El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements
We use the heterogenous autoregressive (HAR) model to compute out-of-sample forecasts of the monthly realized variance (RV) of movements of the spot and futures price of heating oil. We extend the HAR–RV model to include the role of El Niño and La Niña episodes, as captured by the Equatorial Souther...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-07-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/13/14/7987 |