Forecasting volatility and correlation between oil and gold prices using a novel multivariate GAS model
Rongda Chen, Jianjun Xu
| Year of publication: |
2019
|
|---|---|
| Authors: | Chen, Rongda ; Xu, Jianjun |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 78.2019, p. 379-391
|
| Subject: | DCC-GARCH model | Forecasting | Gold price | Multivariate GAS model | Oil price | Volatility and correlation | Volatilität | Volatility | Ölpreis | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Korrelation | Correlation | Gold | Preis | Price | Welt | World | Multivariate Analyse | Multivariate analysis | 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.2018.11.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012159962