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subject:"ARCH-Modell"
~person:"Lahiani, Amine"
~person:"Zhang, Yaojie"
~subject:"Chinese crude oil futures market"
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ARCH-Modell
Chinese crude oil futures market
Commodity derivative
14
Rohstoffderivat
14
Volatility
12
Volatilität
12
ARCH model
11
Forecasting model
11
Oil price
11
Prognoseverfahren
11
Ölpreis
11
Estimation
7
Schätzung
7
Volatility forecasting
7
Capital income
5
Erdöl
5
Kapitaleinkommen
5
Petroleum
5
Capital market returns
3
Hedging
3
Kapitalmarktrendite
3
Oil market
3
Portfolio selection
3
Portfolio-Management
3
Return predictability
3
Welt
3
World
3
Ölmarkt
3
Forecast
2
Forecast combination
2
Jump intensity
2
Oil futures market
2
Prognose
2
Time series analysis
2
Zeitreihenanalyse
2
Agricultural Commodities
1
Asset allocation
1
Autocorrelation
1
Autokorrelation
1
Börsenkurs
1
China
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English
11
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Lahiani, Amine
Zhang, Yaojie
McAleer, Michael
32
Ma, Feng
26
Chang, Chia-Lin
25
Manera, Matteo
13
Tansuchat, Roengchai
10
Nicolini, Marcella
9
Roengchai Tansuchat
9
Wei, Yu
9
Chevallier, Julien
6
Hammoudeh, Shawkat
6
Liu, Jing
6
Lu, Xinjie
6
Nguyen, Duc Khuong
6
Zagaglia, Paolo
6
Ji, Qiang
5
Vignati, Ilaria
5
Bouri, Elie
4
Chen, Wang
4
Gong, Xu
4
Huang, Dengshi
4
Karali, Berna
4
Khalaf, Lynda
4
Lanza, Alessandro
4
Liang, Chao
4
Luo, Jiawen
4
Niu, Zibo
4
Todorova, Neda
4
Wang, Lu
4
Wang, Yudong
4
Zhang, Hongwei
4
Zhang, Yue-jun
4
Algieri, Bernardina
3
Billio, Monica
3
Casarin, Roberto
3
Charupat, Narat
3
Deaves, Richard
3
Gao, Wang
3
Go, You-How
3
Jumah, Adusei
3
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Energy economics
4
The journal of applied business research
2
Economic modelling
1
Financial innovation : FIN
1
International journal of finance & economics : IJFE
1
International journal of forecasting
1
Journal of empirical finance
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ECONIS (ZBW)
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1
Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks
Ma, Feng
;
Liao, Yin
;
Zhang, Yaojie
;
Cao, Yang
- In:
Journal of empirical finance
52
(
2019
),
pp. 40-55
Persistent link: https://www.econbiz.de/10012170621
Saved in:
2
Out-of-sample prediction of the oil futures market volatility : a comparison of new and traditional combination approaches
Zhang, Yaojie
;
Ma, Feng
;
Wei, Yu
- In:
Energy economics
81
(
2019
),
pp. 1109-1120
Persistent link: https://www.econbiz.de/10012173075
Saved in:
3
Forecasting the oil futures price volatility : large jumps and small jumps
Liu, Jing
;
Ma, Feng
;
Yang, Ke
;
Zhang, Yaojie
- In:
Energy economics
72
(
2018
),
pp. 321-330
Persistent link: https://www.econbiz.de/10011972334
Saved in:
4
Forecasting oil futures price volatility : new evidence from realized range-based volatility
Ma, Feng
;
Zhang, Yaojie
;
Huang, Dengshi
;
Lai, Xiaodong
- In:
Energy economics
75
(
2018
),
pp. 400-409
Persistent link: https://www.econbiz.de/10011974360
Saved in:
5
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models
Arouri, Mohamed
;
Lahiani, Amine
;
Lévy, Aldo
;
Nguyen, …
- In:
Energy economics
34
(
2012
)
1
,
pp. 283-293
Persistent link: https://www.econbiz.de/10009618848
Saved in:
6
Understanding return and volatility spillovers among major agricultural commodities
Lahiani, Amine
;
Nguyen, Duc Khuong
;
Vo, Thierry
- In:
The journal of applied business research
29
(
2013
)
6
,
pp. 1781-1790
Persistent link: https://www.econbiz.de/10010229476
Saved in:
7
Commodity price correlation and time varying hedge ratios
Lahiani, Amine
;
Guesmi, Khaled
- In:
The journal of applied business research
30
(
2014
)
4
,
pp. 1053-1061
Persistent link: https://www.econbiz.de/10010400627
Saved in:
8
Intraday return predictability in China's crude oil futures market : new evidence from a unique trading mechanism
Wen, Danyan
;
Wang, Yudong
;
Zhang, Yaojie
- In:
Economic modelling
96
(
2021
),
pp. 209-219
Persistent link: https://www.econbiz.de/10012745351
Saved in:
9
Global economic policy uncertainty aligned : an informative predictor for crude oil market volatility
Zhang, Yaojie
;
He, Mengxi
;
Wang, Yudong
;
Liang, Chao
- In:
International journal of forecasting
39
(
2023
)
3
,
pp. 1318-1332
Persistent link: https://www.econbiz.de/10014465282
Saved in:
10
Forecasting the oil price realized volatility : a multivariate heterogeneous autoregressive model
Tang, Yusui
;
Ma, Feng
;
Zhang, Yaojie
;
Wei, Yu
- In:
International journal of finance & economics : IJFE
27
(
2022
)
4
,
pp. 4770-4783
Persistent link: https://www.econbiz.de/10013461377
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