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Forecasting volatility of the US oil market

Haugom, Erik; Langeland, Henrik; Molnár, Peter; … - In: Journal of banking & finance 47 (2014), pp. 1-14

Persistent link: https://www.econbiz.de/10010506517

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

GARCH model and predictive performance of volatility forecasting : evidence from oil market

Yazdanfar, Darush - In: World review of entrepreneurship, management and … 11 (2015) 4, pp. 345-357

Persistent link: https://www.econbiz.de/10011442352

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

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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

Forecasting volatility in the petroleum futures markets : a re-examination and extension

Hasanov, Akram Shavkatovich; Shaiban, Mohammed Sharaf; … - In: Energy economics 86 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012511802

Forecasting crude oil price volatility via a HM-EGARCH model

Lin, Yu; Yang, Xiaoming; Li, Fuxing - In: Energy economics 87 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012512591

Uncertainty and crude oil market volatility : new evidence

Liang, Chao; Wei, Yu; Li, Xiafei; Zhang, Xuhui; Zhang, … - In: Applied economics 52 (2020) 27, pp. 2945-2959

Persistent link: https://www.econbiz.de/10012221463

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