High frequency volatility of oil futures in China : components, modeling, and prediction
Yi Hong, Xiaofan Xu, Chen Yang
| Year of publication: |
2024
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|---|---|
| Authors: | Hong, Yi ; Xu, Xiaofan ; Chen, Yang |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 8, p. 3104-3127
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| Subject: | China's crude oil futures | continuity and jumps in variance | high-frequency data | realized variance | volatility modeling and forecasting | Volatilität | Volatility | China | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Prognose | Forecast | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3173 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110604