Capturing the dynamics of the China crude oil futures : Markov switching, co-movement, and volatility forecasting
Min Liu, Chien-Chiang Lee
| Year of publication: |
2021
|
|---|---|
| Authors: | Liu, Min ; Lee, Chien-Chiang |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 103.2021, p. 1-15
|
| Subject: | Co-movement | Global pandemic | INE crude oil futures | Regime switching | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | China | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Welt | World | Ölpreis | Oil price | ARCH-Modell | ARCH model | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2021.105622 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013364085