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Geopolitical risk uncertainty and oil future volatility : evidence from MIDAS models

Mei, Dexiang; Ma, Feng; Liao, Yin; Wang, Lu - In: Energy economics 86 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012511406

Forecasting the realized volatility : the role of jumps

Liu, Zhichao; Ma, Feng; Wang, Xunxiao; Xia, Zean - In: Applied economics letters 23 (2016) 10/12, pp. 736-739

Persistent link: https://www.econbiz.de/10011628475

Forecasting realized volatility in a changing world : a dynamic model averaging approach

Wang, Yudong; Ma, Feng; Wei, Yu; Wu, Chongfeng - In: Journal of banking & finance 64 (2016), pp. 136-149

Persistent link: https://www.econbiz.de/10011634282

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

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

Are low-frequency data really uninformative? : a forecasting combination perspective

Ma, Feng; Li, Yu; Liu, Li; Zhang, Yaojie - In: The North American journal of economics and finance : a … 44 (2018), pp. 92-108

Persistent link: https://www.econbiz.de/10012036299

Which is the better forecasting model? A comparison between HAR-RV and multifractality volatility

Ma, Feng; Wei, Yu; Huang, Dengshi; Chen, Yixiang - In: Physica A: Statistical Mechanics and its Applications 405 (2014) C, pp. 171-180

In this paper, by taking the 5-min high frequency data of the Shanghai Composite Index as example, we compare the forecasting performance of HAR-RV and Multifractal volatility, Realized volatility, Realized Bipower Variation and their corresponding short memory model with rolling windows...

Persistent link: https://www.econbiz.de/10010931536

Forecasting global equity market volatilities

Zhang, Yaojie; Ma, Feng; Liao, Yin - In: International journal of forecasting 36 (2020) 4, pp. 1454-1475

Persistent link: https://www.econbiz.de/10012546804

Jumps and oil futures volatility forecasting : a new insight

Ma, Feng; Liang, Chao; Zeng, Qing; Li, Haibo - In: Quantitative finance 21 (2021) 5, pp. 853-863

Persistent link: https://www.econbiz.de/10012500197

Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664