Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes-Reference-Cited by-同舟云学术

Predicting the volatility of crude oil futures: The roles of leverage effects and structural changes

Published:2020-08-28 Issue:1 Volume:27 Page:610-640
ISSN:1076-9307
Container-title:International Journal of Finance & Economics
language:en
Short-container-title:Int. J Fin Econ

Author:

Gong Xu¹^ORCID,Lin Boqiang¹^ORCID

Affiliation:

1. School of Management, China Institute for Studies in Energy Policy, Collaborative Innovation Center for Energy Economics and Energy Policy Xiamen University Xiamen China

Funder

National Natural Science Foundation of China

National Social Science Foundation of China

Social Science Planning Project of Fujian Province

Fundamental Research Funds for the Central Universities

Publisher

Wiley

Subject

Economics and Econometrics,Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2171

Reference69 articles.

1. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

2. Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

3. Modeling and Forecasting Realized Volatility

4. A reduced form framework for modeling volatility of speculative prices based on realized variation measures

5. ANALYTICAL EVALUATION OF VOLATILITY FORECASTS*

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