Journal ArticleDOI
Investigating the risk-return trade-off for crude oil futures using high-frequency data
TLDR
In this paper, the authors comprehensively examined the existence and significance of a contemporaneous/intertemporal risk-return trade-off for crude oil futures using high-frequency transaction data.About:
This article is published in Applied Energy.The article was published on 2017-06-15. It has received 60 citations till now. The article focuses on the topics: Downside risk & Volatility risk.read more
Citations
More filters
Journal ArticleDOI
Modelling Financial Time Series
TL;DR: In this article, a computer program for modelling financial time series is presented, based on the Random Walk Hypothesis, which is used to forecast trends in prices in futures markets.
Journal ArticleDOI
Asymmetric impacts of oil price uncertainty on Chinese stock returns under different market conditions: Evidence from oil volatility index
TL;DR: This article investigated the impacts of oil price uncertainty on the aggregate and sectoral stock returns in China by using a quantile regression, which can provide a more detailed examination under different market conditions Meanwhile, the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the OVX.
Journal ArticleDOI
Forecasting the good and bad uncertainties of crude oil prices using a HAR framework
Xu Gong,Boqiang Lin +1 more
TL;DR: In this article, the effects of lagged bad and good uncertainties, daily positive and negative signed jump variations, and leverages on predicting good and bad uncertainties by in-sample and out-of-sample analysis were investigated.
Journal ArticleDOI
The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market
Xu Gong,Boqiang Lin +1 more
TL;DR: In this article, the authors investigate whether investor fear gauge (IFG) contains incremental information content for forecasting the volatility of crude oil futures, and they use oil volatility index (OVX) to measure the IFG.
Journal ArticleDOI
China's carbon emissions trading and stock returns
TL;DR: Wang et al. as mentioned in this paper used a difference-in-differences (DID) method to quantitatively analyze the impact of carbon emissions' environmental regulation on the stock returns of companies.
References
More filters
Journal ArticleDOI
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments
Alan Stuart,Harry M. Markowitz +1 more
TL;DR: In this article, the authors defined asset classes technology sector stocks will diminish as the construction of the portfolio, and the construction diversification among the, same level of assets, which is right for instance among the assets.
Journal ArticleDOI
Answering the skeptics: yes, standard volatility models do provide accurate forecasts*
TL;DR: In this article, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility using ARCH and stochastic volatility models and it has been shown that volatility models produce strikingly accurate inter-daily forecasts for the latent volatility factor that would be of interest in most financial applications.
Book
Portfolio Selection: Efficient Diversification of Investments
TL;DR: In this paper, the authors apply modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors, such as hedge fund managers, hedge funds, and hedge funds.
Journal ArticleDOI
A Simple Approximate Long-Memory Model of Realized Volatility
TL;DR: In this paper, an additive cascade model of volatility components defined over different time periods is proposed, which leads to a simple AR-type model in the realized volatility with the feature of considering different volatility components realized over different horizons and thus termed Heterogeneous Autoregressive model of Realized Volatility (HAR-RV).