Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory

Walid Chkili, Shawkat Hammoudeh and Duc Khuong Nguyen

No 2014-325, Working Papers from Department of Research, Ipag Business School

Abstract: This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

Keywords: commodity markets; GARCH models; asymmetries; long memory; volatility forecasts. (search for similar items in EconPapers)
JEL-codes: C22 G17 Q47 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-agr and nep-cse
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (193)

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Related works:
Journal Article: Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014)
Working Paper: Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory (2014)
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