摘要 : Abstract In this study, we investigate the impacts of common information between oil futures and the United States stock markets on forecasting oil volatility using the multivariate heterogeneous autoregressive realized volatility... 展开
作者 | Yusui Tang Feng Ma Yaojie Zhang Yu Wei |
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作者单位 | |
期刊名称 | 《International journal of finance & economics》 |
页码/总页数 | 974-987 / 14 |
语种/中图分类号 | 英语 / F7 |
关键词 | DCC‐GARCH multivariate HAR oil futures market volatility forecasting volatility residuals |
DOI | 10.1002/ijfe.2399 |
馆藏号 | F-332 |