Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?
Year of publication: |
October 2017
|
---|---|
Authors: | Wei, Yu ; Liu, Jing ; Lai, Xiaodong ; Hu, Yang |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 68.2017, p. 141-150
|
Subject: | Crude oil market | Volatility forecasting | GARCH-MIDAS | Dynamic model averaging method | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Ölmarkt | Oil market | Welt | World | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Spekulation | Speculation | Schätzung | Estimation |
-
Fonseca, José da, (2017)
-
Zhang, Yue-jun, (2019)
-
Zhang, Yue-jun, (2023)
- More ...
-
Forecasting VaR and ES of stock index portfolio: A Vine copula method
Zhang, Bangzheng, (2014)
-
Forecasting oil price volatility using high-frequency data : new evidence
Chen, Wang, (2020)
-
Forecasting the realized range-based volatility using dynamic model averaging approach
Liu, Jing, (2017)
- More ...