Natural gas volatility prediction : fresh evidence from extreme weather and extended GARCH-MIDAS-ES model
Chao Liang, Zhenglan Xia, Xiaodong Lai, Lu Wang
| Year of publication: |
2022
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|---|---|
| Authors: | Liang, Chao ; Xia, Zhenglan ; Lai, Xiaodong ; Wang, Lu |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 116.2022, p. 1-15
|
| Subject: | Extreme weather | GARCH-MIDAS | Natural gas volatility | Volatility forecasting | Volatilität | Volatility | Wetter | Weather | Prognoseverfahren | Forecasting model | Erdgas | Natural gas | Katastrophe | Disaster | ARCH-Modell | ARCH model | Erdgasmarkt | Natural gas market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.106437 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013542113