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subject:"ARCH-Modell"
~person:"Ma, Feng"
~person:"Gao, Wang"
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ARCH-Modell
Commodity derivative
32
Rohstoffderivat
32
Volatility
32
Volatilität
32
ARCH model
29
Forecasting model
28
Prognoseverfahren
28
Oil price
26
Ölpreis
26
Volatility forecasting
14
Erdöl
13
Petroleum
13
Estimation
12
Schätzung
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Capital income
7
Kapitaleinkommen
7
Welt
7
World
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Aktienmarkt
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Forecast
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Oil futures market
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Prognose
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Stock market
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Börsenkurs
5
Realized volatility
5
Share price
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Time series analysis
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Zeitreihenanalyse
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Artificial intelligence
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China
3
Commodity exchange
3
Coronavirus
3
Crude oil futures
3
Forecasting evaluation
3
HAR-RV-type models
3
High-frequency data
3
Künstliche Intelligenz
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Machine learning
3
Markov chain
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29
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Ma, Feng
Gao, Wang
McAleer, Michael
32
Chang, Chia-Lin
25
Manera, Matteo
13
Tansuchat, Roengchai
10
Nicolini, Marcella
9
Roengchai Tansuchat
9
Wei, Yu
9
Zhang, Yaojie
8
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
Luo, Jiawen
4
Niu, Zibo
4
Todorova, Neda
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
Go, You-How
3
Jumah, Adusei
3
Kunst, Robert M.
3
Lahiani, Amine
3
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Energy economics
10
International journal of finance & economics : IJFE
2
International review of financial analysis
2
Journal of commodity markets
2
Journal of forecasting
2
Applied economics
1
Applied economics letters
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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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
Realized higher-order moments spillovers between commodity and stock markets : evidence from China
Zhang, Hongwei
;
Jin, Chen
;
Bouri, Elie
;
Gao, Wang
;
Xu, Yahua
- In:
Journal of commodity markets
30
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014426824
Saved in:
10
The role of higher moments in predicting China's oil futures volatility : evidence from machine learning models
Zhang, Hongwei
;
Zhao, Xinyi
;
Gao, Wang
;
Niu, Zibo
- In:
Journal of commodity markets
32
(
2023
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014495762
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