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Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds
16 references·4 citing·40 second hop
Exploiting Dependence: Day-Ahead Volatility Forecasting for Crude Oil and Natural Gas Exchange-Traded Funds (2018)Exploiting Dependence: Day-Ahead Volatili…Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)Good Volatility, Bad Volatili…Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Multivariate realised kernels…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…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…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Modeling and forecasting petroleum futures volatility (2006)Modeling and forecasting petr…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…The Combination of Forecasts (1969)The Combination of ForecastsIs investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility? (2021)Is investor sentiment stronge…Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework (2021)Forecasting the volatility of…Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment (2021)Climate Risks and the Realize…Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks? (2019)Trading and non-trading perio…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Does Anything Beat 5-Minute RV? 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1969The Combination of Forecasts3,194 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2015Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility772 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 2011Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading506 cited
  • 2006

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Modeling and forecasting petroleum futures volatility
479 cited
  • 2006How Profitable Is Capital Structure Arbitrage?476 cited
  • Cited by

    • 2021Is investor sentiment stronger than VIX and uncertainty indices in predicting energy volatility?74 cited
    • 2021Forecasting the volatility of crude oil futures: The role of oil investor attention and its regime switching characteristics under a high-frequency framework38 cited
    • 2021Climate Risks and the Realized Volatility Oil and Gas Prices: Results of an Out-of-Sample Forecasting Experiment34 cited
    • 2019Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?31 cited