Stochastic volatility forecasting and risk management

By Perry Sadorsky. 2005

53 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/24a67c452bc046c8948645fac2bd77d8ec75027b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Joshua C. C. Chan
2. Angelia L. Grant
3. Jin-li Wang
4. Yue‐Jun Zhang

In Finance

1. Joshua C. C. Chan
2. Angelia L. Grant

Citations in the corpus

• Modeling energy price dynamics: GARCH versus stochastic volatility (2016, background): “This is in line with the finding in Sadorsky (2006), who finds that GARCH in mean forecasts no better than the standard GARCH for crude oil, heating oil and natural gas volatility.”