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Forecasting crude oil market volatility: Further evidence using GARCH-class models · Study

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ArticleForecasting crude oil market volatility: Further evidence using GARCH-class models

Yu Wei2010

Article2010

Forecasting crude oil market volatility: Further evidence using GARCH-class models

Yu Wei · Yudong Wang · Dengshi Huang

374 citations·0/0 files stored·Energy Economics

No readable copy stored yet — this record is metadata only.

Financial Risk and Volatility Modeling Forecasting Techniques and Applications Market Dynamics and Volatility

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 374 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1994Comparing Predictive Accuracy 2001Empirical properties of asset returns: stylized facts and statistical issues 1993A long memory property of stock market returns and a new model 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

Cited by

2019Geopolitical risk and oil volatility: A new insight 2017Forecasting oil price realized volatility using information channels from other asset classes 2015A novel hybrid method for crude oil price forecasting 2016Forecasting the volatility of crude oil futures using HAR-type models with structural breaks 2017Which determinant is the most informative in forecasting crude oil market volatility: Fundamental, speculation, or uncertainty?2014Forecasting the volatility of crude oil futures using intraday data 2014Forecasting volatility of the U.S. oil market 2017Investor sentiment and the price of oil

Details

Year2010

Typearticle

Published2010-07-25

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations374

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.eneco.2010.07.009

openalex_workW2010732706

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