A Markov switching long memory model of crude oil price return volatility
Silvestro Di Sanzo
| Year of publication: |
August 2018
|
|---|---|
| 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 | Zeitreihenanalyse | Time series analysis | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Welt | World | ARMA-Modell | ARMA model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.06.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972860