Volatility forecasting on China's oil futures : new evidence from interpretable ensemble boosting trees
Lingbing Feng, Haicheng Rao, Brian Lucey, Yiying Zhu
| Year of publication: |
2024
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|---|---|
| Authors: | Feng, Lingbing ; Rao, Haicheng ; Lucey, Brian M. ; Zhu, Yiying |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 92.2024, p. 1595-1615
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| Subject: | CatBoost | Crude oil futures market | Ensemble boosting trees | LightGBM | SHAP values | Volatility forecasting | Volatilität | Volatility | China | Prognoseverfahren | Forecasting model | Rohstoffderivat | Commodity derivative | Erdöl | Petroleum | Ölpreis | Oil price | Prognose | Forecast | Ölmarkt | Oil market | 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.iref.2024.02.084 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014535122