Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?
Yudong Wang; Chongfeng Wu
| Year of publication: |
2012
|
|---|---|
| Authors: | Wang, Yudong ; Wu, Chongfeng |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 6, p. 2167-2181
|
| Subject: | Energy markets | Volatility | Univariate GARCH | Multivariate GARCH | Crack spread | ARCH-Modell | ARCH model | Volatilität | Energiemarkt | Energy market | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Multivariate Analyse | Multivariate analysis |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009688795