Browsing Departament: Economia by Keyword "Superior predictive ability test"
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Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data
Elsevier (2016)This paper adopts the Markov-switching multifractal (MSM) model and a battery of generalized autoregressive conditional heteroscedasticity (GARCH)-type models to model and forecast oil price volatility. Extending previous ...