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Are low-frequency data really uninformative? : a forecasting combination perspective

Ma, Feng; Li, Yu; Liu, Li; Zhang, Yaojie - In: The North American journal of economics and finance : a … 44 (2018), pp. 92-108

Persistent link: https://www.econbiz.de/10012036299

Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?

Ma, Feng; Wahab, M. I. M.; Liu, Jing; Liu, Li - In: Applied economics 50 (2018) 18, pp. 2087-2101

Persistent link: https://www.econbiz.de/10011849647

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

Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng - In: The European journal of finance 29 (2023) 14, pp. 1579-1597

Persistent link: https://www.econbiz.de/10014387948

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

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

Jumps and oil futures volatility forecasting : a new insight

Ma, Feng; Liang, Chao; Zeng, Qing; Li, Haibo - In: Quantitative finance 21 (2021) 5, pp. 853-863

Persistent link: https://www.econbiz.de/10012500197

Oil futures volatility predictability : new evidence based on machine learning models

Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - In: International review of financial analysis 83 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013460875

Oil futures volatility predictability : new evidence based on machine learning models

Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - 2022

particular ensemble models and neural network models. Most interestingly, we are the first to consider the “forecast combination … helpful for academics, policy-makers, portfolios and risk managers to anticipate risk in advance and efficiently take …

Persistent link: https://www.econbiz.de/10013294858

Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility

Ma, Feng; Wei, Yu; Huang, Dengshi; Chen, Yixiang - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 171-180

In this paper, by taking the 5-min high frequency data of the Shanghai Composite Index as example, we compare the forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their corresponding short memory model with rolling windows...

Persistent link: https://www.econbiz.de/10010931536

Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets

Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146

Persistent link: https://www.econbiz.de/10012133635