The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market
Xu Gong, Boqiang Lin
| Year of publication: |
August 2018
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|---|---|
| Authors: | Gong, Xu ; Lin, Boqiang |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 74.2018, p. 370-386
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| Subject: | Volatility forecasting | Investor fear gauge | Crude oil futures | HAR models | Realized volatility | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2018.06.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011972865