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Oil price volatility forecast with mixture memory GARCH
Tony Klein, Thomas Walther
Queen's Business School (QBS)
Research output
:
Contribution to journal
›
Article
›
peer-review
91
Citations (Scopus)
734
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Dive into the research topics of 'Oil price volatility forecast with mixture memory GARCH'. Together they form a unique fingerprint.
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Economics, Econometrics and Finance
ARCH Model
40%
Expectation-Maximization Algorithm
20%
Generalized Autoregressive Conditional Heteroskedasticity
100%
Oil
100%
Price
60%
Price Volatility
100%
Return
40%
Risk Management
20%
Volatility
80%
Social Sciences
Application
10%
Asymmetry
10%
Comparison
10%
Crude Oil
10%
Flexibility
10%
Forecasting
30%
Literature
10%
Memory
100%
Oil Price
100%
Parameter
20%
Price Volatility
100%
Process
10%
Risk Management
10%
Statistical Inference
20%
Superior
10%
Testing
10%
Value at Risk
20%
Variance
30%