Forecasting realized volatility of crude oil futures with equity market uncertainty
Year of publication: |
2019
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Authors: | Wen, Fenghua ; Zhao, Yupei ; Zhang, Minzhi ; Hu, Chunyang |
Published in: |
Applied economics. - New York, NY : Routledge, ISSN 1466-4283, ZDB-ID 1473581-7. - Vol. 51.2019, 59, p. 6411-6427
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Subject: | crude oil futures | equity market uncertainty | HAR-RV model | Realized volatility | volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Ölpreis | Oil price | Aktienmarkt | Stock market | Erdöl | Petroleum | Kapitaleinkommen | Capital income | Schätzung | Estimation | Prognose | Forecast |
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