Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

This paper uses the opening, high, low, and closing prices of five energy futures to estimate and model volatility based on the unbiased extreme value volatility estimator (the Add RS estimator). The statistical and distributional properties of the logarithm of the Add RS estimator support the use o...

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Bibliographic Details
Main Author: Dilip Kumar
Format: Article
Language:English
Published: Elsevier 2017-12-01
Series:IIMB Management Review
Subjects:
Energy futures
Volatility modelling
Volatility forecasting
Forecast evaluation
Bias-corrected extreme value estimator
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389617305372

Internet

http://www.sciencedirect.com/science/article/pii/S0970389617305372

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