Forecasting realized volatility of Chinese crude oil futures with a new secondary decomposition ensemble learning approach
Year of publication: |
2023
|
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Authors: | Jiang, Wei ; Tang, Wanqing ; Liu, Xiao |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 57.2023, p. 1-13
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Subject: | Realized volatility | Crude oil futures | ICEEMDAN model | Secondary decomposition | VMD model | Volatilität | Volatility | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Ölpreis | Oil price | ARCH-Modell | ARCH model | Dekompositionsverfahren | Decomposition method | China | Prognose | Forecast | Prognoseverfahren | Forecasting model |
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