Forecasting energy futures volatility with threshold augmented heterogeneous autoregressive jump models

DOI10.1080/07474938.2019.1690190zbMath1490.62320OpenAlexW2994069434MaRDI QIDQ5860976

Wael Louhichi, Zied Ftiti, Fredj Jawadi

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2019.1690190

zbMATH Keywords

waveletforecastingjumprealized volatilitythreshold augmented HAR model

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites Work

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• Forecasting the volatility of crude oil futures using intraday data
• Testing and Modeling Threshold Autoregressive Processes
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis