395
Views
21
CrossRef citations to date
0
Altmetric
Original Articles

Volatility forecasting for crude oil futures

&
Pages 1587-1599 | Published online: 22 Jan 2010

References

  • Andersen , T. G. and Bollerslev , T. 1998 . Answering the critics: yes, ARCH models do provide good volatility forecasts . International Economic Review , 39 : 885 – 905 .
  • Anderson , T. W. and Darling , D. A. 1952 . Asymptotic theory of certain goodness-of-fit criteria based on stochastic processes . Annals of Mathematical Statistics , 23 : 193 – 212 .
  • Bollerslev , T. 1987 . A conditionally heteroskedastic time series model for speculative prices and rates of return . The Review of Economics and Statistics , 69 : 542 – 7 .
  • Bollerslev , T. and Ghysels , E. 1996 . Periodic autoregressive conditional heteroskedasticity . Journal of Business and Economic Staististics , 14 : 139 – 51 .
  • Brooks , C. and Persand , G. 2003 . Volatility forecasting for risk management . Journal of Forecasting , 22 : 1 – 22 .
  • Christoffersen , P. F. 1998 . Evaluating interval forecasts . International Economic Reviews , 39 : 841 – 62 .
  • Diebold , F. X. and Mariano , R. S. 1995 . Comparing predictive accuracy . Journal of Business and Economic Statistics , 13 : 253 – 63 .
  • Edison, T. A., Sengers, J. V., Fleming , J. and Ostdiek , B. 1999 . The impact of energy derivatives on the crude oil market . Energy Economics , 21 : 135 – 67 .
  • Engle , R. F. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1008 .
  • Ewing , B. T. , Malik , F. and Ozfidan , O. 2002 . Volatility trasmission in the oil and natural gas markets . Energy Economics , 24 : 525 – 38 .
  • Fong , W. M. and See , K. H. 2002 . A Markov switching model of the conditional volatility of crude oil futures prices . Energy Economics , 24 : 71 – 95 .
  • Hansen , P. R. 2005 . A test for superior predictive ability . Journal of Business and Economic Statistics , 23 : 365 – 80 .
  • Hansen , P. R. and Lunde , A. 2005 . A forecast comparison of volatility models: does anything beat a GARCH (1,1)? . Journal of Applied Econometrics , 20 : 873 – 89 .
  • Harvey , D. , Leybourne , S. and Newbold , P. 1997 . Testing the equality of prediction mean squared errors . International Journal of Forecasting , 13 : 281 – 91 .
  • Marcucci , J. 2005 . Forecasting stock market volatility with regime-switching GARCH models . Studies in Nonlinear Dynamics and Econometrics , 9 : 1145 – 96 .
  • Pesaran , M. H. and Timmermann , A. 1992 . A simple nonparametric test of predictive performance . Journal of Business and Economic Statistics , 10 : 461 – 5 .
  • Sadorsky , P. 2006 . Modeling and forecasting petroleum futures volatility . Energy Economics , 28 : 467 – 88 .
  • White , A. 1980 . A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity . Econometrica , 48 : 817 – 38 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.