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

DOI10.1080/14697688.2014.986513zbMath1398.62282OpenAlexW2129196569MaRDI QIDQ4683076

Diego Mahakena, Svetlana Borovkova

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

Kalman filterGARCHGranger causalityevent studyrealized variancevolatility forecastingbipower variationstate space modellingnatural gas futuresnews sentimentHEAVY

Mathematics Subject Classification ID

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

Related Items (4)

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 ⋮ The long memory HEAVY process: modeling and forecasting financial volatility

Uses Software

• SsfPack
• FinTS

Cites Work

• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Jump-robust volatility estimation using nearest neighbor truncation
• Statistical methods in finance
• Estimation and model selection based inference in single and multiple threshold models.
• Microstructure noise in the continuous case: the pre-averaging approach
• Seasonal and stochastic effects in commodity forward curves
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• A multi-factor jump-diffusion model for commodities†
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing for a unit root in time series regression
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Autoregressive Conditional Density Estimation
• The Stationary Bootstrap
• What good is a volatility model?
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Analysis of Financial Time Series

This page was built for publication: News, volatility and jumps: the case of natural gas futures