Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach
Lu Wang, Feng Ma, Guoshan Liu, Qiaoqi Lang
| Year of publication: |
2023
|
|---|---|
| Authors: | Wang, Lu ; Ma, Feng ; Liu, Guoshan ; Lang, Qiaoqi |
| Subject: | volatility forecasting | extreme shocks | GARCH-MIDAS | oil price | Ölpreis | Oil price | Volatilität | Volatility | Schock | Shock | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Schätzung | Estimation | VAR-Modell | VAR model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2525 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014253654