Zobrazeno 1 - 10
of 1 042
pro vyhledávání: '"Oil futures"'
Publikováno v:
Quantitative Finance and Economics, Vol 8, Iss 3, Pp 573-609 (2024)
Using the GARCH-MIDAS model, we investigated the impact of Chinese and global macro-level determinants on the return volatility of Shanghai crude oil futures, covering Chinese and global economic policy uncertainty, Chinese and global crude oil deman
Externí odkaz:
https://doaj.org/article/9831384268ed4b479f7fc8d50dc62c63
Publikováno v:
Commodities, Vol 3, Iss 2, Pp 225-247 (2024)
In this study, we investigate the ability of three higher-order risk-neutral return cumulants to predict short maturity (weekly) returns of oil futures. Our data includes weekly West Texas Crude Oil futures options that expire in 7 days (7DTE). Using
Externí odkaz:
https://doaj.org/article/17a770a53cc149418c85ac41903327bb
Autor:
Anupam Dutta, Elie Bouri
Publikováno v:
Energy Strategy Reviews, Vol 56, Iss , Pp 101588- (2024)
This paper proposes an augmented heterogenous autoregressive (HAR) model with time-varying jumps to forecast the realized volatility (RV) of crude oil futures. Jump-induced volatility of crude oil futures is obtained from a GARCH-jump process, then u
Externí odkaz:
https://doaj.org/article/06221de19a3f43e682926a49d94e915c
Publikováno v:
In International Review of Financial Analysis January 2025 97
Publikováno v:
Heliyon, Vol 10, Iss 17, Pp e36631- (2024)
Commodity futures are an important hedging tool in material trade, and by accurately predicting prices, countries and firms are able to make informed production and consumption decisions. This paper introduces a novel machine learning ensemble method
Externí odkaz:
https://doaj.org/article/652f5002494548d2b53e8bd9d093c421
Publikováno v:
International Journal of Energy Economics and Policy, Vol 14, Iss 5 (2024)
This paper investigates if the Rate of Change (ROC), as a popular measure of momentum, can serve as a reliable technical analysis indicator to improve stock price prediction for U.S. West Texas Intermediate (WTI) crude oil futures market. The methodo
Externí odkaz:
https://doaj.org/article/9c62bb86667d4b938977de8c1a6cadce
Publikováno v:
The Journal of Risk Finance, 2024, Vol. 25, Issue 2, pp. 321-336.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/JRF-04-2023-0096
Publikováno v:
In Heliyon 15 September 2024 10(17)
Publikováno v:
Grey Systems: Theory and Application, 2023, Vol. 14, Issue 1, pp. 91-114.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/GS-08-2023-0073
Publikováno v:
In Energy Economics October 2023 126