This paper aims to select the best model or set of models for modelling volatility of the four
most popular cryptocurrencies, ie Bitcoin, Ethereum, Ripple and Litecoin. More than 1000 …

This paper examines the dynamic frequency co-movements and volatility spillovers between
crude oil, gas oil, gasoline, heating oil, and natural gas futures markets during the global …

We use a general Markov switching model to examine the relationships between returns
over three different asset classes: financial assets (US stocks and Treasury bonds) …

In this paper, we forecast energy market volatility using both univariate and multivariate
GARCH-class models. First, we forecast volatilities of individual assets and find that …

Using monthly data between 1970 and 2013, we provide a comprehensive analysis of the
extent of co-movement (measured by correlation coefficients) among the nominal price …

This study investigates the time-varying volatility of two major crude oil markets, the West
Texas Intermediate (WTI) and Europe Brent. A flexible autoregressive conditional …

This paper examines the impact of the firm specific factors on the use of foreign exchange
and interest rate derivative instruments for Malaysian firms. We find that firms' foreign sales …

This paper is aimed on the analysis of monthly spot oil prices (WTI) between 1986 and 2015.
The methodology is based on Dynamic Model Averaging (DMA) and Dynamic Model …

In this paper we investigate different VaR forecasts for daily energy commodities returns
using GARCH, EGARCH, GJR-GARCH, Generalized Autoregressive Score (GAS) and the …

This paper investigates out-of-sample performance of the naïve hedging strategy relative to
that of the minimum variance hedging strategy, in which the covariance parameters are …