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Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Wang, Lu; Ma, Feng; Hao, Jianyang; Gao, Xinxin - In: International review of financial analysis 76 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012804675
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The importance of extreme shock : examining the effect of investor sentiment on the crude oil futures market
Wang, Lu; Ma, Feng; Niu, Tianjiao; Liang, Chao - In: Energy economics 99 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012939414
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Crude oil and BRICS stock markets under extreme shocks : new evidence
Wang, Lu; Ma, Feng; Niu, Tianjiao; He, Chengting - In: Economic modelling 86 (2020), pp. 54-68
Persistent link: https://www.econbiz.de/10012415223
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Forecasting stock price volatility : new evidence from the GARCH-MIDAS model
Wang, Lu; Ma, Feng; Liu, Jing; Yang, Lin - In: International journal of forecasting 36 (2020) 2, pp. 684-694
Persistent link: https://www.econbiz.de/10012415334
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Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models
Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012511406
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Do extreme shocks help forecast oil price volatility? : the augmented GARCH-MIDAS approach
Wang, Lu; Ma, Feng; Liu, Guoshan; Lang, Qiaoqi - In: International journal of finance & economics : IJFE 28 (2023) 2, pp. 2056-2073
Persistent link: https://www.econbiz.de/10014253654
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Directly pricing VIX futures with observable dynamic jumps based on high-frequency VIX
Jiang, Gongyue; Qiao, Gaoxiu; Ma, Feng; Wang, Lu - In: The journal of futures markets 42 (2022) 8, pp. 1518-1548
Persistent link: https://www.econbiz.de/10013288000
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Forecasting stock volatility in the presence of extreme shocks : Short‐term and long‐term effects
Wang, Lu; Ma, Feng; Liu, Guoshan - In: Journal of Forecasting 39 (2020) 5, pp. 797-810
Persistent link: https://www.econbiz.de/10012189069
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Global economic policy uncertainty and gold futures market volatility : Evidence from Markov regime‐switching GARCH‐MIDAS models
Ma, Feng; Lu, Xinjie; Wang, Lu; Chevallier, Julien - In: Journal of Forecasting 40 (2021) 6, pp. 1070-1085
Persistent link: https://www.econbiz.de/10012406778
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The information content of uncertainty indices for natural gas futures volatility forecasting
Liang, Chao; Ma, Feng; Wang, Lu; Zeng, Qing - In: Journal of Forecasting 40 (2021) 7, pp. 1310-1324
Persistent link: https://www.econbiz.de/10012535171