The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic
M Liu - Economic Analysis and Policy, 2022 - Elsevier
The extant literature on green finance is mainly about its contribution to financing the
transition to a low-carbon economy and the benefits it has brought to financial market …
transition to a low-carbon economy and the benefits it has brought to financial market …
Capturing the dynamics of the China crude oil futures: Markov switching, co-movement, and volatility forecasting
The launch of the China's Shanghai International Energy Exchange (INE) oil futures market
in 2018 has shed new light on the role of China in international crude oil market …
in 2018 has shed new light on the role of China in international crude oil market …
Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets
This paper examines spillover effects among six commodity futures markets–gold, silver,
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …
West Texas Intermediate crude oil, corn, wheat, and rice–by employing the multivariate …
Forecasting crude oil volatility with uncertainty indicators: New evidence
X Li, C Liang, Z Chen, M Umar - Energy Economics, 2022 - Elsevier
This paper uses multiple uncertainty indicators to forecast monthly WTI crude oil volatility
and compare the predictive performance of combination forecast methods, dimension …
and compare the predictive performance of combination forecast methods, dimension …
Examining the predictive information of CBOE OVX on China's oil futures volatility: Evidence from MS-MIDAS models
This study evaluates whether CBOE crude oil volatility index (OVX) owns forecasting ability
for China's oil futures volatility using Markov-regime mixed data sampling (MS-MIDAS) …
for China's oil futures volatility using Markov-regime mixed data sampling (MS-MIDAS) …
Can dimensional reduction technology make better use of the information of uncertainty indices when predicting volatility of Chinese crude oil futures?
X Yan, J Bai, X Li, Z Chen - Resources Policy, 2022 - Elsevier
In this paper, we try to forecast the volatility of Chinese crude oil futures (COF) using multiple
economic policy uncertainty indicators. MIDAS-RV model is combined with the principal …
economic policy uncertainty indicators. MIDAS-RV model is combined with the principal …
Forecasting GDP growth using mixed-frequency models with switching regimes
F Barsoum, S Stankiewicz - International Journal of Forecasting, 2015 - Elsevier
For modelling mixed-frequency data with a business cycle pattern, we introduce the Markov-
switching Mixed Data Sampling model with unrestricted lag polynomial (MS-U-MIDAS) …
switching Mixed Data Sampling model with unrestricted lag polynomial (MS-U-MIDAS) …
Forecasting China's wastewater discharge using dynamic factors and mixed-frequency data
Forecasting wastewater discharge is the basis for wastewater treatment and policy
formulation. This paper proposes a novel mixed-data sampling regression model, ie …
formulation. This paper proposes a novel mixed-data sampling regression model, ie …
Volatility forecasting using high frequency data: Evidence from stock markets
S Celik, H Ergin - Economic modelling, 2014 - Elsevier
The paper aims to suggest the best volatility forecasting model for stock markets in Turkey.
The findings of this paper support the superiority of high frequency based volatility …
The findings of this paper support the superiority of high frequency based volatility …
Measuring leverage effect of covid-19 on stock price volatility of energy companies using high frequency data
The uprising of the pandemic COVID-19 has paralyzed the whole Indian economy, and as a
result the Indian stock market is severely affected too. The widely inclusive lockdown …
result the Indian stock market is severely affected too. The widely inclusive lockdown …