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Markov switching GARCH models for Bayesian hedging on energy futures markets

Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562

Persistent link: https://www.econbiz.de/10011942887

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

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

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

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

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

Markov Switching GARCH Models for Bayesian Hedging on Energy Futures Markets

Billio, Monica - 2015

A new Bayesian multi-chain Markov Switching GARCH model for dynamic hedging in energy futures markets is developed by constructing a system of simultaneous equations for the return dynamics on the hedged portfolio and futures. More specifically, both the mean and variance of the hedged portfolio...

Persistent link: https://www.econbiz.de/10013033418

Markov switching GARCH models for Bayesian hedging on energy futures markets

Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014

Persistent link: https://www.econbiz.de/10011629426

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

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