Jumps in the Chinese crude oil futures volatility forecasting: New evidence-Reference-Cited by-同舟云学术

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Jumps in the Chinese crude oil futures volatility forecasting: New evidence

Published:2023-10 Issue: Volume:126 Page:106955
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Guo Yangli,Li Pan,Wu Hanlin

Funder

National Natural Science Foundation of China

Natural Science Foundation of Sichuan Province

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference63 articles.

1. Answering the skeptics: yes, standard volatility models do provide accurate forecasts;Andersen;Int. Econ. Rev.,1998

2. No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and iid noise: theory and testable distributional implications;Andersen;J. Econ.,2007

3. The role of news-based uncertainty indices in predicting oil markets: a hybrid nonparametric quantile causality method;Balcilar;Empir. Econ.,2017

4. Power and bipower variation with stochastic volatility and jumps;Barndorff-Nielsen;J. Financ. Econ.,2004

5. Forecasting the real price of oil in a changing world: a forecast combination approach;Baumeister;J. Bus. Econ. Stat.,2015

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2. Exploring the relationship between Chinese crude oil futures market efficiency and market micro characteristics;Energy Economics;2024-06

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