Forecasting regular and extreme gold price volatility: The roles of asymmetry, extreme event, and jump

DOI10.1002/for.2781zbMath1479.62086OpenAlexW3158348414MaRDI QIDQ5012736

Yu Wei, Xiafei Li, Guiwu Wei, Xuhui Zhang, Lan Bai, Dongxin Li

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2781

zbMATH Keywords

asymmetryjumpextreme eventsGARCH-MIDASgold volatility forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Financial markets (91G15)

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