Are There Common Factors in Individual Commodity Futures Returns
By Charoula Daskalaki, Alexandros Kostakis, George Skiadopoulos. 2014
141 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ecc3d714ac67218c71b03418f19930fa61689e60
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 Finance
- David F. Hendry
- David E. Rapach
- Michael P. Clements
- Jennifer L. Castle
- Feng Li
- Xiaoqian Wang
- Yanfei Kang
- Allan G. Timmermann
Citations in the corpus
- Forecasting: theory and practice (2020, methodology): “The GARCH model has been extended in the diverse aspects of non-linearity, asymmetry and long memory. Among many such extensions, the Exponential GARCH (EGARCH) model by Nelson (1991) uses log transformation to prevent negative variance; the Threshold GARCH (TGARCH) model by Zakoian (1994) allows fo”