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dc.contributor.authorBalaban, E.*
dc.contributor.authorLu, Shan*
dc.date.accessioned2019-03-22T15:30:20Z
dc.date.available2019-03-22T15:30:20Z
dc.date.issued2016-04
dc.identifier.citationBalaban E and Lu S (2016) Forecasting the term structure of volatility of crude oil price changes. Economics Letters. 141: 116-118.en_US
dc.identifier.urihttp://hdl.handle.net/10454/16911
dc.descriptionYesen_US
dc.description.abstractThis is a pioneering effort to test the comparative performance of two competing models for out-of-sample forecasting the term structure of volatility of crude oil price changes employing both symmetric and asymmetric evaluation criteria. Under symmetric error statistics, our empirical model using the estimated growth factor of volatility through time is overall superior, and it beats in most cases the benchmark model of the square-root-of-time for holding periods between one and 250 days. Under asymmetric error statistics, if over-prediction (under-prediction) of volatility is undesirable, the empirical (benchmark) model is consistently superior. Relative performance of the empirical model is much higher for holding periods up to fifty days.en_US
dc.language.isoenen_US
dc.rights© 2016 Elsevier B.V. All rights reserved. Reproduced in accordance with the publisher's self-archiving policy. This manuscript version is made available under the CC-BY-NC-ND 4.0 license.en_US
dc.subjectVolatility term structureen_US
dc.subjectSquare-root-of-time ruleen_US
dc.subjectForecastingen_US
dc.subjectForecast evaluationen_US
dc.subjectOil pricesen_US
dc.titleForecasting the term structure of volatility of crude oil price changesen_US
dc.status.refereedYesen_US
dc.date.Accepted2016-02-15
dc.date.application2016-02-22
dc.typeArticleen_US
dc.type.versionAccepted manuscripten_US
dc.identifier.doihttps://doi.org/10.1016/j.econlet.2016.02.015
refterms.dateFOA2019-03-22T15:30:20Z


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