Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic

In this study, we focus on the role of jumps and leverage in predicting the realized volatility (RV) of China's crude oil futures. We employ a standard mixed data sampling (MIDAS) modeling framework. First, the in-sample results indicate that the jump and leverage effects are useful in predicti...

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Detalles Bibliográficos
Autores principales: Chen, Zhonglu, Ye, Yong, Li, Xiafei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8590519/
https://www.ncbi.nlm.nih.gov/pubmed/34803209
http://dx.doi.org/10.1016/j.resourpol.2021.102453

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8590519/
https://www.ncbi.nlm.nih.gov/pubmed/34803209
http://dx.doi.org/10.1016/j.resourpol.2021.102453

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