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Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting
16 references·16 citing·37 second hopsampled
Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting (2021)Capturing the dynamics of the China crude…Financial markets under the global pandemic of COVID-19 (2020)Financial markets under the g…What do we learn from the price of crude oil futures? (2010)What do we learn from the pri…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …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…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.1 (1998)Market efficiency, long-term …Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis (1997)Markov-Switching Vector Autor…Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Transmission mechanisms of geopolitical risks to the crude oil market——A pioneering two-stage geopolitical risk analysis approach (2023)Transmission mechanisms of ge…Systemic risk of Chinese financial institutions and asset price bubbles (2023)Systemic risk of Chinese fina…An empirical study on the response of the energy market to the shock from the artificial intelligence industry (2023)An empirical study on the res…Urban broadband infrastructure and green total-factor energy efficiency in China (2022)Urban broadband infrastructur…The sustainability of industrial structure on green eco-efficiency in the Yellow River Basin (2022)The sustainability of industr…The path of financial risk spillover in the stock market based on the R-vine-Copula model (2022)The path of financial risk sp…The impacts of energy insecurity on green innovation: A multi-country study (2022)The impacts of energy insecur…The criticality of tourism development, economic complexity, and country security on ecological footprint (2022)The criticality of tourism de…New evidence on liquidity creation and bank capital: The roles of liquidity and political risk (2022)New evidence on liquidity cre…Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model (2022)Natural gas volatility predic…Is gold a long-run hedge, diversifier, or safe haven for oil? Empirical evidence based on DCC-MIDAS (2022)Is gold a long-run hedge, div…Interval forecasting of carbon price: A novel multiscale ensemble forecasting approach (2022)Interval forecasting of carbo…Implications of clean energy, oil and emissions pricing for the GCC energy sector stock (2022)Implications of clean energy,…Environmental regulation, innovation capability, and green total factor productivity: New evidence from China (2022)Environmental regulation, inn…Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-19 (2022)Comparing the asymmetric effi…A green path towards sustainable development: Optimal behavior of the duopoly game model with carbon neutrality instruments (2022)A green path towards sustaina…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Generalized impulse response analysis in linear multivariate models (1998)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Investor Psychology and Asset Pricing (2001)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Presidential Address: Discount Rates (2011)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)Economic impact of government interventions during the COVID-19 pandemic: International evidence from financial markets (2020)Financial contagion during COVID–19 crisis (2020)Stock markets’ reaction to COVID-19: Cases or fatalities? (2020)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1998Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth French and Jay Ritter get special thanks.12,572 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 2020Financial markets under the global pandemic of COVID-192,349 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
  • 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited

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2006
Realized Variance and Market Microstructure Noise
1,164 cited
  • 1997Markov-Switching Vector Autoregressions: Modelling, Statistical Inference, and Application to Business Cycle Analysis761 cited
  • 2010What do we learn from the price of crude oil futures?744 cited
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    • 2023Systemic risk of Chinese financial institutions and asset price bubbles63 cited
    • 2022Comparing the asymmetric efficiency of dirty and clean energy markets pre and during COVID-1961 cited
    • 2022Implications of clean energy, oil and emissions pricing for the GCC energy sector stock60 cited
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