Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Gregory Rice, Tony Wirjanto, Yuqian Zhao
| Year of publication: |
2023
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|---|---|
| Authors: | Rice, Gregory ; Wirjanto, Tony S. ; Zhao, Yuqian |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 32.2023, p. 1-20
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| Subject: | WTI crude oil intraday return curves | Volatility modelling and forecasting | Functional GARCH-X model | Long-range dependence | Economic benefits | Volatilität | Volatility | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Theorie | Theory | Ölmarkt | Oil market | Erdöl | Petroleum | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2023.100361 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014495589