Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?
Yue-Jun Zhang, Ting Yao, Ling-Yun He, Ronald Ripple
| Year of publication: |
2019
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|---|---|
| Authors: | Zhang, Yue-Jun ; Yao, Ting ; He, Ling-Yun ; Ripple, Ronald D. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 59.2019, p. 302-317
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| Subject: | Crude oil market | GARCH | MCS | Regime switching | Volatility forecasting | ARCH-Modell | ARCH model | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölmarkt | Oil market | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2018.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012202881