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Intraday Return Predictability in the Crude Oil Market : The Role of EIA Inventory Announcements

Indriawan, Ivan; Lien, Donald D.; Wen, Zhuzhu; Xu, Yahua - 2021

We study the impact of the announcements released by the US Energy Information Administration (EIA) crude oil storage every Wednesday at 10:30 ET (the beginning of the third half-hour interval) on intraday return predictability, that is, intraday momentum. Our results indicate that returns on...

Persistent link: https://www.econbiz.de/10013233972

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

Forecasting U.S. real GDP using oil prices : a time-varying parameter MIDAS model

Pan, Zhiyuan; Wang, Qing; Wang, Yudong; Li, Yang - In: Energy economics 72 (2018), pp. 177-187

Persistent link: https://www.econbiz.de/10011972301

Predictability of crude oil prices : an investor perspective

Liu, Li; Wang, Yudong; Yang, Li - In: Energy economics 75 (2018), pp. 193-205

Persistent link: https://www.econbiz.de/10011974002

Data-driven modelling, analysis and improvement of multistage production systems with predictive maintenance and product quality

Cui, Peng-Hao; Wang, Jun-Qiang; Li, Yang - In: International journal of production research 60 (2022) 22, pp. 6848-6865

Persistent link: https://www.econbiz.de/10013501129

Stock price prediction using multi-scale nonlinear ensemble of deep learning and evolutionary weighted support vector regression

Wang, Jujie; Zhuang, Zhenzhen; Gao, Dongming; Li, Yang; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 27 (2023) 3, pp. 397-421

Persistent link: https://www.econbiz.de/10014372898

Impact of corrections for dynamic selection bias on forecasts of retention behavior

Li, Yang; Mayer, Walter James - In: Journal of forecasting 26 (2007) 8, pp. 571-582

Persistent link: https://www.econbiz.de/10003608143

Forecasting the Real Prices of Crude Oil : A Dynamic Model Averaging Approach

Wang, Yudong - 2015

Forecasting oil prices has been of great interests for macroeconomists in the recent years. Our article contributes to this strand of the literature by using a dynamic model averaging (DMA) method to improve forecasting accuracy of real oil prices. The advantage of DMA is that the method...

Persistent link: https://www.econbiz.de/10013024889