DeepVol: volatility forecasting from high-frequency data with dilated causal convolutions. [PDF]
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Volatility Dynamics of Non-Linear Volatile Time Series and Analysis of Information Flow: Evidence from Cryptocurrency Data. [PDF]
Entropy (Basel), 2022 Sheraz M, Dedu S, Preda V.
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How do crude oil futures hedge crude oil spot risk after the COVID-19 outbreak? A wavelet denoising-GARCHSK-SJC Copula hedge ratio estimation method. [PDF]
Physica A, 2022 Zhu P, Lu T, Chen S.
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Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]
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Long memory mean and volatility models of platinum and palladium price return series under heavy tailed distributions. [PDF]
Springerplus, 2016 Ranganai E, Kubheka SB.
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The persistence of precious metals and oil during the COVID-19 pandemic: evidence from a fractional integration and cointegration approach. [PDF]
Environ Sci Pollut Res Int, 2022 Usman N, Akadiri SS.
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Memory-Driven Dynamics: A Fractional Fisher Information Approach to Economic Interdependencies. [PDF]
Entropy (Basel)Batrancea LM +4 more
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COVID-19 pandemic's impact on intraday volatility spillover between oil, gold, and stock markets. [PDF]
Econ Anal Policy, 2022 Mensi W, Vo XV, Kang SH.
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Modeling Markov switching ARMA-GARCH neural networks models and an application to forecasting stock returns. [PDF]
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