Can the sentiment of the official media predict the return volatility of the Chinese crude oil futures?
Zhiwei Xu, Shiqi Gan, Xia Hua, Yujie Xiong
| Year of publication: |
2024
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|---|---|
| Authors: | Xu, Zhiwei ; Gan, Shiqi ; Hua, Xia ; Xiong, Yujie |
| Published in: |
Energy economics. - Amsterdam [u.a.] : Elsevier Science, ISSN 1873-6181, ZDB-ID 2000893-4. - Vol. 140.2024, Art.-No. 107967, p. 1-21
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| Subject: | BERT | Chinese crude oil futures | In-and out-of-sample analysis | Intraday return volatility | Official media sentiment | Volatilität | Volatility | China | Rohstoffderivat | Commodity derivative | Kapitaleinkommen | Capital income | Erdöl | Petroleum | ARCH-Modell | ARCH model | Welt | World |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2024.107967 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015543117