Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Year of publication: |
2019
|
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Authors: | Ma, Feng ; Liao, Yin ; Zhang, Yaojie ; Cao, Yang |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 52.2019, p. 40-55
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Subject: | Oil market | Volatility forecasting | Jump intensity | Signed jumps | Cojumps | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Schock | Shock | Ölmarkt | Rohstoffderivat | Commodity derivative |
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