Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism
Danyan Wen, Yudong Wang, Yaojie Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Wen, Danyan ; Wang, Yudong ; Zhang, Yaojie |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 96.2021, p. 209-219
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| Subject: | Chinese crude oil futures market | Economic gains | Intraday momentum and reversal | Return predictability | China | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Ölpreis | Oil price | Schätzung | Estimation | Erdöl | Petroleum | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2021.01.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012745351