Jumps and oil futures volatility forecasting: a new insight

DOI10.1080/14697688.2020.1805505zbMath1479.91407OpenAlexW3084432689MaRDI QIDQ5014220

Hai-Bo Li, Chao Liang, Feng Ma, Qing Zeng

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1805505

zbMATH Keywords

jumpsrealized volatilityoil futuresMS-MIDAS

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

Cites Work

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• Forecasting realized volatility of oil futures market: A new insight
• Lassoing the HAR Model: A Model Selection Perspective on Realized Volatility Dynamics

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