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Volatility returns with vengeance : financial markets vs. commodities
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 33 (2015), pp. 334-354
Persistent link: https://www.econbiz.de/10011325853
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Forecasting oil futures realized range-based volatility with jumps, leverage effect, and regime switching : new evidence from MIDAS models
Lu, Xinjie; Ma, Feng; Wang, Jiqian; Liu, Jing - In: Journal of forecasting 41 (2022) 4, pp. 853-868
Persistent link: https://www.econbiz.de/10013287870
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Spikes and crashes in the oil market
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 36 (2016), pp. 615-623
Persistent link: https://www.econbiz.de/10011594637
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Tail risk and the return-volatility relation
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 46 (2018), pp. 16-29
Persistent link: https://www.econbiz.de/10011983542
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Investigating the leverage effect in commodity markets with a recursive estimation approach
Chevallier, Julien; Ielpo, Florian - In: Research in international business and finance 39 (2017), pp. 763-778
Persistent link: https://www.econbiz.de/10011912346
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Oil vs. gasoline : the dark side of volatility and taxation
Aboura, Sofiane; Chevallier, Julien - In: Research in international business and finance 39 (2017), pp. 976-989
Persistent link: https://www.econbiz.de/10011912421
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Forecasting international equity market volatility : a new approach
Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457
Persistent link: https://www.econbiz.de/10013465704
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A tug of war of forecasting the US stock market volatility : oil futures overnight versus intraday information
Ma, Feng; Wahab, M. I. M.; Chevallier, Julien; Li, Ziyang - In: Journal of forecasting 42 (2023) 1, pp. 60-75
Persistent link: https://www.econbiz.de/10013465762
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Which factors drive Bitcoin volatility : macroeconomic, technical, or both?
Wang, Jiqian; Ma, Feng; Bouri, Elie; Guo, Yangli - In: Journal of forecasting 42 (2023) 4, pp. 970-988
Persistent link: https://www.econbiz.de/10014292892