Oil price uncertainty and the Canadian economy: Evidence from a VARMA, GARCH-in-Mean, asymmetric BEKK model ☆
By Sajjadur Rahman, Apostolos Serletis. 2012
130 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment
View Paper: https://www.semanticscholar.org/paper/9efd5aac1a992079d7d368819614cc8e55515185
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
- Fotios Petropoulos
- Konstantinos Nikolopoulos
- Rob J Hyndman
- Nikolaos Kourentzes
- Vassilios Assimakopoulos
- Evangelos Spiliotis
- Spyros Makridakis
- Christoph Bergmeir
In Renewable Energy, Sustainability and the Environment
- Nikolaos Kourentzes
- Fotios Petropoulos
- M. Babai
- Stephan Kolassa
- Konstantinos Nikolopoulos
- A. Syntetos
- Spyros Makridakis
- Vassilios Assimakopoulos
Citations in the corpus
- Energy markets volatility modelling using GARCH (2014, background): “…gas markets [see Ewing et al. (2002) and Serletis and Shahmoradi (2006)], and between oil markets and financial or macroeconomic indicators [see Lee et al. (1995), Sadorsky (2012), Elder and Serletis (2010), and Rahman and Serletis (2012)], and among separate crude oil markets [Jin et al. (2012)].”
- Forecasting: theory and practice (2020, background): “In the forecasting literature, unit root tests are commonly applied to examine the stationarity of crude oil prices prior to econometric modelling (Silvapulle and Moosa, 1999; Serletis and Rangel-Ruiz, 2004; Rahman and Serletis, 2012).”