Crude Oil Volatility Prediction with Structural Regime Switching
The article introduces a new model using Markov regime switching for better prediction of volatility in the crude oil market, outperforming other high-frequency prediction models.
Featured in No. 7 on 12 Jul 2023 · on release day
- Released
- 12 Jul 2023
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 15
- Identifier
- RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003239
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).