Crude oil volatility index forecasting : new evidence based on positive and negative jumps from Chinese stock market
Year of publication: |
2024
|
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Authors: | Qiao, Gaoxiu ; Ma, Xuekun ; Jiang, Gongyue ; Wang, Lu |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 92.2024, p. 415-437
|
Subject: | Asymmetric effects | Chinese stock market | Crude oil volatility index (OVX) | MoP strategy | Positive and negative jumps | Volatilität | Volatility | China | Aktienmarkt | Stock market | Ölpreis | Oil price | Aktienindex | Stock index | ARCH-Modell | ARCH model |
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