Similar Search Results

Forecasting realized range volatility : a regime-switching approach

Ma, Feng; Liu, Li; Liu, Zhichao; Wei, Yu - In: Applied economics letters 22 (2015) 16/18, pp. 1361-1365

Persistent link: https://www.econbiz.de/10011380188

Detecting jumps and regime switches in international stock markets returns

Chevallier, Julien; Goutte, Stéphane - In: Applied economics letters 22 (2015) 13/15, pp. 1011-1019

Persistent link: https://www.econbiz.de/10011312229

Volatility spillovers in commodity markets

Chevallier, Julien; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1211-1227

Persistent link: https://www.econbiz.de/10010198563

Understanding momentum in commodity markets

Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402

Persistent link: https://www.econbiz.de/10010203400

Forecasting international REITs volatility : the role of oil-price uncertainty

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - 2021

Persistent link: https://www.econbiz.de/10012661162

The role of oil futures intraday information on predicting US stock market volatility

Tang, Yusui; Xiao, Xiao; Wahab, M. I. M.; Ma, Feng - In: Journal of management science and engineering 6 (2021) 1, pp. 64-74

This study investigates the role of oil futures price information on forecasting the US stock market volatility using the HAR framework. In-sample results indicate that oil futures intraday information is helpful to increase the predictability. Moreover, compared to the benchmark model, the...

Persistent link: https://www.econbiz.de/10013206077

Forecasting the realized volatility : the role of jumps

Liu, Zhichao; Ma, Feng; Wang, Xunxiao; Xia, Zean - In: Applied economics letters 23 (2016) 10/12, pp. 736-739

Persistent link: https://www.econbiz.de/10011628475

Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

Persistent link: https://www.econbiz.de/10014303607

Financial stress and oil market volatility : new evidence

Pang, Dan; Ma, Feng; Wahab, M. I. M.; Zhu, Bo - In: Applied economics letters 30 (2023) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013552939