Similar Search Results

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

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

Crude oil volatility forecasting : insights from a novel time-varying parameter GARCH-MIDAS model

Peng, Lijuan; Liang, Chao; Yang, Baoying; Wang, Lu - In: International review of economics & finance : IREF 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014583437

Exploring the impact of oil security attention on oil volatility : a new perspective

Wang, Lu; Liang, Chao - In: International finance : the only journal bridging the … 27 (2024) 1, pp. 61-80

Persistent link: https://www.econbiz.de/10014532201

More attention and better volatility forecast accuracy : how does war attention affect stock volatility predictability?

Liang, Chao; Wang, Lu; Duy Duong - In: Journal of economic behavior & organization 218 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014552793

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

Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models : either, neither or both?

Wang, Lu; Wu, Jiangbin; Cao, Yang; Hong, Yanran - In: Energy economics 111 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013349997

Natural gas volatility prediction : fresh evidence from extreme weather and extended GARCH-MIDAS-ES model

Liang, Chao; Xia, Zhenglan; Lai, Xiaodong; Wang, Lu - In: Energy economics 116 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013542113

Predicting the volatility of China's new energy stock market : deep insight from the realized EGARCH-MIDAS model

Wang, Lu; Zhao, Chenchen; Liang, Chao; Jiu, Song - In: Finance research letters 48 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013463292

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