Jumps and oil futures volatility forecasting : a new insight
Year of publication: |
2021
|
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Authors: | Ma, Feng ; Liang, Chao ; Zeng, Qing ; Li, Haibo |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 5, p. 853-863
|
Subject: | Jumps | MS-MIDAS | Oil futures | Realized volatility | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Prognoseverfahren | Forecasting model | Erdöl | Petroleum | ARCH-Modell | ARCH model | Prognose | Forecast | Ölpreis | Oil price |
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