyong Li, Zhenda Hu, Yanchi Jia, Jiang Wu and Yingrui Zhou
Crude oil is one of the most important types of energy and its prices have a great impact on the global economy. Therefore, forecasting crude oil prices accurately is an essential task for investors, governments, enterprises and even researchers. However...
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Bettina Lis,Christian Nessler,Jan Retzmann
Pág. 190 - 200
In this paper we are testing whether the impact of oil prices is different on the overall market and automotive companies. In addition we investigate, if this relationship is nonlinear. For this we use stock return data of US, German and Japanese car com...
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