Forecasting oil futures price volatility : new evidence from realized range-based volatility
Feng Ma, Yaojie Zhang, Dengshi Huang, Xiaodong Lai
| Year of publication: |
September 2018
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|---|---|
| Authors: | Ma, Feng ; Zhang, Yaojie ; Huang, Dengshi ; Lai, Xiaodong |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 75.2018, p. 400-409
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| Subject: | Jump | Jump intensity | Oil futures price | Realized range-based volatility | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | Stochastischer Prozess | Stochastic process | Welt | World |