Crude oil volatility forecasting : insights from a novel time-varying parameter GARCH-MIDAS model
Lijuan Peng, Chao Liang, Baoying Yang, Lu Wang
| Year of publication: |
2024
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| Authors: | Peng, Lijuan ; Liang, Chao ; Yang, Baoying ; Wang, Lu |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 94.2024, Art.-No. 103413, p. 1-14
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| Subject: | Crude oil price | GARCH-MIDAS | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Ölmarkt | Oil market | ARCH-Modell | ARCH model | Welt | World | Erdöl | Petroleum |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2024.103413 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014583437