Work

Forecasting the oil futures price volatility: Large jumps and small jumps

Year: 2018

Type: article

Source: Energy Economics

DOI: 10.1016/j.eneco.2018.04.023

Authors: Jing Liu, Feng Ma, Ke Yang, Yaojie Zhang

Institutions: Sichuan University, Southwest Jiaotong University, South China University of Technology

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: National Natural Science Foundation of China, Ministry of Education of the People's Republic of China, National Office for Philosophy and Social Sciences, Fundamental Research Funds for the Central Universities

Awards: 基于混频技术和组合预测的资产复杂相关性密度预测研究：短期冲击、长期影响与机制转换, G2079728654, G2407384743, G2718800015, G2863136839, 高频数据视角下的金融市场波动率建模及预测：基于机制转换和动态模型平均组合预测法的研究, G3261279388, G6601909015, G6895795335, 波动率指数衍生产品定价方法研究——基于离散时间波动率模型新视角

OpenAlex ID: W2803050378

FWCI: 14.55

Cites: 61

Cited by: 79

Related to: 10