Cheng, Wan-Hsiu; Hung, Jui-Cheng - In: Journal of Empirical Finance 18 (2011) 1, pp. 160-173
This paper utilizes the most flexible skewed generalized t (SGT) distribution for describing petroleum and metal volatilities that are characterized by leptokurtosis and skewness in order to provide better approximations of the reality. The empirical results indicate that the forecasted...