Research graph
References from A Markov switching model of the conditional volatility of crude oil futures prices. Local targets link to admitted publications; unresolved targets remain external evidence.
Stock returns and volatility
10.2307/2330824 · 1990 · External reference
Generalised autoregressive conditional heteroskedasticity
10.1016/0304-4076(86)90063-1 · 1986 · External reference
ARCH modelling in finance: a review of the theory and empirical evidence
10.1016/0304-4076(92)90064-x · 1992 · External reference
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
10.1080/07474939208800229 · 1992 · External reference
A Markov model of switching-regime ARCH
10.2307/1392087 · 1994 · External reference
Volatility persistence and stock valuations: some empirical evidence using GARCH
10.1002/jae.3950030404 · 1988 · External reference
Hypothesis testing when a nuisance parameter is present only under the alternative
10.2307/2335690 · 1977 · External reference
Hypothesis testing when a nuisance parameter is present only under the alternative
1987 · External reference
Modelling the persistence of conditional variance: a comment
10.1080/07474938608800096 · 1986 · External reference
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
10.2307/1912773 · 1982 · External reference
Modelling the persistence of conditional variance
10.1080/07474938608800095 · 1986 · External reference
Business cycles and the behavior of metals prices
10.2307/2328207 · 1988 · External reference
Commodity futures prices: some evidence on forecast power, premiums and the theory of storage
10.1086/296385 · 1988 · External reference
Volatility persistence and switching ARCH in Japanese stock returns
10.1023/a:1009694124933 · 1997 · External reference
Expected stock returns and volatility
10.1016/0304-405x(87)90026-2 · 1987 · External reference
The benefits of dynamically hedging the Toronto 35 stock index
10.1111/j.1936-4490.1997.tb00119.x · 1997 · External reference
Asymptotic null distribution of the likelihood ratio test in Markov switching models
10.2307/2527399 · 1997 · External reference
Unresolved reference
1995 · External reference
Unresolved reference
External reference
Modelling the conditional distribution of interest rates as a regime switching process
10.1016/0304-405x(96)00875-6 · 1996 · External reference
A new approach to the economic analysis of non-stationary time series and the business cycle
10.2307/1912559 · 1989 · External reference
Autoregressive conditional heteroskedasticity and changes in regime
10.1016/0304-4076(94)90067-1 · 1994 · External reference
The likelihood ratio test under non-standard conditions: testing the Markov switching model of GNP
10.1002/jae.3950070506 · 1992 · External reference
Unresolved reference
External reference
Persistence in variance, structural change, and the GARCH model
10.2307/1391985 · 1990 · External reference
Backwardation in oil futures markets: theory and empirical evidence
10.2307/2329325 · 1995 · External reference
Conditional heteroskedasticity in asset returns: a new approach
10.2307/2938260 · 1991 · External reference
Fundamentals and volatility: storage, spreads, and the dynamics of metal prices
10.1086/296630 · 1994 · External reference
Proof that properly anticipated prices fluctuate randomly
1965 · External reference
Maturity effects in energy futures
10.1016/0140-9883(92)90008-2 · 1992 · External reference
Unresolved reference
1994 · External reference
Unresolved reference
External reference
A note on volatility and pricing of futures options during choppy markets
10.1002/fut.3990070309 · 1987 · External reference
Unresolved reference
1991 · External reference
