Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach
Year of publication: |
2023
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Authors: | Wang, Lu ; Ma, Feng ; Liu, Guoshan ; Lang, Qiaoqi |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 2, p. 2056-2073
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Subject: | volatility forecasting | extreme shocks | GARCH-MIDAS | oil price | ARCH-Modell | ARCH model | Volatilität | Volatility | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Schock | Shock | Welt | World |
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