Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023
Rangan Gupta, Qiang Ji, Christian Pierdzioch, Vasilios Plakandaras
| Year of publication: |
2023
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| Authors: | Gupta, Rangan ; Ji, Qiang ; Pierdzioch, Christian ; Plakandaras, Vasilios |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 58.2023, 3, p. 1-9
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| Subject: | Expected skewness | Forecasting | Oil returns | Quantile regression | Realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Statistische Verteilung | Statistical distribution | Ölpreis | Oil price | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis | Welt | World | 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.frl.2023.104501 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014631146