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On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
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Capturing the dynamics of the China crude oil futures : Markov switching, co-movement, and volatility forecasting
Liu, Min; Lee, Chien-chiang - In: Energy economics 103 (2021), pp. 1-15
Persistent link: https://www.econbiz.de/10013364085
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Forecasting oil and gold volatilities with sentiment indicators under structural breaks
Luo, Jiawen; Demirer, Rıza; Gupta, Rangan; Ji, Qiang - In: Energy economics 105 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013201953
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The relationship between spot and futures oil prices : do structural breaks matter?
Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217
Persistent link: https://www.econbiz.de/10010504823
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Forecasting the volatility of crude oil futures using HAR-type models with structural breaks
Wen, Fenghua; Gong, Xu; Cai, Shenghua - In: Energy economics 59 (2016), pp. 400-413
Persistent link: https://www.econbiz.de/10011699710
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INE oil futures volatility prediction : exchange rates or international oil futures volatility?
Lu, Xinjie; Ma, Feng; Li, Haibo; Wang, Jianqiong - In: Energy economics 126 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014483407
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Forecasting crude oil price volatility via a HM-EGARCH model
Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012512591
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A Markov switching long memory model of crude oil price return volatility
Di Sanzo, Silvestro - In: Energy economics 74 (2018), pp. 351-359
Persistent link: https://www.econbiz.de/10011972860
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Forecasting crude oil prices by a semiparametric Markov switching model : OPEC, WTI, and Brent cases
Nademi, Arash; Nademi, Younes - In: Energy economics 74 (2018), pp. 757-766
Persistent link: https://www.econbiz.de/10011972961
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Modeling and forecasting extreme commodity prices : a Markov-Switching based extreme value model
Herrera, Rodrigo; Rodriguez, Alejandro; Pino, Gabriel - In: Energy economics 63 (2017), pp. 129-143
Persistent link: https://www.econbiz.de/10011757876