Volatility regimes, asymmetric basis effects and forecasting performance : an empirical investigation of the WTI crude oil futures market
Kuang-Liang Chang
| Year of publication: |
2012
|
|---|---|
| Authors: | Chang, Kuang-liang |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 34.2012, 1, p. 294-306
|
| Subject: | Basis | Conditional distribution | Oil futures | Regime-switching EGARCH | Forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Erdöl | Petroleum | Ölmarkt | Oil market | Ölpreis | Oil price | Schätzung | Estimation | Warenbörse | Commodity exchange | Prognose | Forecast | Markov-Kette | Markov chain | Welt | World |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009618842