Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?

Yu Wei

doi:10.1016/j.physa.2011.08.071

Forecasting volatility of fuel oil futures in China: GARCH-type, SV or realized volatility models?

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2011.08.071 ◽

2012 ◽

Vol 391 (22) ◽

pp. 5546-5556 ◽

Cited By ~ 36

Author(s):

Yu Wei

Keyword(s):

Realized Volatility ◽

Fuel Oil ◽

Oil Futures ◽

Volatility Models ◽

Fuel Oil Futures ◽

Forecasting Volatility

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Implementing Three-factor Model: Empirical Analysis of the Fuel Oil Futures Price at Shanghai Futures Exchange

2007 International Conference on Wireless Communications, Networking and Mobile Computing ◽

10.1109/wicom.2007.979 ◽

2007 ◽

Author(s):

Bin Song ◽

Zhidong Liu ◽

Wenbin Li ◽

Bin Li

Keyword(s):

Empirical Analysis ◽

Factor Model ◽

Fuel Oil ◽

Oil Futures ◽

Futures Price ◽

Fuel Oil Futures ◽

Three Factor

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An empirical analysis of the price discovery function of Shanghai fuel oil futures market

Petroleum Science ◽

10.1007/s12182-007-0016-7 ◽

2007 ◽

Vol 4 (3) ◽

pp. 97-102 ◽

Cited By ~ 1

Author(s):

Zhen Wang ◽

Zhenhai Liu ◽

Chao Chen

Keyword(s):

Empirical Analysis ◽

Price Discovery ◽

Futures Market ◽

Fuel Oil ◽

Oil Futures ◽

Fuel Oil Futures

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Explaining Asymmetries and Long Memory for Hedge Effectiveness in China Aluminum and Fuel Oil Futures Markets

Korean Journal of Financial Engineering ◽

10.35527/kfedoi.2008.7.3.007 ◽

2008 ◽

Vol 7 (3) ◽

pp. 129-158

Author(s):

Sangkuck Chung

Keyword(s):

Long Memory ◽

Futures Markets ◽

Fuel Oil ◽

Oil Futures ◽

Fuel Oil Futures

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A Comparative Study of Prediction Models of High-Frequency Fluctuation of China's Fuel Oil Futures

International Journal of Simulation Systems Science & Technology ◽

10.5013/ijssst.a.17.46.02 ◽

2016 ◽

Author(s):

Guest Editor Jianping Du

Keyword(s):

Comparative Study ◽

High Frequency ◽

Prediction Models ◽

Fuel Oil ◽

Frequency Fluctuation ◽

Oil Futures ◽

Fuel Oil Futures ◽

High Frequency Fluctuation

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The Empirical Research on the Economic Function of Chinese Fuel Oil Futures Market

Contemporary Logistics ◽

10.5503/j.cl.2011.03.017 ◽

2011 ◽

pp. 98-103

Author(s):

Xiaosu Sun

Keyword(s):

Empirical Research ◽

Futures Market ◽

Fuel Oil ◽

Oil Futures ◽

Fuel Oil Futures ◽

Economic Function

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A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting

Economic Modelling ◽

10.1016/j.econmod.2012.06.029 ◽

2012 ◽

Vol 29 (6) ◽

pp. 2245-2253 ◽

Cited By ~ 30

Author(s):

Li Liu ◽

Jieqiu Wan

Keyword(s):

High Frequency ◽

Price Volatility ◽

Fuel Oil ◽

High Frequency Data ◽

Frequency Data ◽

Oil Futures ◽

Dependence Modeling ◽

Modeling And Forecasting ◽

Futures Price ◽

Fuel Oil Futures

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Study on the Price Duration Features and Determinants of China's Fuel Oil Futures Market Based on MicrostructureTheory

Energy Procedia ◽

10.1016/j.egypro.2011.03.039 ◽

2011 ◽

Vol 5 ◽

pp. 219-223

Author(s):

Feng Wang ◽

Chuanzhe Liu ◽

Yu Wang

Keyword(s):

Futures Market ◽

Fuel Oil ◽

Oil Futures ◽

Price Duration ◽

Fuel Oil Futures

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Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market

Sustainability ◽

10.3390/su10010261 ◽

2018 ◽

Vol 10 (1) ◽

pp. 261 ◽

Cited By ~ 4

Author(s):

◽

Keyword(s):

Energy Consumption ◽

Sustainable Energy ◽

Northeast Asia ◽

Futures Market ◽

Fuel Oil ◽

Oil Futures ◽

Fuel Oil Futures

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Dynamic hedging strategy in incomplete market: Evidence from Shanghai fuel oil futures market

Economic Modelling ◽

10.1016/j.econmod.2014.03.022 ◽

2014 ◽

Vol 40 ◽

pp. 81-90 ◽

Cited By ~ 3

Author(s):

Xiaoqiang Lin ◽

Qiang Chen ◽

Zhenpeng Tang

Keyword(s):

Futures Market ◽

Incomplete Market ◽

Fuel Oil ◽

Dynamic Hedging ◽

Hedging Strategy ◽

Oil Futures ◽

Fuel Oil Futures

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Investor Sentiment and Return Predictability in Chinese Fuel Oil Futures Markets

Computational Science – ICCS 2007 - Lecture Notes in Computer Science ◽

10.1007/978-3-540-72588-6_155 ◽

2007 ◽

pp. 972-979

Author(s):

Qian Zhao ◽

Jianping Li ◽

Shuping Wang

Keyword(s):

Futures Markets ◽

Investor Sentiment ◽

Return Predictability ◽

Fuel Oil ◽

Oil Futures ◽

Fuel Oil Futures

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