This paper incorporates the Baidu Index into various heterogeneous autoregressive type time series models and shows that the Baidu Index is a superior predictor of realized volatility in the SSE 50 Index. Furthermore, the predictability of the Baidu Index is found to rise as the forecasting...

A number of studies have investigated the predictability of Chinese stock returns with economic variables. Given the newly emerged dataset from the Internet, this paper investigates whether the Baidu Index can be employed to predict Chinese stock returns. The empirical results show that 1) the...

With rapid growth of natural gas consumption in China, it is in urgent need of more accurate and reliable models to make a reasonable forecast. Considering the limitations of the single model and the model uncertainty, this paper presents a combinative method to forecast natural gas consumption...