The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures
Year of publication: |
2023
|
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Authors: | Li, Yan ; Luu Duc Toan Huynh ; Xu, Yongan ; Liang, Hao |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 127.2023, 2, p. 1-17
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Subject: | Belief-based momentum | Chinese oil futures market | HAR | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | China | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | ARCH-Modell | ARCH model | Prognose | Forecast | Erdöl | Petroleum | Kapitaleinkommen | Capital income |
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