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A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models
16 references·8 citing·40 second hop
A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models (2011)A data envelopment analysis-based framewo…Handbook on Data Envelopment Analysis (2011)Handbook on Data Envelopment …Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesThe New Palgrave Dictionary of Economics (2008)The New Palgrave Dictionary o…Data envelopment analysis (DEA) – Thirty years on (2008)Data envelopment analysis (DE…Introduction to Data Envelopment Analysis and Its Uses: With DEA-Solver Software and References (2005)Introduction to Data Envelopm…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…Handbook on Data Envelopment Analysis (2004)Handbook on Data Envelopment …Forecasting Volatility in Financial Markets: A Review (2003)Forecasting Volatility in Fin…Out-of-sample tests of forecasting accuracy: an analysis and review (2000)Out-of-sample tests of foreca…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …5 Stochastic volatility (1996)5 Stochastic volatilityA Procedure for Ranking Efficient Units in Data Envelopment Analysis (1993)A Procedure for Ranking Effic…ARCH modeling in finance (1992)ARCH modeling in financeIrreversibility, Uncertainty, and Investment (1990)Irreversibility, Uncertainty,…Measuring the efficiency of decision making units (1978)Measuring the efficiency of d…Stock market volatility: a systematic review (2023)Stock market volatility: a sy…Performance Evaluation in Distance Education by Using Data Envelopment Analysis (DEA) and TOPSIS Methods (2020)Performance Evaluation in Dis…Futures-based forecasts: How useful are they for oil price volatility forecasting? (2019)Futures-based forecasts: How …Volatility forecasting using high frequency data: The role of after-hours information and leverage effects (2017)Volatility forecasting using …Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function (2017)Evaluating the dynamic perfor…An out-of-sample evaluation framework for DEA with application in bankruptcy prediction (2017)An out-of-sample evaluation f…Artificial intelligence methods for oil price forecasting: a review and evaluation (2015)Artificial intelligence metho…Returns to scale and damages to scale on U.S. fossil fuel power plants: Radial and non-radial approaches for DEA environmental assessment (2012)Returns to scale and damages …The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Dynamic Conditional Correlation (2002)Optimum consumption and portfolio rules in a continuous-time model (1971)Determinants of corporate borrowing (1977)Option pricing: A simplified approach (1979)Investment and Hysteresis (1992)The Correlates of Change in International Financial Regulation (1997)Environmental Policy and Technological Change (2002)The Economics of Exhaustible Resources (1931)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)What is an Oil Shock? (2000)Causes and Consequences of the Oil Shock of 2007-08 (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)The Measurement of Productive Efficiency (1957)Some Models for Estimating Technical and Scale Inefficiencies in Data Envelopment Analysis (1984)Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey (2009)Energy and CO2 emission performance in electricity generation: A non-radial directional distance function approach (2012)STATE OF ART SURVEYS OF OVERVIEWS ON MCDM/MADM METHODS (2014)The Behavior of Stock-Market Prices (1965)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)A survey of data envelopment analysis in energy and environmental studies (2007)Data Envelopment Analysis (2016)A slacks-based measure of efficiency in data envelopment analysis (2001)A slacks-based measure of super-efficiency in data envelopment analysis (2002)Estimation and inference in two-stage, semi-parametric models of production processes (2005)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Volatility forecast comparison using imperfect volatility proxies (2010)Financial time series forecasting model based on CEEMDAN and LSTM (2018)
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References

  • 1978Measuring the efficiency of decision making units29,755 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1992ARCH modeling in finance4,288 cited
  • 1993A Procedure for Ranking Efficient Units in Data Envelopment Analysis3,691 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1990Irreversibility, Uncertainty, and Investment2,456 cited
  • 2011Handbook on Data Envelopment Analysis1,975 cited
  • 2008Data envelopment analysis (DEA) – Thirty years on1,603 cited
  • 2003Forecasting Volatility in Financial Markets: A Review1,373 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 19965 Stochastic volatility1,189 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 2000Out-of-sample tests of forecasting accuracy: an analysis and review1,014 cited
  • 2004Handbook on Data Envelopment Analysis922 cited
  • 2008The New Palgrave Dictionary of Economics872 cited
  • 2005Introduction to Data Envelopment Analysis and Its Uses: With DEA-Solver Software and References

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812 cited

Cited by

  • 2023Stock market volatility: a systematic review86 cited
  • 2012Returns to scale and damages to scale on U.S. fossil fuel power plants: Radial and non-radial approaches for DEA environmental assessment78 cited
  • 2017Evaluating the dynamic performance of energy portfolios: Empirical evidence from the DEA directional distance function73 cited
  • 2015Artificial intelligence methods for oil price forecasting: a review and evaluation45 cited
  • 2020Performance Evaluation in Distance Education by Using Data Envelopment Analysis (DEA) and TOPSIS Methods39 cited
  • 2017An out-of-sample evaluation framework for DEA with application in bankruptcy prediction35 cited
  • 2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects31 cited
  • 2019Futures-based forecasts: How useful are they for oil price volatility forecasting?23 cited