FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4282978339> ?p ?o ?g. }

• W4282978339 endingPage "106120" @default.
• W4282978339 startingPage "106120" @default.
• W4282978339 abstract "The purpose of this article is to investigate whether various uncertainty measures provide incremental information for the prediction the volatility of crude oil futures under high-frequency heterogeneous autoregressive (HAR) model specifications. Moreover, by considering the information overlap among various uncertainty measures and fully using of the information in various uncertainty measures, this paper uses two prevailing shrinkage methods, the least absolute shrinkage and selection operator (lasso) and elastic nets, to select uncertainty variables during the entire sampling period, before the COVID-19 pandemic and during the COVID-19 pandemic and then uses the HAR model to predict crude oil volatility. The results show that (i) uncertainty measures can be utilized to predict crude oil volatility under the high-frequency framework in both in-sample and out-of-sample analyses. (ii) Because of the information overlap between various uncertainty measures, adding a large number of uncertain variables to the HAR model may not significantly improve the volatility prediction. (iii) Before and during the COVID-19 pandemic, Chicago Board Options Exchange (CBOE) crude oil volatility (OVX) has the greatest impact on crude oil volatility, infectious disease equity market volatility (EMV) exerts a significant influence on crude oil futures volatility forecasts during the COVID-19 period, and CBOE implied volatility (VIX) and the financial stress index (FSI) have substantial impacts on crude oil futures volatility forecasts before COVID-19." @default.
• W4282978339 created "2022-06-17" @default.
• W4282978339 creator A5003605642 @default.
• W4282978339 creator A5049464184 @default.
• W4282978339 creator A5089891264 @default.
• W4282978339 date "2022-08-01" @default.
• W4282978339 modified "2023-10-18" @default.
• W4282978339 title "The role of uncertainty measures in volatility forecasting of the crude oil futures market before and during the COVID-19 pandemic" @default.
• W4282978339 cites W1520841927 @default.
• W4282978339 cites W1823577794 @default.
• W4282978339 cites W1973894687 @default.
• W4282978339 cites W1975089431 @default.
• W4282978339 cites W1979150730 @default.
• W4282978339 cites W1998856889 @default.
• W4282978339 cites W2020925091 @default.
• W4282978339 cites W2065821126 @default.
• W4282978339 cites W2068138154 @default.
• W4282978339 cites W2080279971 @default.
• W4282978339 cites W2122825543 @default.
• W4282978339 cites W2125536334 @default.
• W4282978339 cites W2139805690 @default.
• W4282978339 cites W2253408436 @default.
• W4282978339 cites W2346763012 @default.
• W4282978339 cites W2756268722 @default.
• W4282978339 cites W2762635850 @default.
• W4282978339 cites W2763927359 @default.
• W4282978339 cites W2776069088 @default.
• W4282978339 cites W2792660547 @default.
• W4282978339 cites W2809870114 @default.
• W4282978339 cites W2899865370 @default.
• W4282978339 cites W2914477525 @default.
• W4282978339 cites W2917132126 @default.
• W4282978339 cites W2945058180 @default.
• W4282978339 cites W2972654004 @default.
• W4282978339 cites W2973593125 @default.
• W4282978339 cites W2976118977 @default.
• W4282978339 cites W2995910952 @default.
• W4282978339 cites W3040837728 @default.
• W4282978339 cites W3043617920 @default.
• W4282978339 cites W3044191953 @default.
• W4282978339 cites W3044693676 @default.
• W4282978339 cites W3082015937 @default.
• W4282978339 cites W3082827628 @default.
• W4282978339 cites W3089147409 @default.
• W4282978339 cites W3091181769 @default.
• W4282978339 cites W3095114851 @default.
• W4282978339 cites W3121251852 @default.
• W4282978339 cites W3121346496 @default.
• W4282978339 cites W3121364726 @default.
• W4282978339 cites W3121512573 @default.
• W4282978339 cites W3122840332 @default.
• W4282978339 cites W3123351111 @default.
• W4282978339 cites W3124368627 @default.
• W4282978339 cites W3124668759 @default.
• W4282978339 cites W3124690764 @default.
• W4282978339 cites W3124937167 @default.
• W4282978339 cites W3125722875 @default.
• W4282978339 cites W3126081245 @default.
• W4282978339 cites W3150456531 @default.
• W4282978339 cites W3187317135 @default.
• W4282978339 cites W3191538369 @default.
• W4282978339 cites W4285476045 @default.
• W4282978339 doi "https://doi.org/10.1016/j.eneco.2022.106120" @default.
• W4282978339 hasPublicationYear "2022" @default.
• W4282978339 type Work @default.
• W4282978339 citedByCount "17" @default.
• W4282978339 countsByYear W42829783392022 @default.
• W4282978339 countsByYear W42829783392023 @default.
• W4282978339 crossrefType "journal-article" @default.
• W4282978339 hasAuthorship W4282978339A5003605642 @default.
• W4282978339 hasAuthorship W4282978339A5049464184 @default.
• W4282978339 hasAuthorship W4282978339A5089891264 @default.
• W4282978339 hasBestOaLocation W42829783391 @default.
• W4282978339 hasConcept C106159729 @default.
• W4282978339 hasConcept C106306483 @default.
• W4282978339 hasConcept C117996083 @default.
• W4282978339 hasConcept C127413603 @default.
• W4282978339 hasConcept C13290067 @default.
• W4282978339 hasConcept C149782125 @default.
• W4282978339 hasConcept C162324750 @default.
• W4282978339 hasConcept C192620184 @default.
• W4282978339 hasConcept C24189920 @default.
• W4282978339 hasConcept C2987168347 @default.
• W4282978339 hasConcept C60092789 @default.
• W4282978339 hasConcept C78762247 @default.
• W4282978339 hasConcept C85393063 @default.
• W4282978339 hasConcept C91602232 @default.
• W4282978339 hasConceptScore W4282978339C106159729 @default.
• W4282978339 hasConceptScore W4282978339C106306483 @default.
• W4282978339 hasConceptScore W4282978339C117996083 @default.
• W4282978339 hasConceptScore W4282978339C127413603 @default.
• W4282978339 hasConceptScore W4282978339C13290067 @default.
• W4282978339 hasConceptScore W4282978339C149782125 @default.
• W4282978339 hasConceptScore W4282978339C162324750 @default.
• W4282978339 hasConceptScore W4282978339C192620184 @default.
• W4282978339 hasConceptScore W4282978339C24189920 @default.
• W4282978339 hasConceptScore W4282978339C2987168347 @default.
• W4282978339 hasConceptScore W4282978339C60092789 @default.

• next