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Modeling and forecasting the volatility of petroleum futures prices

Kang, Sang Hoon; Yoon, Seong-min - In: Energy economics 36 (2013), pp. 354-362

Persistent link: https://www.econbiz.de/10009724686

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

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

Forecasting crude oil market volatility in the context of economic slowdown in emerging markets

Morard, Bernard; Balu, Florentina - In: Theoretical and applied economics : GAER review 21 (2014) 5, pp. 19-36

Persistent link: https://www.econbiz.de/10011557676

What do market-calibrated stochastic processes indicate about the long-term price of crude oil?

Hahn, Warren J.; DiLellio, James A.; Dyer, James S. - In: Energy economics 44 (2014), pp. 212-221

Persistent link: https://www.econbiz.de/10010457221

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

Oil Price Forecasting Using Crack Spread Futures and Oil Exchange Traded Funds

Choi, Hankyeung - 2015

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/10013023098

Forecasting volatility returns of oil price using gene expression programming approach

Amo Baffour, Alexander; Jingchun, Feng; Fan, Liwei; … - In: Journal of time series econometrics 11 (2019) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10012022879

Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?

Zhang, Yue-jun; Yao, Ting; He, Ling-yun; Ripple, Ronald D. - In: International review of economics & finance : IREF 59 (2019), pp. 302-317

Persistent link: https://www.econbiz.de/10012202881

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

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