An oil futures volatility forecast perspective on the selection of high-frequency jump tests
Xiafei Li, Yin Liao, Xinjie Lu, Feng Ma
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Xiafei ; Liao, Yin ; Lu, Xinjie ; Ma, Feng |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 116.2022, p. 1-18
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| Subject: | HAR-RV-type models | High-frequency data | Jump test selection | Oil futures volatility | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | ARCH-Modell | ARCH model | Prognose | Forecast | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.106358 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013542124