Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Yusui Tang, Feng Ma, Yaojie Zhang, Yu Wei
| Year of publication: |
2022
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| Authors: | Tang, Yusui ; Ma, Feng ; Zhang, Yaojie ; Wei, Yu |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 4, p. 4770-4783
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| Subject: | DCC-GARCH | multivariate HAR | oil futures market | volatility forecasting | volatility residuals | Volatilität | Volatility | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Prognose | Forecast | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2399 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013461377