Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model
Hanlin Wu, Pan Li, Jiawei Cao, Zijian Xu
| Year of publication: |
2024
|
|---|---|
| Authors: | Wu, Hanlin ; Li, Pan ; Cao, Jiawei ; Xu, Zijian |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 134.2024, Art.-No. 107588, p. 1-10
|
| Subject: | Chinese crude oil futures | Jump intensity | Jump tests | Markov-regime switching model | Volatility forecasting | Volatilität | Volatility | China | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107588 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015047129