2020
DOI: 10.1016/j.eneco.2020.104781
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On realized volatility of crude oil futures markets: Forecasting with exogenous predictors under structural breaks

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Cited by 51 publications
(21 citation statements)
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“…They found that market is inefficient after turbulent and crises event occurred such as oil crash in 1985, the Gulf war and the oil price crash in 2008. Luo et al (2020) introduced the Infinite Hidden Markov (IHM) model to forecast crude oil realized volatility in the presence of structural breaks such as change in policy, exogenous shock and other factors like financial and health crisis. The authors recommended that IHM-HAR models with exogenous factors are superior for short term forecast and provides economic gains.…”
Section: Literature Reviewsmentioning
confidence: 99%
“…They found that market is inefficient after turbulent and crises event occurred such as oil crash in 1985, the Gulf war and the oil price crash in 2008. Luo et al (2020) introduced the Infinite Hidden Markov (IHM) model to forecast crude oil realized volatility in the presence of structural breaks such as change in policy, exogenous shock and other factors like financial and health crisis. The authors recommended that IHM-HAR models with exogenous factors are superior for short term forecast and provides economic gains.…”
Section: Literature Reviewsmentioning
confidence: 99%
“…High crude oil prices prompted many countries to adopt active new energy policies to rapidly develop their own new energy. Beginning in August 2014, crude oil prices experienced a rapid decline, from over US$100 per barrel in August 2014 to just over $30 per barrel by February 2016, which to some extent alleviated the supply of fossil energy and restrained the rapid development of new energy (Albulescu et al, 2020;Ji et al, 2020;Luo et al, 2020;Shi and Shen, 2021). At the same time, in the context of global efforts to reduce climate emissions, increasing the rapid growth of new energy has become an important energy policy for many countries (Yu et al, 2021).…”
Section: Introductionmentioning
confidence: 99%
“…The uncertainty (volatility) of crude oil futures attracts considerable attention of numerous researchers, investors, and policymakers, due to its tight relationship to real economic activities, risk management, asset pricing, among others (Bollerslev, Hood, Huss, & Pedersen, 2018;Gong & Lin, 2017;Luo, Ji, Klein, Todorova, & Zhang, 2020;Ma, Liao, Zhang, & Cao, 2019;Wen, Gong, & Cai, 2016;Wen, Zhao, Zhang, & Hu, 2019). When the yuan-denominated crude oil futures contracts launched in INE 1 on 26 March 2018, the global energy market reaches a new era (Ji & Zhang, 2019;Wang, Ye, & Wu, 2019;Yang, Lv, Fang, & Shang, 2019;Yang & Zhou, 2020).…”
Section: Introductionmentioning
confidence: 99%
“…In our study, we employ the superior volatility measures, realized volatility (RV), which has been addressed in the existing literature (e.g., Ji & Zhang, 2019;Liang, Wei, Li, Zhang, & Zhang, 2019;Liang, Wei, & Zhang, 2020;Luo, Ji, Klein, Todorova, & Zhang, 2020;Ma, Liao, Zhang, & Cao, 2019;Qiu, Zhang, Xie, & Zhao, 2019;Tang, Xiao, Wahab, & Ma, 2020;Wang, Pan, & Wu, 2017;Wen, Gong, & Cai, 2016;Wen, Zhao, Zhang, & Hu, 2019;Zhang, Ma, Wang, & Liu, 2019). Subsequently, based on the RV, Corsi (2009) proposes the Heterogeneous Autoregressive (HAR) model.…”
Section: Introductionmentioning
confidence: 99%