Asymmetric information and volatility forecasting in commodity futures markets
Qingfu Liu; Ieokhou Wong; Yunbi An; Jinqing Zhang
| Year of publication: |
2014
|
|---|---|
| Authors: | Liu, Qingfu ; Wong, Ieokhou ; An, Yunbi ; Zhang, Jinqing |
| Published in: |
Pacific-Basin finance journal. - Amsterdam [u.a.] : Elsevier, ISSN 0927-538X, ZDB-ID 1343420-2. - Vol. 26.2014, p. 79-97
|
| Subject: | Asymmetric characteristics | Threshold stochastic volatility model | Bayesian MCMC | Volatility forecasting | Commodity futures markets | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Prognoseverfahren | Forecasting model | Asymmetrische Information | Asymmetric information | Theorie | Theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010498758