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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.descriptionYes
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 structure
dc.subjectSquare-root-of-time rule
dc.subjectForecasting
dc.subjectForecast evaluation
dc.subjectOil prices
dc.titleForecasting the term structure of volatility of crude oil price changesen_US
dc.status.refereedYes
dc.date.application22/02/2016
dc.typeArticle
dc.type.versionAccepted manuscript
dc.identifier.doihttps://doi.org/10.1016/j.econlet.2016.02.015
refterms.dateFOA2019-03-22T15:30:20Z
dc.openaccess.statusopenAccess
dc.date.accepted15/02/2016


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