Modeling WTI Crude Oil Volatility
A new version of the heterogeneous autoregressive model is proposed, using a common leverage factor to improve commodity market forecasts, with robustness tests confirming its effectiveness.
Featured in No. 91 on 2 Apr 2025 · on release day
- Released
- 2 Apr 2025
- First featured
- No. 91 · 2 Apr 2025
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5201931
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).