Forecasting the volatility of crude oil futures using intraday data
Year of publication: |
2014
|
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Authors: | Sévi, Benoît |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 235.2014, 3 (16.6.), p. 643-659
|
Subject: | Volatility forecasting | Crude oil futures | Realized variance | Jumps | Realized semivariance | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | ARCH-Modell | ARCH model | Erdöl | Petroleum | Ölpreis | Oil price |
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