Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models-Reference-Cited by-同舟云学术

Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models

Published:2021-12-23 Issue: Volume: Page:
ISSN:0277-6693
Container-title:Journal of Forecasting
language:en
Short-container-title:Journal of Forecasting

Author:

Lu Xinjie¹,Ma Feng¹^ORCID,Wang Jiqian¹,Liu Jing²^ORCID

Affiliation:

1. School of Economics and Management Southwest Jiaotong University Chengdu Sichuan China

2. Business School Sichuan University Chengdu Sichuan China

Funder

Fundamental Research Funds for the Central Universities

China Postdoctoral Science Foundation

National Natural Science Foundation of China

Publisher

Wiley

Subject

Management Science and Operations Research,Statistics, Probability and Uncertainty,Strategy and Management,Computer Science Applications,Modeling and Simulation

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/for.2837

Reference49 articles.

1. MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets;Alper C. E.;Economics Letters,2012

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

3. Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data

4. Google Trends and the forecasting performance of exchange rate models

5. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

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