Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?
Yue-Jun Zhang, Han Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Zhang, Yue-Jun ; Zhang, Han |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 85.2023, p. 1-10
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| Subject: | Crude oil market | Flexible Fourier form | Modified ICSS algorithm | Structural changes | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Ölpreis | Oil price | Welt | World | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Strukturwandel | Structural change |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102454 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014234971