Forecasting the realized volatility of the oil futures market: A regime switching approach-Reference-Cited by-同舟云学术

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Forecasting the realized volatility of the oil futures market: A regime switching approach

Published:2017-09 Issue: Volume:67 Page:136-145
ISSN:0140-9883
Container-title:Energy Economics
language:en
Short-container-title:Energy Economics

Author:

Ma Feng,Wahab M.I.M.,Huang Dengshi,Xu Weiju

Funder

Natural Science Foundation of China

ministry of education

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

General Energy,Economics and Econometrics

Reference77 articles.

1. Volatility in crude oil futures: a comparison of the predictive ability of GARCH and implied volatility models;Agnolucci;Energy Econ.,2009

2. Out of sample forecasts of quadratic variation;Aït-Sahalia;J. Econ.,2008

3. The effects of crude oil shocks on stock market shifts behaviour: a regime switching approach;Aloui;Energy Econ.,2009

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

5. Modeling and forecasting realized volatility;Andersen;Econometrica,2003

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