Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74
predictability. Moreover, compared to the benchmark model, the proposed models improve their predictive ability with the help of oil … futures realized volatility. In particular, the multivariate HAR model outperforms the univariate model. Accordingly …