Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models
Malvina Marchese, Ioannis Kyriakou, Michael Tamvakis, Francesca Di Iorio
| Year of publication: |
2020
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|---|---|
| Authors: | Marchese, Malvina ; Kyriakou, Ioannis ; Tamvakis, Michael ; Di Iorio, Francesca |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 88.2020, p. 1-13
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| Subject: | Long memory | Model confidence set | Multivariate GARCH | Superior predictive ability test | Value-at-risk | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Kapitaleinkommen | Capital income | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Multivariate Analyse | Multivariate analysis | Aktienmarkt | Stock market | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104757 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012516745