Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model
Zhenlong Chen, Junjie Liu, Xiaozhen Hao
| Year of publication: |
2024
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| Authors: | Chen, Zhenlong ; Liu, Junjie ; Hao, Xiaozhen |
| Published in: |
Finance research letters. - New York : Elsevier Science, ISSN 1544-6123, ZDB-ID 2145766-9. - Vol. 64.2024, Art.-No. 105420, p. 1-8
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| Subject: | ASHARV-MIDAS model | Current return information | Long memory | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2024.105420 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014531739