Volatility forecasting on China's oil futures : new evidence from interpretable ensemble boosting trees
Year of publication: |
2024
|
---|---|
Authors: | Feng, Lingbing ; Rao, Haicheng ; Lucey, Brian M. ; Zhu, Yiying |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 92.2024, p. 1595-1615
|
Subject: | CatBoost | Crude oil futures market | Ensemble boosting trees | LightGBM | SHAP values | Volatility forecasting | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Ölpreis | Oil price | China | ARCH-Modell | ARCH model | Erdöl | Petroleum | Prognose | Forecast |
-
Li, Yan, (2023)
-
Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
Ma, Feng, (2018)
-
Forecasting realized volatility of crude oil futures with equity market uncertainty
Wen, Fenghua, (2019)
- More ...
-
Enhancing cryptocurrency market volatility forecasting with daily dynamic tuning strategy
Feng, Lingbing, (2024)
-
Ma, Xiaobai, (2016)
-
The performance of cross-border acquirers from emerging economies
Ma, Xiaobai, (2016)
- More ...