Does the volatility spillover effect matter in oil price volatility predictability? : evidence from high-frequency data
Lan Wu, Weiju Xu, Dengshi Huang, Pan Li
Year of publication: |
2022
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Authors: | Wu, Lan ; Xu, Weiju ; Huang, Dengshi ; Li, Pan |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 82.2022, p. 299-306
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Subject: | Equity market | Forecasting | Oil market | Realized volatility | Volatility spillovers | Volatilität | Volatility | Ölpreis | Oil price | Spillover-Effekt | Spillover effect | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Welt | World | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Schätzung | Estimation |
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