Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models (Q5860976)
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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 |
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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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