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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 volatility of crude oil futures using intraday data

Sévi, Benoît - In: European journal of operational research : EJOR 235 (2014) 3, pp. 643-659

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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

Persistent link: https://www.econbiz.de/10009673777

A novel hybrid approach to forecast crude oil futures using intraday data

Manickavasagam, Jeevananthan; Visalakshmi, S.; … - In: Technological forecasting & social change : an … 158 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012516847

The role of intermediary capital risk in predicting oil volatility

Yin, Libo - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 401-416

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Jumps and oil futures volatility forecasting : a new insight

Ma, Feng; Liang, Chao; Zeng, Qing; Li, Haibo - In: Quantitative finance 21 (2021) 5, pp. 853-863

Persistent link: https://www.econbiz.de/10012500197

What the investors need to know about forecasting oil futures return volatility

Wang, Yudong; Liu, Li; Ma, Feng; Wu, Chongfeng - In: Energy economics 57 (2016), pp. 128-139

Persistent link: https://www.econbiz.de/10011698302

Forecasting the oil futures price volatility : large jumps and small jumps

Liu, Jing; Ma, Feng; Yang, Ke; Zhang, Yaojie - In: Energy economics 72 (2018), pp. 321-330

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The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market

Gong, Xu; Lin, Boqiang - In: Energy economics 74 (2018), pp. 370-386

Persistent link: https://www.econbiz.de/10011972865

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Ma, Feng; Liao, Yin; Zhang, Yaojie; Cao, Yang - In: Journal of empirical finance 52 (2019), pp. 40-55

Persistent link: https://www.econbiz.de/10012170621