Breaks in term structures : evidence from the oil futures markets
Year of publication: |
2024
|
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Authors: | Horváth, Lajos ; Liu, Zhenya ; Miller, Curtis ; Tang, Weiqing |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 29.2024, 2, p. 2317-2341
|
Subject: | oil | CUSUM | functional change point detection | futures market | multivariate forecasting regression | trading activity | Rohstoffderivat | Commodity derivative | Volatilität | Volatility | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Zinsstruktur | Yield curve | Strukturbruch | Structural break | Ölpreis | Oil price | Regressionsanalyse | Regression analysis | Erdöl | Petroleum | Derivat | Derivative | Warenbörse | Commodity exchange |
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