Oil price volatility forecasting : threshold effect from stock market volatility
Yan Chen, Gaoxiu Qiao, Feipeng Zhang
| Year of publication: |
2022
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|---|---|
| Authors: | Chen, Yan ; Qiao, Gaoxiu ; Zhang, Feipeng |
| Published in: |
Technological forecasting & social change : an international journal. - Amsterdam : Elsevier, ISSN 0040-1625, ZDB-ID 280700-2. - Vol. 180.2022, p. 1-8
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| Subject: | Oil price volatility | Out-of-sample forecasting | Threshold autoregressive regression model | Threshold effect | Volatilität | Volatility | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Regressionsanalyse | Regression analysis | ARCH-Modell | ARCH model | Schätzung | Estimation | Autokorrelation | Autocorrelation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.techfore.2022.121704 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013429265