Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
Fenghua Wen, Xu Gong, Shenghua Cai
| Year of publication: |
September 2016
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|---|---|
| Authors: | Wen, Fenghua ; Gong, Xu ; Cai, Shenghua |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 59.2016, p. 400-413
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| Subject: | Volatility forecasting | Realized volatility | HAR-RV model | Structural breaks | PROMETHEE II method | Volatilität | Volatility | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Prognose | Forecast | Theorie | Theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2016.07.014 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011699710