Forecasting oil futures realized range‐based volatility with jumps, leverage effect, and regime switching: New evidence from MIDAS models

2021 ◽  
Author(s):  
Xinjie Lu ◽  
Feng Ma ◽  
Jiqian Wang ◽  
Jing Liu
Keyword(s):  
Regime Switching ◽  
Leverage Effect ◽  
Oil Futures ◽  
New Evidence

Macroeconomic Factors in Oil Futures Markets

2019 ◽  
Vol 65 (9) ◽  
pp. 4407-4421 ◽  
Author(s):  
Davidson Heath
Keyword(s):  
Economic Activity ◽  
Futures Markets ◽  
Price Shocks ◽  
Productivity Shocks ◽  
Macroeconomic Factors ◽  
Oil Futures ◽  
Risk Premiums ◽  
Crude Oil Futures ◽  
Future Consumption ◽  
New Evidence

This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil risk premiums. The estimates reveal a dynamic two-way relationship between oil futures and economic activity: productivity shocks are associated with higher oil prices, while oil price shocks affect economic activity by lowering future consumption spending. Unspanned macro factors also affect the valuation of real options. This paper was accepted by Karl Diether, finance.

New Evidence on the Role of Size Effect in Determining the Pricing of Risk, Volatility Dynamics, and Economic Exposure of Firm Returns

2020 ◽  
Vol 9 (3) ◽  
pp. 1-25
Author(s):  
Faisal Khan ◽  
Sharif Ullah Jan
Keyword(s):  
Size Effect ◽  
Stock Returns ◽  
Firm Size ◽  
Research Study ◽  
Leverage Effect ◽  
Conditional Heteroskedasticity ◽  
Economic Factors ◽  
Monthly Data ◽  
New Evidence

This research study analyses the role of size effect in detecting the pricing of risk, various volatility dynamics, and economic exposure of firm returns on the Pakistani stock market by employing monthly data for the period from 1998 to 2018. Three generalized autoregressive conditional heteroskedasticity models were applied: GARCH(1,1) for capturing different volatility dynamics, GARCH-M for pricing of risk, and EGARCH for asymmetric and leverage effect. The findings of the study are as follows: Firstly, the authors untie that pricing of risk is subject to considerable variations with respect to firm size. Secondly, in the process of detecting whether the firm size matters in the case of asymmetry and leverage effect, they find that it is indeed the case. Thirdly, size effect plays a substantial role in determining various volatility dynamics. Finally, they uncover that economic factors affect stock returns differently based on firm size, signifying the role of size effect.

Leverage effect, economic policy uncertainty and realized volatility with regime switching

2018 ◽  
Vol 493 ◽  
pp. 148-154 ◽  
Author(s):  
Yinying Duan ◽  
Wang Chen ◽  
Qing Zeng ◽  
Zhicao Liu
Keyword(s):  
Economic Policy ◽  
Regime Switching ◽  
Realized Volatility ◽  
Leverage Effect ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty

Are there bubbles in the REITs market? New evidence using regime-switching approach

2011 ◽  
Vol 21 (19) ◽  
pp. 1451-1461 ◽  
Author(s):  
Ohannes George Paskelian ◽  
M. Kabir Hassan ◽  
Kathryn Whittaker Huff
Keyword(s):  
Regime Switching ◽  
New Evidence

Revisiting the Feldstein–Horioka puzzle with regime switching: New evidence from European countries

2015 ◽  
Vol 49 ◽  
pp. 260-269 ◽  
Author(s):  
Shyh-Wei Chen ◽  
Chung-Hua Shen
Keyword(s):  
Regime Switching ◽  
European Countries ◽  
New Evidence

Humps in the Volatility Structure of the Crude Oil Futures Market: New Evidence

2012 ◽  
Author(s):  
Carl Chiarella ◽  
Boda Kang ◽  
Christina Nikitipoulos Sklibosios ◽  
Thuy Duong To
Keyword(s):  
Crude Oil ◽  
Futures Market ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
New Evidence

scholarly journals Forecasting China's crude oil futures volatility: New evidence from the MIDAS-RV model and COVID-19 pandemic

2022 ◽  
Vol 75 ◽  
pp. 102453
Author(s):  
Zhonglu Chen ◽  
Yong Ye ◽  
Xiafei Li
Keyword(s):  
Crude Oil ◽  
Oil Futures ◽  
Crude Oil Futures ◽  
New Evidence

Dynamic dependence of oil, clean energy and the role of technology companies: New evidence from copulas with regime switching

Energy ◽  
2021 ◽  
Vol 220 ◽  
pp. 119590
Author(s):  
Aviral Kumar Tiwari ◽  
Samia Nasreen ◽  
Shawkat Hammoudeh ◽  
Refk Selmi
Keyword(s):  
Regime Switching ◽  
Clean Energy ◽  
New Evidence

Volatility forecasting of crude oil futures: The role of investor sentiment and leverage effect

2019 ◽  
Vol 61 ◽  
pp. 548-563 ◽  
Author(s):  
Cai Yang ◽  
Xu Gong ◽  
Hongwei Zhang
Keyword(s):  
Crude Oil ◽  
Investor Sentiment ◽  
Leverage Effect ◽  
Volatility Forecasting ◽  
Oil Futures ◽  
Crude Oil Futures
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