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Default return spread : a powerful predictor of crude oil price returns
Han, Qingxiang; He, Mengxi; Zhang, Yaojie; Umar, Muhammad - In: Journal of forecasting 42 (2023) 7, pp. 1786-1804
Persistent link: https://www.econbiz.de/10014432770
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Forecasting the realized volatility of agricultural commodity prices : does sentiment matter?
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of forecasting 43 (2024) 6, pp. 2088-2125
Persistent link: https://www.econbiz.de/10015110366
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Forecasting volatility with many predictors
Ke, Tsung-han; Hu, Yu-pin - In: Journal of forecasting 32 (2013) 8, pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Time‐varying parameter realized volatility models
Wang, Yudong; Pan, Zhiyuan; Wu, Chongfeng - In: Journal of forecasting 36 (2017) 5, pp. 566-580
Persistent link: https://www.econbiz.de/10011860698
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Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility
Marfatia, Hardik A.; Ji, Qiang; Luo, Jiawen - In: Journal of forecasting 41 (2022) 2, pp. 383-404
Persistent link: https://www.econbiz.de/10012817783
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Forecasting realized volatility of crude oil futures prices based on machine learning
Luo, Jiawen; Klein, Tony; Walther, Thomas; Ji, Qiang - In: Journal of forecasting 43 (2024) 5, pp. 1422-1446
Persistent link: https://www.econbiz.de/10015108396
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Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.; So, Mike Ka-pui; Lin, Edward M. H. - In: Journal of forecasting 28 (2009) 8, pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
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Forecasting stock returns with industry volatility concentration
Zhang, Yaojie; He, Mengxi; Zhang, Zhikai - In: Journal of forecasting 43 (2024) 7, pp. 2705-2730
Persistent link: https://www.econbiz.de/10015110540
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Uncertainty-driven oil volatility risk premium and international stock market volatility forecasting
Fang, Tong; Miao, Deyu; Su, Zhi; Yin, Libo - In: Journal of forecasting 42 (2023) 4, pp. 872-904
Persistent link: https://www.econbiz.de/10014292840