Exploring volatility of crude oil intraday return curves : a functional GARCH-X model
Year of publication: |
2023
|
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Authors: | Rice, Gregory ; Wirjanto, Tony S. ; Zhao, Yuqian |
Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 32.2023, p. 1-20
|
Subject: | WTI crude oil intraday return curves | Volatility modelling and forecasting | Functional GARCH-X model | Long-range dependence | Economic benefits | ARCH-Modell | ARCH model | Volatilität | Volatility | Kapitaleinkommen | Capital income | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | Welt | World |
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