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
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|---|---|
| Authors: | Wang, Lu ; Ma, Feng ; Liu, Guoshan ; Lang, Qiaoqi |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 2, p. 2056-2073
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| 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 |
| 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