Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks
Year of publication: |
2020
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Authors: | Asai, Manabu ; Gupta, Rangan ; McAleer, Michael |
Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 36.2020, 3, p. 933-948
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Subject: | Commodity markets | Co-volatility | Forecasting | Geopolitical risks | Jumps | Leverage effects | Spillover effects | Realized covariance | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | Welt | World | Geopolitik | Geopolitics | Kapitaleinkommen | Capital income | Gold | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Schätzung | Estimation |
Description of contents: | Description [doi.org] |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1325-1326 |
Other identifiers: | 10.1016/j.ijforecast.2019.10.003 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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