Copertina

Predicting the volatility of major energy commodity prices: the dynamic persistence model

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Barunik, Jozef, Vacha, Lukas
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	General Finance Applications
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

The Dynamic Persistence of Economic Shocks
di: Barunik, Jozef, et al.
Pubblicazione: (2023)

Risks of heterogeneously persistent higher moments
di: Barunik, Jozef, et al.
Pubblicazione: (2021)

Tailoring Portfolio Choice via Quantile-Targeted Policies
di: Barunik, Jozef, et al.
Pubblicazione: (2025)

Deep Learning, Predictability, and Optimal Portfolio Returns
di: Babiak, Mykola, et al.
Pubblicazione: (2020)

Common Idiosyncratic Quantile Factors and Asset Prices
di: Barunik, Jozef, et al.
Pubblicazione: (2022)

Volatility Shocks and Currency Returns
di: Babiak, Mykola, et al.
Pubblicazione: (2021)

Skewness Dispersion and Stock Market Returns
di: Babiak, Mykola, et al.
Pubblicazione: (2026)

When David becomes Goliath: Repo dealer-driven bond mispricing
di: Canon, Carlos, et al.
Pubblicazione: (2026)

Forecasting stock return distributions around the globe with quantile neural networks
di: Barunik, Jozef, et al.
Pubblicazione: (2024)

Kladia Liquidity Deflator (KLD): A Debt-Indexed Deflationary Token on XRPL
di: Firouzi, Kiarash, et al.
Pubblicazione: (2026)

Detecting Consumers' Financial Vulnerability using Open Banking Data: Evidence from UK Payday Loans
di: Medina-Olivares, Victor, et al.
Pubblicazione: (2023)

A New Framework to Estimate Return on Investment for Player Salaries in the National Basketball Association
di: Lautier, Jackson P.
Pubblicazione: (2023)

Multifactor CES General Equilibrium: Models and Applications
di: Kim, Jiyoung, et al.
Pubblicazione: (2016)

High-Throughput Asset Pricing
di: Chen, Andrew Y., et al.
Pubblicazione: (2023)

Log-Ergodic Dynamics in Stochastic Monetary Velocity: Theoretical Insights and Economic Implications
di: Firouzi, Kiarash, et al.
Pubblicazione: (2024)

Missing Values Handling for Machine Learning Portfolios
di: Chen, Andrew Y., et al.
Pubblicazione: (2022)

Exploring Drivers of Extreme Housing Prices in Australia
di: Burtenshaw, Grace, et al.
Pubblicazione: (2026)

The Interaction Between Domestic Monetary Policy and Macroprudential Policy in Israel
di: Benchimol, Jonathan, et al.
Pubblicazione: (2025)

Financial Data Analysis with Robust Federated Logistic Regression
di: Yang, Kun, et al.
Pubblicazione: (2025)

Financial fraud detection system based on improved random forest and gradient boosting machine (GBM)
di: Hu, Tianzuo
Pubblicazione: (2025)

Not feeling the buzz: Correction study of mispricing and inefficiency in online sportsbooks
di: Clegg, Lawrence, et al.
Pubblicazione: (2023)

The fine structure of electricity price volatility
di: Kloster, Thomas K., et al.
Pubblicazione: (2026)

Regularization for electricity price forecasting
di: Uniejewski, Bartosz
Pubblicazione: (2024)

From fair price to fair volatility: Towards an Efficiency-Consistent Definition of Financial Risk
di: Bianchi, Sergio, et al.
Pubblicazione: (2025)

Super-efficiency of Listed Banks in China and Determinants Analysis (2006-2021)
di: Liao, Yun, et al.
Pubblicazione: (2023)

Germany's Tax Revenue and its Total Administrative Cost
di: Mantzaris, Christopher, et al.
Pubblicazione: (2024)

Efficient mid-term forecasting of hourly electricity load using generalized additive models
di: Zimmermann, Monika, et al.
Pubblicazione: (2024)

Modern approaches to building interpretable models of the property market using machine learning on the base of mass cadastral valuation
di: Tanashkin, Alexey S., et al.
Pubblicazione: (2025)

Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices
di: Uniejewski, Bartosz
Pubblicazione: (2023)

The fractional volatility model and rough volatility
di: Mendes, R. Vilela
Pubblicazione: (2022)

AI-Powered Energy Algorithmic Trading: Integrating Hidden Markov Models with Neural Networks
di: Monteiro, Tiago
Pubblicazione: (2024)

General Equilibrium Amplification and Crisis Vulnerability: Cross-Crisis Evidence from Global Banks
di: Kikuchi, Tatsuru
Pubblicazione: (2025)

Correlation between upstreamness and downstreamness in random global value chains
di: Bartolucci, Silvia, et al.
Pubblicazione: (2023)

Unveiling contrasting impacts of heat mitigation and adaptation policies on U.S. internal migration
di: Li, Chao, et al.
Pubblicazione: (2026)

Concentration And Distribution of Container Flows In Mauritania's Maritime System (2019-2022)
di: Bouka, Mohamed, et al.
Pubblicazione: (2026)

Demystifying the trend of the healthcare index: Is historical price a key driver?
di: Sadhukhan, Payel, et al.
Pubblicazione: (2026)

Isotonic Quantile Regression Averaging for uncertainty quantification of electricity price forecasts
di: Lipiecki, Arkadiusz, et al.
Pubblicazione: (2025)

High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads
di: Li, Guanlin, et al.
Pubblicazione: (2025)

Change point detection in dynamic Gaussian graphical models: the impact of COVID-19 pandemic on the US stock market
di: Franzolini, Beatrice, et al.
Pubblicazione: (2022)

Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests
di: Buse, Rebekka, et al.
Pubblicazione: (2022)