Oil price volatility and macroeconomic fundamentals : a regime switching GARCH-MIDAS model
Zhiyuan Pan, Yudong Wang, Chongfeng Wu, Libo Yin
| Year of publication: |
September 2017
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|---|---|
| Authors: | Pan, Zhiyuan ; Wang, Yudong ; Wu, Chongfeng ; Yin, Libo |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 43.2017, p. 130-142
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| Subject: | Crude oil | Volatility | Regime switching | Mixed-frequency data sampling | Forecasting | Volatilität | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Ölmarkt | Oil market | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jempfin.2017.06.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011817944