Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Lu Wang, Feng Ma, Jianyang Hao, Xinxin Gao
| Year of publication: |
2021
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| Authors: | Wang, Lu ; Ma, Feng ; Hao, Jianyang ; Gao, Xinxin |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 76.2021, p. 1-12
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| Subject: | Crude oil market volatility | Geopolitical risk | Markov-regime switching | Time-varying transition probabilities | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölmarkt | Oil market | Welt | World | Geopolitik | Geopolitics | ARCH-Modell | ARCH model | Ölpreis | Oil price | Risiko | Risk | Erdöl | Petroleum | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2021.101756 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012804675