Forecasting energy futures volatility based on the unbiased extreme value volatility estimator
Year of publication: |
December 2017
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Authors: | Kumar, Dilip |
Published in: |
IIMB management review. - Bangalore : IIMB, ISSN 0970-3896, ZDB-ID 2413253-6. - Vol. 29.2017, 4, p. 294-310
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Subject: | Energy futures | Volatility modelling | Volatility forecasting | Forecast evaluation | Bias-corrected extreme value estimator | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Energieprognose | Energy forecast | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
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