Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches
Yaojie Zhang, Feng Ma, Yu Wei
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Yaojie ; Ma, Feng ; Wei, Yu |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 81.2019, p. 1109-1120
|
| Subject: | Asset allocation | Volatility forecasting | Forecast combination | Iterated combination | Oil futures market | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Prognose | Forecast | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Schätzung | Estimation | Ölpreis | Oil price | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2019.05.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012173075