Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Lanouar Charfeddine
| Year of publication: |
February 2016
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| Authors: | Charfeddine, Lanouar |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 53.2016, p. 354-374
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| Subject: | Long range dependence | Markov switching GARCH model | Fractional GARCH-class of models | Energy futures time series | Out-of-sample forecasting and VaR | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | VAR-Modell | VAR model | Theorie | Theory | Prognose | Forecast | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.12.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011641058