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Oil futures volatility predictability : evidence based on Twitter-based uncertainty

Lang, Qiaoqi; Lu, Xinjie; Ma, Feng; Huang, Dengshi - In: Finance research letters 47 (2022) 1, pp. 1

Persistent link: https://www.econbiz.de/10013457290

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

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

Prediction of Crude Oil Prices in a Mixed-Frequency Data-Rich Condition : New Evidence from the LASSO-MIDAS Model

Hao, Jianyang; wang, lu; Wahab, M.I.M; Ma, Feng - 2022

In a data-rich environment, few studies use many predictors at different frequencies to forecast crude oil returns. This paper proposes a new model, LASSO-MIDAS, which combines LASSO (the least absolute shrinkage and selection operator) and MIDAS (mixed data sampling model) to predict crude oil...

Persistent link: https://www.econbiz.de/10013308801

Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324

Persistent link: https://www.econbiz.de/10011533825

Forecasting the realized volatility : the role of jumps

Liu, Zhichao; Ma, Feng; Wang, Xunxiao; Xia, Zean - In: Applied economics letters 23 (2016) 10/12, pp. 736-739

Persistent link: https://www.econbiz.de/10011628475

Forecasting realized volatility in a changing world : a dynamic model averaging approach

Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149

Persistent link: https://www.econbiz.de/10011634282

Momentum of return predictability

Wang, Yudong; Liu, Li; Ma, Feng; Diao, Xundi - In: Journal of empirical finance 45 (2018), pp. 141-156

Persistent link: https://www.econbiz.de/10012102447

Forecasting the prices of crude oil : an iterated combination approach

Zhang, Yaojie; Ma, Feng; Shi, Benshan; Huang, Dengshi - In: Energy economics 70 (2018), pp. 472-483

Persistent link: https://www.econbiz.de/10011942869

Forecasting the volatility of crude oil futures using high-frequency data : further evidence

Ma, Feng; Wei, Yu; Chen, Wang; He, Feng - In: Empirical economics : a journal of the Institute for … 55 (2018) 2, pp. 653-678

Persistent link: https://www.econbiz.de/10011949867