Panagiotis Delis

Panteion University of Athens - Department of Economic and Regional Development

136, Sygrou Avenue

176 71 Athens

Greece

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Scholarly Papers (1)

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What Matters When Developing Oil Price Volatility Forecasting Frameworks?

USAEE Working Paper No. 20-446
Number of pages: 46 Posted: 14 May 2020
Panteion University of Athens - Department of Economic and Regional Development, Department of Economic and Regional Development, Panteion University of Political and Social Sciences and Bournemouth University
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Abstract:

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HAR model, realized volatility, Oil price implied volatility index, multi-step ahead forecasts, time-varying parameter model