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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
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Volatility forecasting and risk management for commodity markets in the presence of asymmetry and long memory
Chkili, Walid; Hammoudeh, Shawkat; Nguyen, Duc Khuong - In: Energy economics 41 (2014), pp. 1-18
Persistent link: https://www.econbiz.de/10010374635
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Volatility forecasting in commodity markets using macro uncertainty
Bakas, Dimitrios; Triantafyllou, Athanasios - In: Energy economics 81 (2019), pp. 79-94
Persistent link: https://www.econbiz.de/10012172661
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The asymmetric spillover effect of the Markov switching mechanism from the futures market to the spot market
Chang, Kuang-Liang; Lee, Chingnun - In: International review of economics & finance : IREF 69 (2020), pp. 374-388
Persistent link: https://www.econbiz.de/10012486979
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Navigating the oil bubble : a non-linear heterogeneous-agent dynamic model of futures oil pricing
Cifarelli, Giulio; Paesani, Paolo - In: The energy journal 42 (2021) 5, pp. 101-122
Persistent link: https://www.econbiz.de/10013170656
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Predicting daily oil prices : linear and non-linear models
Dbouk, Wassim; Jamali, Ibrahim - In: Research in international business and finance 46 (2018), pp. 149-165
Persistent link: https://www.econbiz.de/10011983600
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Speculative behaviour and oil price predictability
Panopulu, Aikaterinē; Pantelidis, Theologos - In: Economic modelling 47 (2015), pp. 128-136
Persistent link: https://www.econbiz.de/10011438977
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Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang; Qin, Xiao; Diao, Xundi; He, Yingchen - In: Applied economics 48 (2016) 31/33, pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
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Volatility Predictability in Crude Oil Futures : Evidence Based on OVX, GARCH and Stochastic Volatility Models
Zhang, Zheng; Raza, Muhammad Yousaf; Wang, Wenxue; Sui, Lu - 2023
This paper explores the predictive ability of volatility in the crude oil market. A comparison in the CBOE crude oil … volatility index (OVX), GARCH and Stochastic Volatility Models are employed to investigate the forecasting performance. The daily … effect in crude oil, while stochastic volatility models examine the series dependence and heavy-tailed distribution. The …
Persistent link: https://www.econbiz.de/10014353442
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Macroeconomic attention and oil futures volatility prediction
Liu, Shan; Li, Ziwei - In: Finance research letters 57 (2023), pp. 1-4
Persistent link: https://www.econbiz.de/10014505944