A Markov switching long memory model of crude oil price return volatility
Year of publication: |
August 2018
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Authors: | Di Sanzo, Silvestro |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 351-359
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Subject: | Crude oil volatility | Long memory | Markov switching | GARCH modelling | Volatility forecast | Volatilität | Volatility | Markov-Kette | Markov chain | ARCH-Modell | ARCH model | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Welt | World | Schätzung | Estimation |
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