Work

Harnessing jump component for crude oil volatility forecasting in the presence of extreme shocks

Year: 2019

Type: article

Source: Journal of Empirical Finance

DOI: 10.1016/j.jempfin.2019.01.004

Authors: Feng Ma, Yin Liao, Yaojie Zhang, Yang Cao

Institutions: Southwest Jiaotong University, Queensland University of Technology, Nanjing University of Science and Technology, Communauté Université Grenoble Alpes, Grenoble Ecole de Management, Université Grenoble Alpes

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: National Natural Science Foundation of China

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, 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

OpenAlex ID: W2915780587

FWCI: 33.03

Cites: 50

Cited by: 182

Related to: 10