Predicting the volatility of major energy commodity prices: the dynamic persistence model

By Jozef Baruník, Lukáš Vácha

Published 2024-07-09

Everscope rating

1512.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Time-Varying Extended Wold Decomposition (TV-EWD). Problem types: Time Series Forecasting, Volatility Prediction.

arXiv:2402.01354 · Code · Paper rankings

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