Forecasting volatility of crude oil futures using a GARCH–RNN hybrid approach

A novel hybrid approach to forecast crude oil futures using intraday data

Technological Forecasting and Social Change ◽

10.1016/j.techfore.2020.120126 ◽

2020 ◽

Vol 158 ◽

pp. 120126 ◽

Cited By ~ 1

Author(s):

Jeevananthan Manickavasagam ◽

S. Visalakshmi ◽

Nicholas Apergis

Keyword(s):

Crude Oil ◽

Hybrid Approach ◽

Oil Futures ◽

Crude Oil Futures ◽

Intraday Data

A Study on the Causal Relationship between the Crude Oil Futures Market and Asian Stock Markets Using a Frequency Domain Framework

Korean Journal of Financial Engineering ◽

10.35527/kfedoi.2017.16.4.001 ◽

2017 ◽

Vol 16 (4) ◽

pp. 1-23

Author(s):

윤병조

Keyword(s):

Crude Oil ◽

Frequency Domain ◽

Causal Relationship ◽

Stock Markets ◽

Futures Market ◽

Oil Futures ◽

The impact of unconventional monetary policy shocks on the crude oil futures market

The Journal of Energy Markets ◽

10.21314/jem.2018.171 ◽

2018 ◽

Author(s):

Tarek Chebbi

Keyword(s):

Monetary Policy ◽

Crude Oil ◽

Futures Market ◽

Unconventional Monetary Policy ◽

Monetary Policy Shocks ◽

Oil Futures ◽

Policy Shocks ◽

Crude Oil Futures ◽

The Impact

International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis

The Journal of Energy Markets ◽

10.21314/jem.2020.203 ◽

2020 ◽

Cited By ~ 1

Author(s):

Konstantinos Gkillas ◽

Christoforos Konstantatos ◽

Athanasios Tsagkanos ◽

Dimitrios I. Vortelinos

Keyword(s):

Financial Crisis ◽

Crude Oil ◽

Global Financial Crisis ◽

Oil Futures ◽

West Texas ◽

The Valuation and Informational Content of Options on Crude-Oil Futures Contracts

10.2139/ssrn.1439025 ◽

2009 ◽

Author(s):

J. Glenn Andrews ◽

Ehud I. Ronn

Keyword(s):

Crude Oil ◽

Futures Contracts ◽

Informational Content ◽

Oil Futures ◽

Adequate Speculation, Excessive Speculation and Crude Oil Futures Price Volatility

10.2139/ssrn.1928707 ◽

2011 ◽

Author(s):

Yun Pan ◽

Latha Shanker

Keyword(s):

Crude Oil ◽

Price Volatility ◽

Oil Futures ◽

Crude Oil Futures ◽

Futures Price ◽

Excessive Speculation

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

10.2139/ssrn.2792238 ◽

2016 ◽

Author(s):

Hilary Till

Keyword(s):

Crude Oil ◽

Futures Contracts ◽

Oil Futures ◽

Crude Oil Futures ◽

Structural Positions

Forecasting Realized Volatility of Crude Oil Futures Prices based on Variable Selection Approaches

10.2139/ssrn.3701000 ◽

2020 ◽

Author(s):

Jiawen Luo ◽

Qiang Ji ◽

Tony Klein ◽

Thomas Walther

Keyword(s):

Variable Selection ◽

Crude Oil ◽

Realized Volatility ◽

Futures Prices ◽

Oil Futures ◽

06/00571 Causality in variance and the type of traders in crude oil futures

Fuel and Energy Abstracts ◽

10.1016/s0140-6701(06)80573-4 ◽

2006 ◽

Vol 47 (2) ◽

pp. 89

Keyword(s):

Crude Oil ◽

Oil Futures ◽

The role of coronavirus news in the volatility forecasting of crude oil futures markets: Evidence from China

Resources Policy ◽

10.1016/j.resourpol.2021.102173 ◽

2021 ◽

Vol 73 ◽

pp. 102173

Author(s):

Zibo Niu ◽

Yuanyuan Liu ◽

Wang Gao ◽

Hongwei Zhang

Keyword(s):

Crude Oil ◽

Futures Markets ◽

Volatility Forecasting ◽

Oil Futures ◽