Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models (Q5860976): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1080/07474938.2019.1690190 / rank | |||
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| Property / OpenAlex ID: W2994069434 / rank | |||
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| Property / cites work: Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis / rank | |||
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| Property / cites work: Forecasting the volatility of crude oil futures using intraday data / rank | |||
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| Property / cites work: Q3928091 / rank | |||
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| Property / cites work: Testing and Modeling Threshold Autoregressive Processes / rank | |||
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Latest revision as of 04:46, 28 July 2024
scientific article; zbMATH DE number 7484506
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models |
scientific article; zbMATH DE number 7484506 |
Statements
Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models (English)
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4 March 2022
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forecasting
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jump
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realized volatility
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threshold augmented HAR model
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wavelet
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