کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10134532 | 1645626 | 2018 | 34 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Forecasting oil futures price volatility: New evidence from realized range-based volatility
ترجمه فارسی عنوان
پیش بینی قیمت نوسان قیمت معاملات آتی: شواهد جدید مبنی بر نوسانات مبتنی بر محدوده
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی انرژی
انرژی (عمومی)
چکیده انگلیسی
In this article, we investigate the impacts of jump intensity on the volatility of futures in the oil futures market using the heterogeneous autoregressive model of realized range-based volatility (HAR-RRV) and its extended model. We present several interesting and notable findings. First, short-term investors have larger influences on oil futures price volatility. In addition, negative returns are significant, but the effects of jumps and their intensity (probability) appear to not be significant during the in-sample period. Second, the out-of-sample results statistically support that our proposed models are able to achieve higher forecast accuracy than that of the benchmark in both the statistical and economic senses, especially when including the combination of significant jumps and jump intensity. Third, our findings are strongly robust in various checks, such as different forecasting windows, sampling frequencies, and volatility measures.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Energy Economics - Volume 75, September 2018, Pages 400-409
Journal: Energy Economics - Volume 75, September 2018, Pages 400-409
نویسندگان
Feng Ma, Yaojie Zhang, Dengshi Huang, Xiaodong Lai,