On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Jiawen Luo, Qiang Ji, Tony Klein, Neda Todorova, Dayong Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Luo, Jiawen ; Ji, Qiang ; Klein, Tony ; Todorova, Neda ; Zhang, Dayong |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 89.2020, p. 1-15
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| Subject: | Crude oil | Forecasting | HAR models | Markov switching | Realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Erdöl | Petroleum | Markov-Kette | Markov chain | Strukturbruch | Structural break | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Ölpreis | Oil price | Welt | World | Zeitreihenanalyse | Time series analysis | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Prognose | Forecast |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104781 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012517048