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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-...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier Ltd.
2020
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| Materias: | |
| 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 |