Forecasting crude oil volatility and stock volatility : new evidence from the quantile autoregressive model
Yan Chen, Lei Zhang, Feipeng Zhang
| Year of publication: |
2024
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| Authors: | Chen, Yan ; Zhang, Lei ; Zhang, Feipeng |
| Published in: |
The North American journal of economics and finance : a journal of theory and practice. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9408, ZDB-ID 2023759-5. - Vol. 74.2024, Art.-No. 102235, p. 1-14
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| Subject: | Quantile autoregressive model | Crude oil volatility | Stock volatility | Out-of-sample performance | Forecast combination | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Autokorrelation | Autocorrelation | Erdöl | Petroleum | Ölmarkt | Oil market | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2024.102235 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015135066