Zhang, Yaojie; Wang, Yudong; Ma, Feng; Wei, Yu - In: Financial innovation : FIN 8 (2022), pp. 1-31
price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …
