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subject:"ARCH-Modell"
~person:"Ma, Feng"
~person:"Zagaglia, Paolo"
~type_genre:"Article in journal"
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ARCH-Modell
Commodity derivative
31
Rohstoffderivat
31
ARCH model
29
Volatility
29
Volatilität
29
Oil price
27
Ölpreis
27
Forecasting model
25
Prognoseverfahren
25
Volatility forecasting
14
Estimation
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Time series analysis
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United States
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Forecast
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Prognose
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Realized volatility
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Crude oil futures
3
Forecasting evaluation
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HAR-RV-type models
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Markov chain
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Markov-Kette
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Oil futures price
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Oil market
3
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3
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Ma, Feng
Zagaglia, Paolo
Wei, Yu
8
Zhang, Yaojie
8
McAleer, Michael
7
Chevallier, Julien
6
Liu, Jing
6
Lu, Xinjie
6
Chang, Chia-Lin
5
Hammoudeh, Shawkat
5
Nguyen, Duc Khuong
5
Chen, Wang
4
Gong, Xu
4
Huang, Dengshi
4
Ji, Qiang
4
Karali, Berna
4
Liang, Chao
4
Luo, Jiawen
4
Manera, Matteo
4
Wang, Lu
4
Wang, Yudong
4
Zhang, Yue-jun
4
Bouri, Elie
3
Go, You-How
3
Lahiani, Amine
3
Lau, Wee-Yeap
3
Liao, Yin
3
Liu, Li
3
Mensi, Walid
3
Nicolini, Marcella
3
Power, Gabriel J.
3
Roengchai Tansuchat
3
Sadorsky, Perry A.
3
Serletis, Apostolos
3
Tanattrin Bunnag
3
Todorova, Neda
3
Wahab, M. I. M.
3
Wilmot, Neil A.
3
Wohar, Mark E.
3
Xu, Yahua
3
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Energy economics
12
Applied economics letters
2
International journal of finance & economics : IJFE
2
International review of financial analysis
2
Journal of forecasting
2
Applied economics
1
Economic modelling
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Finance research letters
1
Financial innovation : FIN
1
International review of economics & finance : IREF
1
Journal of empirical finance
1
Quantitative finance
1
The journal of futures markets
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ECONIS (ZBW)
29
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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 : a new approach
Ma, Feng
;
Liu, Jing
;
Huang, Dengshi
;
Chen, Wang
- In:
Economic modelling
64
(
2017
),
pp. 560-566
Persistent link: https://www.econbiz.de/10011761312
Saved in:
4
Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
Ma, Feng
;
Wahab, M. I. M.
;
Liu, Jing
;
Liu, Li
- In:
Applied economics
50
(
2018
)
18
,
pp. 2087-2101
Persistent link: https://www.econbiz.de/10011849647
Saved in:
5
Forecasting the realized volatility of the oil futures market : a regime switching approach
Ma, Feng
;
Wahab, M. I. M.
;
Huang, Dengshi
;
Xu, Weiju
- In:
Energy economics
67
(
2017
),
pp. 136-145
Persistent link: https://www.econbiz.de/10011897885
Saved in:
6
Forecasting the volatility of crude oil futures using high-frequency data : further evidence
Ma, Feng
;
Wei, Yu
;
Chen, Wang
;
He, Feng
- In:
Empirical economics : a journal of the Institute for …
55
(
2018
)
2
,
pp. 653-678
Persistent link: https://www.econbiz.de/10011949867
Saved in:
7
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:
8
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:
9
A note on the conditional correlation between energy prices : evidence from future markets
Marzo, Massimiliano
;
Zagaglia, Paolo
- In:
Energy economics
30
(
2008
)
5
,
pp. 2454-2458
Persistent link: https://www.econbiz.de/10003773784
Saved in:
10
Macroeconomic factors and oil futures prices : a data-rich model
Zagaglia, Paolo
- In:
Energy economics
32
(
2010
)
2
,
pp. 409-417
Persistent link: https://www.econbiz.de/10003954628
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