Forecasting crude oil price intervals and return volatility via autoregressive conditional interval models

He, YA; Han, AI; Hong, YM; Sun, YY; Wang, SY

Sun, YY (corresponding author), Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China.; Hong, YM (corresponding author), Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China.

ECONOMETRIC REVIEWS, 2021; 40 (6): 584

Abstract

Crude oil prices are of vital importance for market participants and governments to make energy policies and decisions. In this paper, we apply a newl......

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