Generalized modeling of oil futures volatility through uncertainty indicator selection : a GARCH-MIDAS-AES framework
Siyue Zheng, Mingdong Xu, Min Zhu
| Year of publication: |
2025
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|---|---|
| Authors: | Zheng, Siyue ; Xu, Mingdong ; Zhu, Min |
| Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 45.2025, 9, p. 1182-1201
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| Subject: | extreme shocks | leverage effect | oil volatility | threshold effect | uncertainty-related indicators | Volatilität | Volatility | Schock | Shock | Ölpreis | Oil price | ARCH-Modell | ARCH model | Wirtschaftsindikator | Economic indicator | Ölmarkt | Oil market | Prognoseverfahren | Forecasting model | Aktienindex | Stock index | Rohstoffderivat | Commodity derivative | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/fut.22605 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015464882