Forecasting crude oil price volatility via a HM-EGARCH model
Yu Lin, Yang Xiao, Fuxing Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Lin, Yu ; Yang, Xiaoming ; Li, Fuxing |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 87.2020, p. 1-13
|
| Subject: | Crude oil | Forecasting volatility | Hidden Markov EGARCH | SPA test | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | ARCH-Modell | ARCH model | Ölmarkt | Oil market | Markov-Kette | Markov chain | Welt | World | Schätzung | Estimation | Erdöl | Petroleum |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104693 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012512591