To jump or not to jump: momentum of jumps in crude oil price volatility prediction
Abstract A well-documented finding is that explicitly using jumps cannot efficiently enhance the predictability of crude oil price volatility. To address this issue, we find a phenomenon, “momentum of jumps” (MoJ), that the predictive ability of the jump component is persistent when forecasting the...
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| Autori principali: | , , , |
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| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
SpringerOpen
2022-06-01
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| Serie: | Financial Innovation |
| Soggetti: | |
| Accesso online: | https://doi.org/10.1186/s40854-022-00360-7 |
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