Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Jiawen Luo, Riza Demirer, Rangan Gupta, Qiang Ji
| Year of publication: |
2022
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|---|---|
| Authors: | Luo, Jiawen ; Demirer, Rıza ; Gupta, Rangan ; Ji, Qiang |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 105.2022, p. 1-22
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| Subject: | Speculation | Crude oil | Infinite hidden Markov model | Realized volatility forecast | Structural break | Volatilität | Volatility | Strukturbruch | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Spekulation | ARCH-Modell | ARCH model | 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.eneco.2021.105751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013201953