Forecasting realized volatility of oil futures market: A new insight

DOI10.1002/FOR.2511zbMath1397.62423OpenAlexW2791621775MaRDI QIDQ4687664

Yu Wei, Dengshi Huang, Li Liu, Feng Ma

Publication date: 12 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2511

zbMATH Keywords

volatility forecastingrealized semi-variancessigned jump variations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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