Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries
Year of publication: |
2019
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Authors: | Nonejad, Nima |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 50.2019, p. 1-20
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Subject: | Realized volatility | Asymmetry | Nonlinearity | Out-of-sample forecast | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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