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Volatility forecasting of crude oil market : can the regime switching GARCH model beat the single-regime GARCH models?
Zhang, Yue-jun; Yao, Ting; He, Ling-yun; Ripple, Ronald D. - In: International review of economics & finance : IREF 59 (2019), pp. 302-317
Persistent link: https://www.econbiz.de/10012202881
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The time-varying spillover effect between WTI crude oil futures returns and hedge funds
Zhang, Yue-jun; Wu, Yao-Bin - In: International review of economics & finance : IREF 61 (2019), pp. 156-169
Persistent link: https://www.econbiz.de/10012205400
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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
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Forecasting the VaR of crude oil market: do alternative distributions help?
Lyu, Yongjian; Wang, Peng; Wei, Yu; Ke, Rui - In: Energy economics 66 (2017), pp. 523-534
Persistent link: https://www.econbiz.de/10011896562
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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
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Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?
Wei, Yu; Liu, Jing; Lai, Xiaodong; Hu, Yang - In: Energy economics 68 (2017), pp. 141-150
Persistent link: https://www.econbiz.de/10011905038
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Forecasting oil price volatility using high-frequency data : new evidence
Chen, Wang; Ma, Feng; Wei, Yu; Liu, Jing - In: International review of economics & finance : IREF 66 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012390514
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The impact of investor sentiment on crude oil market risks : evidence from the wavelet approach
Zhang, Yue-jun; Li, Shu-Hui - In: Quantitative finance 19 (2019) 8, pp. 1357-1371
Persistent link: https://www.econbiz.de/10012194792
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Which uncertainty is powerful to forecast crude oil market volatility? : new evidence
Li, Xiafei; Wei, Yu; Chen, Xiaodan; Ma, Feng; Liang, Chao; … - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4279-4297
Persistent link: https://www.econbiz.de/10013461327
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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