Modeling and forecasting the oil volatility index-Reference-Cited by-同舟云学术

Modeling and forecasting the oil volatility index

Published:2019-06-27 Issue:8 Volume:38 Page:773-787
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Mazzeu João H. Gonçalves¹,Veiga Helena²³,Mariti Massimo B.⁴

Affiliation:

1. Department of StatisticsUniversity of Campinas Campinas‐SP Brazil

2. Department of Statistics and Instituto Flores de LemusUniversidad Carlos III de Madrid Spain

3. BRU‐IUL, Instituto Universitário de Lisboa Portugal

4. University Milano‐Bicocca Italy

Funder

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Fundação para a Ciência e a Tecnologia

Ministerio de Economía y Competitividad

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2598

Reference65 articles.

1. Aggregation, Persistence and Volatility in a Macro Model

2. Commodities in Asset Allocation: A Real-Asset Alternative to Real Estate?

3. Asymmetry and Long Memory in Volatility Modeling

4. Oil spills on other commodities

5. Fractionally integrated generalized autoregressive conditional heteroskedasticity

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