Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Jiqian Wang, Yisu Huang, Feng Ma, Julien Chevallier
| Year of publication: |
2020
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|---|---|
| Authors: | Wang, Jiqian ; Huang, Yisu ; Ma, Feng ; Chevallier, Julien |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 91.2020, p. 1-13
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| Subject: | Stock market | Realized volatility | Crude oil futures | Forecasting | High-frequency data | Volatilität | Volatility | Prognoseverfahren | Forecasting model | USA | United States | Aktienmarkt | Erdöl | Petroleum | Zeitreihenanalyse | Time series analysis | Rohstoffderivat | Commodity derivative | Schätzung | Estimation | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2020.104897 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012518664