Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Audronė Virbickaitė, M. Concepción Ausín, Pedro Galeano
| Year of publication: |
2020
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|---|---|
| Authors: | Virbickaitė, Audronė ; Ausín, M. Concepción ; Galeano, Pedro |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 92.2020, p. 1-15
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| Subject: | Realized volatility | ABC | Bayesian inference | Energy commodity returns | MCMC | Volatilität | Volatility | Bayes-Statistik | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Theorie | Theory | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104961 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012519661