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On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks

  • Published:2020-06 Issue: Volume:89 Page:104781
  • ISSN:0140-9883
  • Container-title:Energy Economics
  • language:en
  • Short-container-title:Energy Economics

Author:

Luo Jiawen,Ji Qiang,Klein Tony,Todorova Neda,Zhang Dayong

Funder

National Natural Science Foundation of China

Natural Science Foundation of Guangdong Province

Soft Science Foundation of Guangdong

Youth Innovation Promotion Association of Chinese Academy of Sciences

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference80 articles.

1. The impact of oil price uncertainty on GCC stock markets;Alqahtani;Res. Policy,2019

2. Does Uncertainty About Oil Prices Slow Down the Economy?;Anderson,2003

3. Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models;Arouri;Energy Economics,2012

4. Autoregressive moving average infinite hidden Markov-switching models;Bauwens;J. Bus. Econ. Stat.,2017

5. Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns;Blair;J. Econ.,2001

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