Forecasting crude oil and refined products volatilities and correlations: New evidence from fractionally integrated multivariate GARCH models
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DOI: 10.1016/j.eneco.2020.104757
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More about this item
Keywords
Multivariate GARCH; Long memory; Superior predictive ability test; Model confidence set; Value-at-risk;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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