Time-varying jump intensity and volatility forecasting of crude oil returns
Lei Zhang, Yan Chen, Elie Bouri
| Year of publication: |
2024
|
|---|---|
| Authors: | Zhang, Lei ; Chen, Yan ; Bouri, Elie |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 129.2024, Art.-No. 107236, p. 1-12
|
| Subject: | Crude oil market | GARCH-based model | Time-varying jump intensity | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Ölmarkt | Oil market | Kapitaleinkommen | Capital income | Welt | World | Ölpreis | Oil price |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2023.107236 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014559002