Volatility forecasting of crude oil futures market : which structural change-based HAR models have better performance?
Year of publication: |
2023
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Authors: | Zhang, Yue-jun ; Zhang, Han |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 85.2023, p. 1-10
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Subject: | Crude oil market | Flexible Fourier form | Modified ICSS algorithm | Structural changes | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Ölmarkt | Oil market | Welt | World |
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