News, volatility and jumps: the case of natural gas futures

DOI10.1080/14697688.2014.986513MaRDI QIDQ4683076zbMATH OpenOpenAlexFDO

Authors Svetlana Borovkova, Diego Mahakena

Publication date 19 September 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2014.986513

zbMATH Keywords

bipower variationevent studyGARCHGranger causalityHEAVYKalman filternatural gas futuresnews sentimentrealized variancestate space modellingvolatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A multi-factor jump-diffusion model for commodities†
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
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• Estimation and model selection based inference in single and multiple threshold models.
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Jump-robust volatility estimation using nearest neighbor truncation
• Microstructure noise in the continuous case: the pre-averaging approach
• Seasonal and stochastic effects in commodity forward curves
• Statistical methods in finance
• Testing for a unit root in time series regression
• Testing for unit roots in autoregressive-moving average models of unknown order
• The Stationary Bootstrap
• Time series analysis by state space methods
• What good is a volatility model?

Cited in

(6)

• The long memory HEAVY process: modeling and forecasting financial volatility
• Dynamic model of futures pricing under jump behavior of natural gas price and its empirical research
• Volatility forecasting of strategically linked commodity ETFs: gold-silver
• Forecasting and trading high frequency volatility on large indices
• A tale of two sentiment scales: disentangling short-run and long-run components in multivariate sentiment dynamics
• From calendar time to business time: the case of commodity markets

Describes a project that uses

Uses Software

• SsfPack
• FinTS

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