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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

Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?

Wei, Yu; Liu, Jing; Lai, Xiaodong; Hu, Yang - In: Energy economics 68 (2017), pp. 141-150

Persistent link: https://www.econbiz.de/10011905038

Higher moment risk premiums for the crude oil market : a downside and upside conditional decomposition

Fonseca, José da; Xu, Yahua - In: Energy economics 67 (2017), pp. 410-422

Persistent link: https://www.econbiz.de/10011897942

An empirical analysis of the volume-volatility nexus in crude oil markets under structural breaks : implications for forecasting

Patra, Saswat - In: International review of economics & finance : IREF 94 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10014583719

Oil price forecasting using crack spread futures and oil exchange traded funds

Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary economics 9 (2015) 1, pp. 29-44

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Persistent link: https://www.econbiz.de/10010520870

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

Forecasting crude oil market volatility in the context of economic slowdown in emerging markets

Morard, Bernard; Balu, Florentina - In: Theoretical and applied economics : GAER review 21 (2014) 5, pp. 19-36

Persistent link: https://www.econbiz.de/10011557676

A study of Shanghai fuel oil futures price volatility based on high frequency data : long-range dependence, modeling and forecasting

Liu, Li; Wan, Jieqiu - In: Economic modelling 29 (2012) 6, pp. 2245-2253

Persistent link: https://www.econbiz.de/10009673777

Forecasting volatility returns of oil price using gene expression programming approach

Amo Baffour, Alexander; Jingchun, Feng; Fan, Liwei; … - In: Journal of time series econometrics 11 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012022879

Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?

Zhang, Yue-jun; Yao, Ting; He, Ling-yun; Ripple, Ronald D. - In: International review of economics & finance : IREF 59 (2019), pp. 302-317

Persistent link: https://www.econbiz.de/10012202881

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