Listar por autoría "866d36c4-96df-4a9f-9056-fc6ec4a91e02"
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Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan Elsevier (2016)This paper adopts the Markov-switching multifractal (MSM) model and a battery of generalized autoregressive conditional heteroscedasticity (GARCH)-type models to model and forecast oil price volatility. Extending previous ... -
Forecasting the volatility of the Dow Jones Islamic Stock Market Index: Long memory vs. regime switching
Ben Nasr, Adnen; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, Rangan Elsevier (2016)The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at ... -
Modeling and forecasting the volatility of carbon dioxide emission allowance prices: A review and comparison of modern volatility models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan Elsevier (2017)The launch of the markets for carbon dioxide emission allowances was guided by the aim to use the supposedly efficient price formation mechanism of an organized exchange to optimally allocate a certain quantity of emissions ...