Forecasting the volatility of crude oil futures : a time-dependent weighted least squares with regularization constraint
Year of publication: |
2024
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Authors: | Geng, Qianjie ; Hao, Xianfeng ; Wang, Yudong |
Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 2, p. 309-325
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Subject: | forecasting | model selection | oil price volatility | realized volatility models | structural breaks | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Strukturbruch | Structural break | Theorie | Theory | Ölmarkt | Oil market |
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