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Investigating the risk-return trade-off for crude oil futures using high-frequency data
16 references·1 citing·34 second hop
Investigating the risk-return trade-off for crude oil futures using high-frequency data (2016)Investigating the risk-return trade-off f…Forecasting realized volatility in a changing world: A dynamic model averaging approach (2015)Forecasting realized volatili…Is There an Intertemporal Relation between Downside Risk and Expected Returns? (2009)Is There an Intertemporal Rel…Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)Explaining Credit Default Swa…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…Modelling Financial Time Series (2007)Modelling Financial Time Seri…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Econometrics of Testing for J…Consistent ranking of volatility models (2005)Consistent ranking of volatil…A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)A forecast comparison of vola…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…An Expected Gain-Confidence Limit Criterion for Portfolio Selection (1963)An Expected Gain-Confidence L…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-19 (2022)Time-frequency volatility spi…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Specification Tests in Econometrics (1978)Stochastic Integration and Differential Equations (2005)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)A long memory property of stock market returns and a new model (1993)Modeling and Forecasting Realized Volatility (2003)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Comparing Predictive Accuracy (1994)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Volatility forecast comparison using imperfect volatility proxies (2010)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Expected Stock Returns and Variance Risk Premia (2009)The VIX, the variance premium and stock market volatility (2014)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)
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  • 2015

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Forecasting realized volatility in a changing world: A dynamic model averaging approach
292 cited
  • 2009Is There an Intertemporal Relation between Downside Risk and Expected Returns?288 cited
  • Cited by

    • 2022Time-frequency volatility spillovers across the international crude oil market and Chinese major energy futures markets: Evidence from COVID-1967 cited