Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Mohamed El Hédi Arouri; Amine Lahiani; Aldo Lévy; Duc Khuong Nguyen
| Year of publication: |
2012
|
|---|---|
| Authors: | Arouri, Mohamed ; Lahiani, Amine ; Lévy, Aldo ; Nguyen, Duc Khuong |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 1, p. 283-293
|
| Subject: | Oil markets | Volatility forecasting | Long memory | Structural breaks | GARCH-class models | Volatilität | Volatility | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | Ölpreis | Oil price | Theorie | Theory | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Spotmarkt | Spot market | Prognose | Forecast |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009618848