Examining the predictive information of CBOE OVX on China’s oil futures volatility: Evidence from MS-MIDAS models

This study evaluates whether CBOE crude oil volatility index (OVX) owns forecasting ability for China’s oil futures volatility using Markov-regime mixed data sampling (MS-MIDAS) models. In-sample empirical result shows that, OVX can significantly lead to high future short-term, middle-term and long-...

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Detalles Bibliográficos
Autores principales: Lu, Xinjie, Ma, Feng, Wang, Jiqian, Wang, Jianqiong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7462548/
https://www.ncbi.nlm.nih.gov/pubmed/32904908
http://dx.doi.org/10.1016/j.energy.2020.118743

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7462548/
https://www.ncbi.nlm.nih.gov/pubmed/32904908
http://dx.doi.org/10.1016/j.energy.2020.118743

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