Liu, Li; Geng, Qianjie; Zhang, Yaojie; Wang, Yudong - In: Journal of management science and engineering 7 (2022) 3, pp. 423-438
In this paper, we review studies of oil volatility prediction from a new perspective: that of investors who require economic evaluations of forecasting performance. Our results indicate that no single volatility model outperforms all of the competing models, of which GARCH and realized...
