Volatility forecasting for crude oil futures
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More about this item
KeywordsGARCH models; kurtosis; oil prices; forecasting;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-06-30 (All new papers)
- NEP-ENE-2007-06-30 (Energy Economics)
- NEP-ETS-2007-06-30 (Econometric Time Series)
- NEP-FOR-2007-06-30 (Forecasting)
- NEP-RMG-2007-06-30 (Risk Management)
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