Forecasting volatility in the petroleum futures markets: A re-examination and extension
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DOI: 10.1016/j.eneco.2019.104626
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- Dai, Peng-Fei & Xiong, Xiong & Zhang, Jin & Zhou, Wei-Xing, 2022.
"The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model,"
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- Peng-Fei Dai & Xiong Xiong & Wei-Xing Zhou, 2020. "The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model," Papers 2007.12838, arXiv.org.
- Bannigidadmath, Deepa & Narayan, Paresh Kumar, 2022. "Economic importance of correlations for energy and other commodities," Energy Economics, Elsevier, vol. 107(C).
- Ze Shen & Minglu Wang & Qing Wan, 2023. "Tail risk of coal futures in China's market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(S2), pages 2827-2845, June.
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Keywords
Volatility forecasting; Petroleum futures; Structural breaks; MSGARCH; Distribution functions; Rolling window;All these keywords.
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