Forecasting crude oil market volatility : a Markov switching multifractal volatility approach
Yudong Wang, Chongfeng Wu, Li Yang
| Year of publication: |
January-March 2016
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| Authors: | Wang, Yudong ; Wu, Chongfeng ; Li, Yang |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 32.2016, 1, p. 1-9
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| Subject: | Markov switching multifractal (MSM) models | Volatility | Crude oil markets | GARCH-class models | Model confidence set | Volatilität | Markov-Kette | Markov chain | Ölmarkt | Oil market | Prognoseverfahren | Forecasting model | Welt | World | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ijforecast.2015.02.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011596312