Haugom E, Langeland H, Molnar P, Westgaard S (2014): Forecasting volatility of the US oil market. Journal of Banking & Finance, 47(October):1-14.Haugom, E., Langeland, H., Molnar, P., Westgaard, S., 2014. Forecasting volatility of the us oil market. J. Banking Finance 47, 1-...
Considering nonlinear and highly persistent dynamics of realized volatility, we introduce Markov regime switching models to the Heterogeneous Autoregressive model of the Realized Volatility (HAR-RV) models to forecast the realized volatility of the crude oil futures market. In-sample results demonstrate th...
We are committed to forecasting the volatility of oil futures basis.Univariate models display better forecasting performance than multivariate models.The estimation error has some effects on the more complex multivariate models.Univariate models have a superior performance from the economic point of view....
Forecasting crude oil market volatility: can the Regime Switching GARCH model beat the single-regime GARCH models? 2016. Forecasting crude oil market volatility: a Markov switching multifractal volatility approach. Interna- tional Journal of Forecasting 32: 1-9.Zhang, Y., Yao, T. and He, L. ...
Herd behavior is a typical market anomaly, which tends to have a significant impact on stock price volatility. This paper introduced a new measurement of herd behavior (HERDI) based on previous measuring methods and analyzed the effect and forecasting ability of herd behavior (HERDI) on the SSEC...
Finally, the out-of-sample forecasts provide mixed results and indicate that none of the specifications of the volatility model is appropriate for analyzing the LM dynamics in the Saudi Arabian exchange market. Overall, our results have implications for portfolio managers and policy makers in oil-...
futures market as well as the characteristics of the data it generates, we utilize contracts with three months to delivery, the most liquid contract series, to systematically explore volatility forecasting for aluminum, copper, fuel oil, and sugar at the daily and three intraday sampling frequencies...
The Volatility of the Stock Market and Financial Cycle: GARCH Family Models 2022, Jurnal Ekonomi Malaysia Coherence and entropy of credit cycles across the euro area candidate countries 2021, Entropy View all citing articles on ScopusThis paper is an extension of “The financial cycle and recession...
Volatility forecasting for crude oil futures. Appl. Econ. Lett. 17, 1587-1599.Marzo M, Zagalia P (2007), " Volatility Forecasting for Crude Oil Futures", Working Paper 599, Department of Economics, Stockholm UniversityMarzo, M., & Zagaglia, P. (2010). Volatility forecasting for crude oil...
Realized volatilityvolatility forecastingequity market uncertaintyHAR-RV modelcrude oil futuresThis paper examines whether the equity market uncertainty (EMU) index contains incremental information for forecasting the realized volatility of crude oil futures. We use 5-min high-frequency transaction data for ...