Predicting the volatility of crude oil futures : the roles of leverage effects and structural changes
Year of publication: |
2022
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---|---|
Authors: | Gong, Xu ; Lin, Boqiang |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 1, p. 610-640
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Subject: | HAR models | realized volatility | volatility forecasting | leverage effects | structural changes | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Strukturwandel | Structural change | Kapitaleinkommen | Capital income | Welt | World |
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