Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Xinjie Lu, Feng Ma, Jiqian Wang, Jing Liu
| Year of publication: |
2022
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| Authors: | Lu, Xinjie ; Ma, Feng ; Wang, Jiqian ; Liu, Jing |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 41.2022, 4, p. 853-868
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| Subject: | crude oil futures | jumps | leverage effect | realized range-based volatility | regime switching | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Markov-Kette | Markov chain | Erdöl | Petroleum | Kapitaleinkommen | Capital income | Ölpreis | Oil price | ARCH-Modell | ARCH model |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2837 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013287870