Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

DOI10.1080/07474938.2021.1889202zbMath1490.62318OpenAlexW3192412192MaRDI QIDQ5862427

Yanan He, Yuying Sun, Yongmiao Hong, Ai Han, Shou-Yang Wang

Publication date: 9 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2021.1889202

zbMATH Keywords

trading strategyrangevolatility forecastACI modelinterval-valued crude oil prices

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (3)

Forecasting interval-valued crude oil prices using asymmetric interval models ⋮ Model averaging for interval-valued data ⋮ Econometric Reviews Honors Cheng Hsiao

Cites Work

• Different approaches to forecast interval time series: a comparison in finance
• Threshold autoregressive models for interval-valued time series data
• Modeling and forecasting interval time series with threshold models
• Brexit and its impact on the US stock market
• Modeling Interval Time Series with Space–Time Processes
• Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling
• Uncertainty shocks of Trump election in an interval model of stock market
• Interval estimation: An information theoretic approach

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