Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Feng Ma, Yin Liao, Yaojie Zhang, Yang Cao
| 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 | Ölmarkt | ARCH-Modell | ARCH model | Ölpreis | Oil price | Schock | Shock | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2019.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012170621