Breaks or long range dependence in the energy futures volatility : out-of-sample forecasting and VaR analysis
Year of publication: |
February 2016
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Authors: | Charfeddine, Lanouar |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 53.2016, p. 354-374
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Subject: | Long range dependence | Markov switching GARCH model | Fractional GARCH-class of models | Energy futures time series | Out-of-sample forecasting and VaR | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Volatilität | Volatility | VAR-Modell | VAR model | ARMA-Modell | ARMA model |
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