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

2007 ◽  
Vol 4 (3) ◽  
pp. 97-102 ◽  
Author(s):  
Zhen Wang ◽  
Zhenhai Liu ◽  
Chao Chen
Keyword(s):  
Empirical Analysis ◽  
Price Discovery ◽  
Futures Market ◽  
Fuel Oil ◽  
Oil Futures ◽  
Fuel Oil Futures

A Comparative Study of VAR Measure Using Different Frequency Data of China’s Fuel Oil Futures Market

2011 ◽  
Vol 361-363 ◽  
pp. 1887-1891
Author(s):  
Feng Wang
Keyword(s):  
High Frequency ◽  
Value At Risk ◽  
Low Frequency ◽  
Futures Market ◽  
Fuel Oil ◽  
High Frequency Data ◽  
Frequency Data ◽  
Oil Futures ◽  
Ultra High Frequency ◽  
Fuel Oil Futures

By using datas of Chinese fuel oil futures market, this pater establishes VAR model based on low frequency, high frequency and ultra-high frequency data, to measure the value at risk, and compares the prediction accuracy of different frequency. The research results show that the high frequency and ultra-high frequency data have better accuracy in the VAR measuring, as they contain more intraday information and can reflect the futures market microstructure better.

Sign in / Sign up

Export Citation Format

Share Document