Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data
Forecasting the covolatility of asset return series is becoming the subject of extensive research among academics, practitioners, and portfolio managers. This paper estimates a variety of multivariate GARCH models using weekly closing price (in USD/barrel) of Brent crude oil and weekly closing price...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/1424020 |
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