Identifying the Determinants of Crude Oil Market Volatility by the Multivariate GARCH-MIDAS Model
Many macro-level variables have been used in forecasting crude oil price volatility. This article aims to identify which variables have the greatest impact and give more accurate predictions. The GARCH-MIDAS model with variable selection enables us to incorporate many variables in a single model. By...
Wedi'i Gadw mewn:
| Prif Awduron: | , |
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| Fformat: | Artigo |
| Iaith: | Inglês |
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MDPI AG
2022-04-01
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| Cyfres: | Energies |
| Pynciau: | |
| Mynediad Ar-lein: | https://www.mdpi.com/1996-1073/15/8/2945 |
| Tagiau: |
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