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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

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

Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting

Choi, Youngsoo - 2012

The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...

Persistent link: https://www.econbiz.de/10013097543

The Importance of the Volatility Risk Premium for Volatility Forecasting

Prokopczuk, Marcel - 2014

In this paper, we study the role of the volatility risk premium for the forecasting performance of implied volatility …. We introduce a non-parametric and parsimonious approach to adjust the model-free implied volatility for the volatility … adjusted implied volatility significantly outperforms other models, including its unadjusted counterpart. Our main finding …

Persistent link: https://www.econbiz.de/10013064315

Volatility forecasting for crude oil based on text information and deep learning PSO-LSTM model

Jiao, Xingrui; Song, Yuping; Kong, Yang; Tang, Xiaolong - In: Journal of forecasting 41 (2022) 5, pp. 933-944

Persistent link: https://www.econbiz.de/10013287887

What should be taken into consideration when forecasting oil implied volatility index?

Delis, Panagiotis; Degiannakis, Stavros; Giannopoulos, … - In: The energy journal 44 (2023) 5, pp. 231-249

Persistent link: https://www.econbiz.de/10014380730

Informational efficiency in futures markets for crude oil

Fritz, Andreas; Weber, Christoph - 2011 - Revised version: January 2012

This paper develops a methodology to test whether recent developments on world oil markets are in line with the hypothesis of efficient markets. We treat the joint hypothesis problem as stated by Fama (1970), Fama (1991), that market efficiency can only be assessed in conjunction with a price...

Persistent link: https://www.econbiz.de/10010426695