Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models-Reference-Cited by-同舟云学术

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Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

Published:2021-07-03 Issue:6 Volume:40 Page:584-606
ISSN:0747-4938
Container-title:Econometric Reviews
language:en
Short-container-title:Econometric Reviews

Author:

He Yanan¹,Han Ai²³⁴,Hong Yongmiao²³⁵,Sun Yuying²³⁵,Wang Shouyang²³⁵

Affiliation:

1. Wang Yannan Institute of Studies of Economics, Xiamen University, Xiamen, China

2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, China

3. Center for Forecasting Science, Chinese Academy of Sciences, Beijing, China

4. JD.com, Beijing, China

5. School of Economics and Management, University of Chinese Academy of Sciences, Beijing, China

Funder

NNSF

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/07474938.2021.1889202

Reference56 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. Different Approaches to Forecast Interval Time Series: A Comparison in Finance

3. Baumeister, C., Kilian, L., Zhou, X. (2018). Is the discretionary income effect of oil price shocks a hoax? The Energy Journal 39(1):117–137.

4. Systematic Monetary Policy and the Effects of Oil Price Shocks

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