Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach
Rangan Gupta and Christian Pierdzioch
| Year of publication: |
2023
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|---|---|
| Authors: | Gupta, Rangan ; Pierdzioch, Christian |
| Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 9.2023, Art.-No. 24, p. 1-22
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| Subject: | Oil price | Realized volatility | Economic conditions indexes | Quantile Lasso | Prediction models | USA | United States | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1186/s40854-022-00435-5 [DOI] |
| Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; E32 - Business Fluctuations; Cycles ; E66 - General Outlook and Conditions ; Q41 - Demand and Supply |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014288917