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Forecasting the volatility of crude oil futures using HAR-type models with structural breaks

Wen, Fenghua; Gong, Xu; Cai, Shenghua - In: Energy economics 59 (2016), pp. 400-413

Persistent link: https://www.econbiz.de/10011699710

Dynamic volatility connectedness between industrial metal markets

Gong, Xu; Xu, Jun; Liu, Tangyong; Zhou, Zicheng - In: The North American journal of economics and finance : a … 63 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10014225779

Analyzing time-varying volatility spillovers between the crude oil markets using a new method

Liu, Tangyong; Gong, Xu - In: Energy economics 87 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012512419

Dynamic volatility spillovers across oil and natural gas futures markets based on a time-varying spillover method

Gong, Xu; Liu, Yun; Wang, Xiong - In: International review of financial analysis 76 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012804753

Predicting the volatility of crude oil futures : the roles of leverage effects and structural changes

Gong, Xu; Lin, Boqiang - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 610-640

Persistent link: https://www.econbiz.de/10012814845

Adding dummy variables : a simple approach for improved volatility forecasting in electricity market

Gong, Xu; Lin, Boqiang - In: Journal of management science and engineering 8 (2023) 2, pp. 191-213

This study used dummy variables to measure the influence of day-of-the-week effects and structural breaks on volatility. Considering day-of-the-week effects, structural breaks, or both, we propose three classes of HAR models to forecast electricity volatility based on existing HAR models. The...

Persistent link: https://www.econbiz.de/10014315942

Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions : evidence from oil volatility index

Xiao, Jihong; Zhou, Min; Wen, Fengming; Wen, Fenghua - In: Energy economics 74 (2018), pp. 777-786

Persistent link: https://www.econbiz.de/10011972968

Interaction between oil and US dollar exchange rate : nonlinear causality, time-varying influence and structural breaks in volatility

Wen, Fenghua; Xiao, Jihong; Huang, Chuangxia; Xia, Xiaohua - In: Applied economics 50 (2018) 3, pp. 319-334

Persistent link: https://www.econbiz.de/10011846847

Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model

Liu, Jian; Zhang, Ziting; Yan, Lizhao; Wen, Fenghua - In: Financial innovation : FIN 7 (2021), pp. 1-19

This study investigates the impact of economic policy uncertainty (EPU) on the volatility of European Union (EU) carbon futures prices and whether it has predictive power for the volatility of carbon futures prices. The GARCH-MIDAS model is applied for evaluating the impact of different EPU...

Persistent link: https://www.econbiz.de/10012705421

Forecasting realized volatility of crude oil futures with equity market uncertainty

Wen, Fenghua; Zhao, Yupei; Zhang, Minzhi; Hu, Chunyang - In: Applied economics 51 (2019) 59, pp. 6411-6427

Persistent link: https://www.econbiz.de/10012197349