Forecasting volatility in commodity markets with long-memory models
Mesias Alfeus, Christina Sklibosios Nikitopoulos
| Year of publication: |
2022
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|---|---|
| Authors: | Alfeus, Mesias ; Nikitopoulos, Christina Sklibosios |
| Published in: |
Journal of commodity markets. - Amsterdam : Elsevier, ISSN 2405-8513, ZDB-ID 3067450-5. - Vol. 28.2022, p. 1-29
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| Subject: | Commodity markets | Realized volatility | Fractional stochastic volatility | HAR | FIGARCH | Volatility forecast | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Rohstoffmarkt | Commodity market | Theorie | Theory | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Welt | World | Schätzung | Estimation | Rohstoffderivat | Commodity derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jcomm.2022.100248 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014335250