Does long memory matter in forecasting oil price volatility?
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- Delavari, Majid & Baranpour, Naghmeh & Abdeshahi, Abbas, 2014. "Analyzing the Effect of Real Exchange Rate on Petrochemicals Exporting," MPRA Paper 60360, University Library of Munich, Germany.
More about this item
KeywordsOil Price Volatility; Long Memory; FIGARCH; Clark-West.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- Q47 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy Forecasting
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-27 (All new papers)
- NEP-ENE-2013-04-27 (Energy Economics)
- NEP-FOR-2013-04-27 (Forecasting)
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