Modeling and forecasting petroleum futures volatility
By Perry Sadorsky. 2006
510 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/61c6e6c78da88e83f25f75f49885c776523154a1
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
- George Filis
- Stavros Degiannakis *
- Duc Khuong Nguyen
- Yue‐Jun Zhang
- Rangan Gupta
- Seong‐Min Yoon
- Sang Hoon Kang
- Mohamed Arouri
In Renewable Energy, Sustainability and the Environment
- George Filis
- Stavros Degiannakis *
- Ronald A. Ratti
- Yue‐Jun Zhang
- Rangan Gupta
- Duc Khuong Nguyen
- Mohamed Arouri
- Vipin Arora
Citations in the corpus
- The dynamics of commodity prices (2013, unknown): “A full survey of such work is beyond the scope of this paper, but relevant studies include Serletis (1994), Ng and Pirrong (1996), Haigh and Holt (2002), Pindyck (2004), Sadorsky (2006), Alizadeh et al. (2008), and Wang et al. (2008).”
- Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “…result in an increase of production costs (assuming that there are no perfect substitution effects between produc - tion factors, see Basher and Sadorsky, 2006), which, in turn, will reduce profit levels and thus future cash flows (Bohi 1991; Mork et al., 1994; Hampton, 1995; Brown and Yucel…”
- Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models? (2019, background): “Similarly, Sadorsky (2006) also demonstrates that the GARCH(1,1) specification fits for crude oil volatility well.”
- Modeling energy price dynamics: GARCH versus stochastic volatility (2016, methodology): “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.”
- Crude oil and stock markets: Stability, instability, and bubbles ☆ (2009, background): “Recently papers have focused on the effect of oil price for stock market risk as in Basher and Sadorsky (2006) and Sadorsky (2006).”
- Persistence of precious metal prices: A fractional integration approach with structural breaks (2014, background): “A considerable number of studies have dealt with commodity price dynamics and have shown significant volatility clustering and long-persistence of commodity price returns (Browne and Cronin, 2010; Agnolucci, 2009; Akram, 2009; Lescaroux, 2009; Sadorsky, 2006).”