Title:

Modeling and Forecasting the Oil Volatility Index

Authors:

João Henrique Gonçalves Mazzeu (U Campinas)
Helena Veiga (U Carlos III, ISCTE - Instituto Universitário de Lisboa)
Massimo B. Mariti (U Milano-Bicocca)

Journal:

Journal Of Forecasting

Year:

2019

Volume:

38

Number:

8

Pages:

773-787

JEL codes:

C51 - Model Construction and Estimation
G13 - Contingent Pricing; Futures Pricing