Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Year of publication: |
2010
|
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Authors: | Arouri, Mohamed El Hedi ; Lahiani, Amine ; Duc, Khuong Nguyen |
Institutions: | Development and Policies Research Center (Depocen) |
Subject: | oil markets | volatility forecasting | long memory | structural breaks | GARCH | RiskMetrics |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 13 34 pages |
Classification: | C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; F47 - Forecasting and Simulation ; G17 - Financial Forecasting ; q47 ; Q43 - Energy and the Macroeconomy |
Source: |
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