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Which determinant is the most informative in forecasting crude oil market volatility : fundamental, speculation, or uncertainty?

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Forecasting the realized range-based volatility using dynamic model averaging approach

Liu, Jing; Wei, Yu; Ma, Feng; Wahab, M. I. M. - In: Economic modelling 61 (2017), pp. 12-26

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

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Cryptocurrency Uncertainty and Volatility Forecasting of Precious Metal Futures Markets

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Several common properties shared by cryptocurrencies and precious metals, such as safe haven, hedge and diversification for risk assets, have been wildly discussed since the day Bitcoin was created in 2008. However, no studies have explored whether cryptocurrency market uncertainties can help to...

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Improving forecasting performance of realized covariance with extensions of HAR-RCOV model : statistical significance and economic value

Zhang, Yaojie; Wei, Yu; Liu, Li - In: Quantitative finance 19 (2019) 9, pp. 1425-1438

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Forecasting oil price volatility : forecast combination versus shrinkage method

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Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis

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Economic constraints and stock return predictability : a new approach

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Transaction costs, trading volume and momentum strategies

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