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Forecasting the Real Prices of Crude Oil : A Dynamic Model Averaging Approach

Wang, Yudong - 2015

Forecasting oil prices has been of great interests for macroeconomists in the recent years. Our article contributes to this strand of the literature by using a dynamic model averaging (DMA) method to improve forecasting accuracy of real oil prices. The advantage of DMA is that the method...

Persistent link: https://www.econbiz.de/10013024889

Forecasting the stock risk premium : a new statistical constraint

Hao, Xianfeng; Wang, Yudong - In: Journal of forecasting 42 (2023) 7, pp. 1805-1822

Persistent link: https://www.econbiz.de/10014432771

Forecasting energy market volatility using GARCH models : can multivariate models beat univariate models?

Wang, Yudong; Wu, Chongfeng - In: Energy economics 34 (2012) 6, pp. 2167-2181

Persistent link: https://www.econbiz.de/10009688795

What can we learn from the history of gasoline crack spreads? : long memory, structural breaks and modeling implications

Wang, Yudong; Wu, Chongfeng - In: Economic modelling 29 (2012) 2, pp. 349-360

Persistent link: https://www.econbiz.de/10009536826

Hedging with futures : does anything beat the naïve hedging strategy?

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 2870-2889

Persistent link: https://www.econbiz.de/10011413497

Commodity price changes and the predictability of economic policy uncertainty

Wang, Yudong; Zhang, Bing; Diao, Xundi; Wu, Chongfeng - In: Economics letters 127 (2015), pp. 39-42

Persistent link: https://www.econbiz.de/10011382844

A nonparametric approach to test for predictability

Pan, Zhiyuan; Wang, Yudong; Wu, Chongfeng - In: Economics letters 148 (2016), pp. 10-16

Persistent link: https://www.econbiz.de/10011619752

Forecasting the real prices of crude oil under economic and statistical constraints

Wang, Yudong; Liu, Li; Diao, Xundi; Wu, Chongfeng - In: Energy economics 51 (2015), pp. 599-608

Persistent link: https://www.econbiz.de/10011565055

Forecasting crude oil market volatility : a Markov switching multifractal volatility approach

Wang, Yudong; Wu, Chongfeng; Li, Yang - In: International journal of forecasting 32 (2016) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10011596312

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