How has volatility in metals markets changed?

DOI10.1016/J.MATCOM.2008.01.015zbMath1152.91739OpenAlexW1975578231MaRDI QIDQ929691

Clinton Watkins, Michael McAleer

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.015

zbMATH Keywords

GARCHvolatility forecastingfutures contractindustrial metalsrolling models

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Stationarity and the existence of moments of a family of GARCH processes.
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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