Search Results - subject:"volatility forecasting."

Improving volatility forecasting based on Chinese volatility index information : evidence from CSI 300 index and futures markets

Qiao, Gaoxiu; Teng, Yuxin; Li, Weiping; Liu, Wenwen - In: The North American journal of economics and finance : a … 49 (2019), pp. 133-151

Persistent link: https://www.econbiz.de/10012269160

Forecasting the U.S. stock volatility : an aligned jump index from G7 stock markets

Ma, Feng; Wahab, M. I. M.; Zhang, Yaojie - In: Pacific-Basin finance journal 54 (2019), pp. 132-146

Persistent link: https://www.econbiz.de/10012133635

Heterogeneous beliefs and aggregate market volatility revisited : new evidence from China

Wang, Yudong; Diao, Xundi; Pan, Zhiyuan; Wu, Chongfeng - In: Pacific-Basin finance journal 55 (2019), pp. 127-141

Persistent link: https://www.econbiz.de/10012169519

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

Good, bad cojumps and volatility forecasting : new evidence from crude oil and the U.S. stock markets

Chen, Yixiang; Ma, Feng; Zhang, Yaojie - In: Energy economics 81 (2019), pp. 52-62

Persistent link: https://www.econbiz.de/10012172656

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

The signal and the noise volatilities

Chaker, Selma - In: Research in international business and finance 50 (2019), pp. 79-105

Persistent link: https://www.econbiz.de/10012177017

Assessing the uncertainty in central banks' inflation outlooks

Knüppel, Malte; Schultefrankenfeld, Guido - In: International journal of forecasting 35 (2019) 4, pp. 1748-1769

Persistent link: https://www.econbiz.de/10012305527

Geopolitical risk and oil volatility : a new insight

Liu, Jing; Ma, Feng; Tang, Yingkai; Zhang, Yaojie - In: Energy economics 84 (2019), pp. 1-10

Persistent link: https://www.econbiz.de/10012182780

Volatility modelling of CO2 emission allowance spot prices with regime-switching GARCH models

Benschopa, Thijs; López Cabreraa, Brenda - 2014

We analyse the short-term spot price of European Union Allowances (EUAs), which is of particular importance in the transition of energy markets and for the development of new risk management strategies. Due to the characteristics of the price process, such as volatility persistence, breaks in...

Persistent link: https://www.econbiz.de/10010427050