We investigate the use of fractionally integrated MGARCH models from a forecasting and a risk management perspective for energy prices. Our in-sample results show evidence of long memory decay in energy price returns volatilities, of leverage effects and of time-varying autocorrelations.
Value at risk and extreme value theory for oil prices: a long memory multivariate GARCH approach / DI IORIO, Francesca; Marchese, Malvina. - (2018). (Intervento presentato al convegno 12th International Conference on Computational and Financial Econometrics (CFE 2018) tenutosi a Università di Pisa nel 14-16 dicembre 2018).
Value at risk and extreme value theory for oil prices: a long memory multivariate GARCH approach
francesca di iorio;
2018
Abstract
We investigate the use of fractionally integrated MGARCH models from a forecasting and a risk management perspective for energy prices. Our in-sample results show evidence of long memory decay in energy price returns volatilities, of leverage effects and of time-varying autocorrelations.File in questo prodotto:
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