Capturing the dynamics of the China crude oil futures : Markov switching, co-movement, and volatility forecasting
Year of publication: |
2021
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Authors: | Liu, Min ; Lee, Chien-chiang |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 103.2021, p. 1-15
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Subject: | Co-movement | Global pandemic | INE crude oil futures | Regime switching | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | China | Welt | World | Erdöl | Petroleum | Schätzung | Estimation |
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