Forecasting the realized volatility of the oil futures market : a regime switching approach
Feng Ma, M.I.M. Wahab, Dengshi Huang, Weiju Xu
| Year of publication: |
September 2017
|
|---|---|
| Authors: | Ma, Feng ; Wahab, M. I. M. ; Huang, Dengshi ; Xu, Weiju |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 67.2017, p. 136-145
|
| Subject: | Volatility forecasting | HAR-RV-type models | Regime switching approach | Forecasting evaluation | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Prognose | Forecast | Rohstoffderivat | Commodity derivative |