Browsing Department of Mathematics by Author "Karlsson, Hyunjoo Kim"

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Investigating the Asymmetric Behavior of Oil Price Volatility Using Support Vector Regression

Li, Yushu; Karlsson, Hyunjoo Kim (Journal article; Peer reviewed, 2022)

This paper investigates the asymmetric behavior of oil price volatility using different types of Asymmetric Power ARCH (APARCH) model. We compare the estimation and forecasting performance of the models estimated from the ...