Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Year of publication: |
May 2016
|
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Authors: | Lux, Thomas ; Segnon, Mawuli ; Gupta, Rangan |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 56.2016, p. 117-133
|
Subject: | Crude oil prices | GARCH | Multifractal processes | Superior predictive ability test | Encompassing test | VaR | Ölpreis | Oil price | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Welt | World | Statistischer Test | Statistical test |
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