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Modeling and forecasting petroleum futures volatility

  • Sadorsky, Perry
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    Article provided by Elsevier in its journal Energy Economics.

    Volume (Year): 28 (2006)
    Issue (Month): 4 (July)
    Pages: 467-488

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    Handle: RePEc:eee:eneeco:v:28:y:2006:i:4:p:467-488
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    11. Pagan, A.R. & Schwert, G.W., 1989. "Alternative Models For Conditional Stock Volatility," Papers 89-02, Rochester, Business - General.
    12. Michael McKenzie & Heather Mitchell, 2002. "Generalized asymmetric power ARCH modelling of exchange rate volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 12(8), pages 555-564.
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    15. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Bossaerts, Peter & Hillion, Pierre, 1999. "Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 405-28.
    17. David Cabedo, J. & Moya, Ismael, 2003. "Estimating oil price 'Value at Risk' using the historical simulation approach," Energy Economics, Elsevier, vol. 25(3), pages 239-253, May.
    18. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    19. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
    20. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    21. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    23. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
    24. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
    25. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
    26. Meade, Nigel, 2002. "A comparison of the accuracy of short term foreign exchange forecasting methods," International Journal of Forecasting, Elsevier, vol. 18(1), pages 67-83.
    27. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
    28. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
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