Macroeconomic attention and oil futures volatility prediction
Shan Liu, Ziwei Li
| Year of publication: |
2023
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|---|---|
| Authors: | Liu, Shan ; Li, Ziwei |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 57.2023, p. 1-4
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| Subject: | Dimensionality reduction method | LASSO | Macroeconomic attention | Oil futures volatility | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Theorie | Theory | Ölpreis | Oil price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.104167 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014505944