Oil futures volatility predictability : evidence based on Twitter-based uncertainty
Year of publication: |
2022
|
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Authors: | Lang, Qiaoqi ; Lu, Xinjie ; Ma, Feng ; Huang, Dengshi |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 1, p. 1
|
Subject: | COVID-19 | GARCH-MIDAS model | Markov-regime model | Oil futures market | Twitter-based uncertainty | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Coronavirus | Risiko | Risk | ARCH-Modell | ARCH model | Ölpreis | Oil price | Erdöl | Petroleum | Schätzung | Estimation |
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