Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Year of publication: |
2022
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Authors: | Tang, Yusui ; Ma, Feng ; Zhang, Yaojie ; Wei, Yu |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 4, p. 4770-4783
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Subject: | DCC-GARCH | multivariate HAR | oil futures market | volatility forecasting | volatility residuals | Volatilität | Volatility | Ölpreis | Oil price | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Rohstoffderivat | Commodity derivative | Multivariate Analyse | Multivariate analysis | Börsenkurs | Share price | Autokorrelation | Autocorrelation |
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