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Applied Economics Letters Volume 17, 2010 - Issue 16
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Original Articles

Volatility forecasting for crude oil futures

Massimiliano Marzo Department of Economics, Università di Bologna, Piazza Scaravilli 2, Bologna, ItalyCorrespondence[email protected]
&
Paolo Zagaglia Department of Economics, Stockholm University, Universitetsvägen 10A, SE-106 91, Stockholm, Sweden
Pages 1587-1599 | Published online: 22 Jan 2010

Citations (21)

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Fenghua Wen, Yupei Zhao, Minzhi Zhang & Chunyan Hu. (2019) Forecasting realized volatility of crude oil futures with equity market uncertainty. Applied Economics 51:59, pages 6411-6427.
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Xundi Diao & Bin Tong. (2015) Forecasting intraday volatility and VaR using multiplicative component GARCH model. Applied Economics Letters 22:18, pages 1457-1464.
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Articles from other publishers (19)

Zheng Zhang, Muhammad Yousaf Raza, Wenxue Wang & Lu Sui. (2023) Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models. Energy Strategy Reviews 50, pages 101209.
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Andrea Bucci, Lidan He & Zhi Liu. (2023) Combining dimensionality reduction methods with neural networks for realized volatility forecasting. Annals of Operations Research.
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Shuhua Bei, Aijun Yang, Haotian Pei & Xiaoli Si. (2023) Price risk management of the shanghai crude oil futures market using GARCH family Models. Economic Modelling, pages 106367.
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Umer Shahzad, Tuhin Sengupta, Amar Rao & Lianbiao Cui. (2023) Forecasting carbon emissions future prices using the machine learning methods. Annals of Operations Research.
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Yue-Jun Zhang, Ting Yao, Ling-Yun He & Ronald Ripple. (2019) Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. International Review of Economics & Finance 59, pages 302-317.
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Mahmoud Qadan & Hazar Nama. (2018) Investor sentiment and the price of oil. Energy Economics 69, pages 42-58.
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Amélie Charles & Olivier Darné. (2017) Forecasting crude-oil market volatility: Further evidence with jumps. Energy Economics 67, pages 508-519.
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Jamal Ouenniche, Bing Xu & Kaoru Tone. 2017. Advances in DEA Theory and Applications. Advances in DEA Theory and Applications 381 403 .
Fenghua Wen, Xu Gong & Shenghua Cai. (2016) Forecasting the volatility of crude oil futures using HAR-type models with structural breaks. Energy Economics 59, pages 400-413.
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Haiqi Li, Hyung-Gun Kim & Sung Y. Park. (2015) The role of financial speculation in the energy future markets: A new time-varying coefficient approach. Economic Modelling 51, pages 112-122.
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Terence D. Agbeyegbe. (2015) An inverted U‐shaped crude oil price return‐implied volatility relationship. Review of Financial Economics 27:1, pages 28-45.
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Raúl De Jesús Gutiérrez, Reyna Vergara González & Miguel A. Díaz Carreño. (2015) Predicción de la volatilidad en el mercado del petróleo mexicano ante la presencia de efectos asimétricos. Cuadernos de Economía 34:65, pages 299-326.
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Tao Xiong, Chongguang Li, Yukun Bao, Zhongyi Hu & Lu Zhang. (2015) A combination method for interval forecasting of agricultural commodity futures prices. Knowledge-Based Systems 77, pages 92-102.
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Erik Haugom, Henrik Langeland, Peter Molnár & Sjur Westgaard. (2014) Forecasting volatility of the U.S. oil market. Journal of Banking & Finance 47, pages 1-14.
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Amélie Charles & Olivier Darné. (2014) Volatility persistence in crude oil markets. Energy Policy 65, pages 729-742.
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Jamal Ouenniche, Bing Xu & Kaoru Tone. (2014) Relative Performance Evaluation of Competing Crude Oil Prices’ Volatility Forecasting Models: A Slacks-Based Super-Efficiency DEA Model. American Journal of Operations Research 04:04, pages 235-245.
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Kristofer Jakobsson, Bengt Söderbergh, Simon Snowden, Chuan-Zhong Li & Kjell Aleklett. (2012) Oil exploration and perceptions of scarcity: The fallacy of early success. Energy Economics 34:4, pages 1226-1233.
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Bing Xu & Jamal Ouenniche. (2012) A data envelopment analysis-based framework for the relative performance evaluation of competing crude oil prices' volatility forecasting models. Energy Economics 34:2, pages 576-583.
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Erik Haugom, Henrik Langeland, Peter Molnnr & Sjur Westgaard. (2014) Forecasting Volatility of the U.S. Oil Market. SSRN Electronic Journal.
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