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Forecasting the oil futures price volatility: Large jumps and small jumps · Study

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ArticleForecasting the oil futures price volatility: Large jumps and small jumps

Jing Liu2018

Article2018

Forecasting the oil futures price volatility: Large jumps and small jumps

Jing Liu · Feng Ma · Ke Yang · Yaojie Zhang

79 citations·0/0 files stored·Energy Economics

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

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References

1986Generalized autoregressive conditional heteroskedasticity 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 2008A Simple Approximate Long-Memory Model of Realized Volatility 2004Power and Bipower Variation with Stochastic Volatility and Jumps 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility 2010Volatility forecast comparison using imperfect volatility proxies

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock marketsarticle · 29 shared references 2017Forecasting the realized volatility of the oil futures market: A regime switching approacharticle · 25 shared references 2018Forecasting realized volatility of oil futures market: A new insightarticle · 25 shared references 2019Forecasting oil price volatility using high-frequency data: New evidencearticle · 24 shared references 2017Are low-frequency data really uninformative? A forecasting combination perspectivearticle · 21 shared references 2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approachesarticle · 20 shared references

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Year2018

Typearticle

Published2018-04-18

VenueEnergy Economics

ISSN-L0140-9883

Languageen

Citations79

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.eneco.2018.04.023

openalex_workW2803050378

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2019Forecasting oil price volatility using high-frequency data: New evidence

2019The role of jumps in the agricultural futures market on forecasting stock market volatility: New evidence

2019Out-of-sample prediction of the oil futures market volatility: A comparison of new and traditional combination approaches