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Forecasting the aggregate oil price volatility in a data-rich environment
Ma, Feng; Liu, Jing; Wahab, M. I. M.; Zhang, Yaojie - In: Economic modelling 72 (2018), pp. 320-332
Persistent link: https://www.econbiz.de/10012100341
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Forecasting crude oil futures prices using global macroeconomic news sentiment
Sadik, Zryan A.; Date, Paresh M.; Mitra, Gautam - In: IMA journal of management mathematics 31 (2020) 2, pp. 190-215
Persistent link: https://www.econbiz.de/10012181862
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Essays in financial econometrics
Tsiaras, Leonidas - 2010
Persistent link: https://www.econbiz.de/10008697624
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Forecasting in the presence of structural breaks and model uncertainty
Rapach, David E. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003731593
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Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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Forecasting volatility in the Chinese stock market under model uncertainty
Li, Yong; Huang, Wei-ping; Zhang, Jie - In: Economic modelling 35 (2013), pp. 231-234
Persistent link: https://www.econbiz.de/10010259459
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Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach
Salisu, Afees A.; Gupta, Rangan; Bouri, Elie - 2022
Persistent link: https://www.econbiz.de/10012820363
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Forecasting Coherent Volatility Breakouts
Didenko, Alexander - 2015
The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals … minimal covers with decreasing scale is used to decompose volatility into two dynamic components: specific A(t) and structural … uptrends in volatility. To test statistical significance of its abilities we introduce several estimators of conditional and …
Persistent link: https://www.econbiz.de/10013024084
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Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19
This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon … futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is … applied for evaluating the impact of different EPU indexes on the price volatility of European Union Allowance (EUA) futures …
Persistent link: https://www.econbiz.de/10012705421
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Chinese stock market volatility and the role of U.S. economic variables
Chen, Jian; Jiang, Fuwei; Li, Hongyi; Xu, Weidong - In: Pacific-Basin finance journal 39 (2016), pp. 70-83
Persistent link: https://www.econbiz.de/10011669190