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Forecasting oil futures price volatility : new evidence from realized range-based volatility

Ma, Feng; Zhang, Yaojie; Huang, Dengshi; Lai, Xiaodong - In: Energy economics 75 (2018), pp. 400-409

Persistent link: https://www.econbiz.de/10011974360

Forecasting the realized volatility of the oil futures market : a regime switching approach

Ma, Feng; Wahab, M. I. M.; Huang, Dengshi; Xu, Weiju - In: Energy economics 67 (2017), pp. 136-145

Persistent link: https://www.econbiz.de/10011897885

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

Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures

Ewald, Christian; Hadina, Jelena; Haugom, Erik; Lien, … - In: Finance research letters 58 (2023) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10014582226

Forecasting oil price volatility using high-frequency data : new evidence

Chen, Wang; Ma, Feng; Wei, Yu; Liu, Jing - In: International review of economics & finance : IREF 66 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012390514

Volatility forecasting on China's oil futures : new evidence from interpretable ensemble boosting trees

Feng, Lingbing; Rao, Haicheng; Lucey, Brian M.; Zhu, Yiying - In: International review of economics & finance : IREF 92 (2024), pp. 1595-1615

Persistent link: https://www.econbiz.de/10014535122

Crude Oil Volatility Index Forecasting : The Asymmetric Effects from Chinese Stock Market Jumps

Qiao, Gaoxiu; Xuekun, Ma; Gongyue, Jiang - 2022

This article mainly studies the crude oil volatility index (OVX) forecasting from the perspective of the cross …

Persistent link: https://www.econbiz.de/10014238872

The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic

Niu, Zibo; Ma, Feng; Zhang, Hongwei - In: Energy economics 112 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013350769

Oil futures volatility predictability : new evidence based on machine learning models

Lu, Xinjie; Ma, Feng; Xu, Jin; Zhang, Zehui - In: International review of financial analysis 83 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013460875

The Variance Risk Premium in Crude Oil Futures Markets : Incorporating the OVX Time Series in a Stochastic Volatility Model

Le Grand, Francois; Schneider, Lorenz - 2022

and acrisis state with high volatility and positive variance risk premium. The estimated states are consistent with GDP …In this paper we propose a stochastic volatility model for crude oil markets that has the particularity to feature a … regime-switching price of variance-risk. While preserving tractability, this model allows us to capture the episodes of …

Persistent link: https://www.econbiz.de/10013307498