The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China()

Based on the high-frequency heterogeneous autoregressive (HAR) model, this paper investigates whether coronavirus news (in China and globally) contains incremental information to predict the volatility of China's crude oil, and studies which types of coronavirus news can better forecast China&#...

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Detalles Bibliográficos
Autores principales: Niu, Zibo, Liu, Yuanyuan, Gao, Wang, Zhang, Hongwei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Ltd. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758279/
https://www.ncbi.nlm.nih.gov/pubmed/36567728
http://dx.doi.org/10.1016/j.resourpol.2021.102173

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9758279/
https://www.ncbi.nlm.nih.gov/pubmed/36567728
http://dx.doi.org/10.1016/j.resourpol.2021.102173

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